I use two different methods to populate Level 2 data.
1st one is based on MarketDepthEventArgs.Operation processing.
It works good and shows correct Level 2 ladder.
2nd method is based on MarketDepthEventArgs.Instrument.MarketDepth.Asks/Bids. It works very bad sometimes. As you can see built-in NT Level II window also displays wrong data.
Those both related to Market replay. Did not test enought this on live data.
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