NinjaScript > Language Reference > Add On

Definition

MarketDepth can be used to access snapshot market depth and for subscribing to market depth events.

Notes:

1.Remember to unsubscribe if you are no longer using the subscription.

2.You should only unsubscribe to a market depth event if you are actually subscribed.

3.You must unsubscribe from the same thread where the subscription is made. It is therefore recommended to user an Instrument's Dispatcher to ensure this is handled properly.

Properties

Asks	List of ask prices
Bids	List of bid prices
Instrument	Instrument representing the instrument of the market depth event
Update	Event handler for subscribing/unsubscribing to market depth events

Syntax

MarketDepth

Example


/* Example of subscribing/unsubscribing to market depth from an Add On. */ public class MyAddOnTab : NTTabPage { private Instrument instrument; public MyAddOnTab() { instrument = Instrument.GetInstrument("AMD"); if (instrument == null) return; // Follow this pattern to subscribe to MarketDepth events so they may be unsubscribed from the same instrument thread if (!instrument.Dispatcher.HasShutdownStarted) instrument.Dispatcher.InvokeAsync(() => instrument.MarketDepth.Update += OnMarketDepth); // Print the Ask's price ladder for (int i = 0; i < instrument.MarketDepth.Asks.Count; i++) { NinjaTrader.Code.Output.Process(string.Format("Position: {0} Price: {1} Volume: {2}", i, instrument.MarketDepth.Asks[i].Price, instrument.MarketDepth.Asks[i].Volume), PrintTo.OutputTab1); } } // This method is fired on market depth events and after the snapshot data is updated. private void OnMarketDepth(object sender, MarketDepthEventArgs e) { return; } // Called by TabControl when tab is being removed or window is closed public override void Cleanup() { // Follow this pattern to subscribe to MarketDepth events so they may be unsubscribed from the same intrument thread if (instrument != null && !instrument.Dispatcher.HasShutdownStarted) instrument.Dispatcher.InvokeAsync(() => instrument.MarketDepth.Update -= OnMarketDepth); } // Other required NTTabPage members left out for demonstration purposes. Be sure to add them in your own code. }

/* Example of subscribing/unsubscribing to market depth from an Add On. */

public class MyAddOnTab : NTTabPage

{

private Instrument instrument;

public MyAddOnTab()

{

instrument = Instrument.GetInstrument("AMD");

if (instrument == null)
return;

// Follow this pattern to subscribe to MarketDepth events so they may be unsubscribed from the same instrument thread
if (!instrument.Dispatcher.HasShutdownStarted)
instrument.Dispatcher.InvokeAsync(() => instrument.MarketDepth.Update += OnMarketDepth);

// Print the Ask's price ladder

for (int i = 0; i < instrument.MarketDepth.Asks.Count; i++)

{

NinjaTrader.Code.Output.Process(string.Format("Position: {0} Price: {1} Volume: {2}", i,

instrument.MarketDepth.Asks[i].Price, instrument.MarketDepth.Asks[i].Volume), PrintTo.OutputTab1);

}

// This method is fired on market depth events and after the snapshot data is updated.

private void OnMarketDepth(object sender, MarketDepthEventArgs e)

{

return;

}

// Called by TabControl when tab is being removed or window is closed

public override void Cleanup()

{

// Follow this pattern to subscribe to MarketDepth events so they may be unsubscribed from the same intrument thread
if (instrument != null && !instrument.Dispatcher.HasShutdownStarted)
instrument.Dispatcher.InvokeAsync(() => instrument.MarketDepth.Update -= OnMarketDepth);

}

// Other required NTTabPage members left out for demonstration purposes. Be sure to add them in your own code.

}