ReferencesCommon

OnMarketDepth()

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Definition

An event driven method which is called and guaranteed to be in the correct sequence for every change in level two market data (market depth) for the underlying instrument. The OnMarketDepth() method can be used to build your own level two book.

  1. This is a real-time data stream and can be CPU intensive if your program code is compute intensive (not optimal)
  2. This method is not called on historical data (backtest)

Method Return Value

This method does not return a value.

Syntax

You must override the method in your strategy or indicator with the following syntax:

protected override void OnMarketDepth(MarketDepthEventArgs marketDepthUpdate)

The NinjaScript code wizards can automatically generate the method syntax for you when creating a new script.

Parameters

ParameterDescription
marketDepthUpdateMarketDepthEventArgs representing the recent change in market data

Examples

1protected override void OnMarketDepth(MarketDepthEventArgs marketDepthUpdate)
2{
3     // Print some data to the Output window
4     if (marketDepthUpdate.MarketDataType == MarketDataType.Ask && marketDepthUpdate.Operation == Operation.Update)
5         Print(string.Format("The most recent ask change is {0} {1}", marketDepthUpdate.Price, marketDepthUpdate.Volume));
6}
    1. With multi-time frame and instrument strategies, OnMarketDepth will be called for all unique instruments in your strategy. Use the BarsInProgress to filter the OnMarketDepth() method for a specific instrument. (BarsInProgress will return the first BarsInProgress series that matches the instrument for the event)
    1. Do not leave an unused OnMarketDepth() method declared in your NinjaScript object. This will unnecessarily attach a data stream to your strategy which uses unnecessary CPU cycles.
    1. Should you wish to run comparisons against prior values you will need to store and update local variables to track the relevant values.
    1. With NinjaTrader being multi-threaded, you should not rely on any particular sequence of events like OnMarketDepth() always being called before OnMarketData() or vice versa.