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Search: Posts Made By: ratfink

Forum: NinjaTrader

April 9th, 2019, 09:33 AM

Replies: 12

Missing data from OnMarketData?

Views: 2,426

Posted By ratfink

Accepted leap of faith on the advertised promise...

Accepted leap of faith on the advertised promise from quality datafeeds and applications, plus accepted experience across suppliers, I don't have better than that.

Some feeds (e.g. IB and others)...

Forum: NinjaTrader

April 8th, 2019, 05:29 PM

Replies: 12

Missing data from OnMarketData?

Views: 2,426

Posted By ratfink

I think better considered as missing information...

I think better considered as missing information rather than missing data.

Forum: NinjaTrader

April 8th, 2019, 08:05 AM

Replies: 12

Missing data from OnMarketData?

Views: 2,426

Posted By ratfink

At some level in the matching engine(s) they will...

At some level in the matching engine(s) they will be individual updates, but all we are ever seeing in NT is a summary of the order book. Only transacted volume is consecutive for us.

Always...

Forum: NinjaTrader

April 8th, 2019, 05:39 AM

Replies: 12

Missing data from OnMarketData?

Views: 2,426

Posted By ratfink

Hi Cilla The only point of Ask and Bid volume in...

Hi Cilla The only point of Ask and Bid volume in OnMarketData is as a snapshot of the inside orderbook levels at any given time. For or a fuller picture you can look at OnMarketDepth.

The...

Forum: NinjaTrader

April 7th, 2019, 01:36 PM

Replies: 12

Missing data from OnMarketData?

Views: 2,426

Posted By ratfink

You should only count transacted volume on a Last...

You should only count transacted volume on a Last event, not on the Ask or Bid events, hence the need to store current (last seen) Ask and Bid values in local variables.

Ask and/or Bid can change...

Showing results 1 to 5 of 5

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