OnMarketData Time & Aggressor

[habibalex]

In the MDP 3.0 spec the time is listed in nanoseconds but NT8 only captures up to the millisecond.

1. What happens to the rest of the TransactTime (Tag 60) beyond milliseconds? Is there a way to capture the complete C# tick resolution of 100 ns info in OnMarketData?
2. Is the AggressorSide(Tag 5797) information also available?
3. Is the inside bid / ask transmitted in the OnMarketData(L1 feed) the same update speed as the inside bid / ask transmitted in the OnMarketDepth(L2 feeed)

https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Market+Data+Incremental+Refresh

[NinjaTrader_ChelseaB]

Hello habibalex,

Thank you for your inquiry.

I will forward your inquiry to the development team and I will let you know what I find.

We appreciate your patience.

[NinjaTrader_PatrickH]

Hello habibalex,

Thank you for your patience.

1. The NinjaTrader 8 Platform will support timestamps on data down to the C# DateTime.Ticks. However, most data providers in NinjaTrader 8 will only supply the data down to the milliseconds.
2. The AggressorSide information is not supported in NinjaTrader.
3. The speed at which the level 1 and level 2 updates occur is not altered or changed by NinjaTrader. This is dependent on the data feed provider's implementation of the level 1 and level 2 data. The NinjaTrader Platform will not handle them differently and will process market data updates sequentially as received from the data provider.

Please let me know if you have any questions.

[bebbus]

good morning, I would like to know if ninjatrader has improved. in my case I have a "ninjatrader continuum" stream. on point 2 no news? the other platforms have solved.

[NinjaTrader_Jim]

Hello bebbus,

Thanks for your post.

AggressorSide is currently unsupported and we do not have any additional news at this time. I will update this post with a tracking ID as soon as I receive it. Numbers for tracking ID's can be referenced in the Release Notes page of the Help Guide when the feature becomes available.

Release Notes - https://ninjatrader.com/support/help...ease_notes.htm

Ticket ID: SFT-2820

We look forward to assisting.