dom_askprice ( DOM)

Returns ask price for the certain depth level of a particular symbol.

Usage

dom_askprice(num) [data(N)]
where:

(num) is the number of depth level

(N) – number of the data series

Example

dom_askprice(4); will return the ask price for the 5th level of depth for the data1

dom_askprice(2) data2; will return the ask price for the 3rd level of depth for the data2

dom_askscount( DOM)

Returns the number of ask depth levels available for a particular symbol.

Usage

dom_askscount [data(N)]

where: (N) – number of the data series

Example

dom_askscount will return 10 if 10 ask levels of the market depth are available for the data1

dom_askscount data2 will return 6 if 6 ask levels of the market depth are available for the data2

dom_asksize( DOM)

Returns the ask size for the certain depth level of a particular symbol.

Usage

dom_asksize(num) [data(N)]
where:

(num) is the number of depth level

(N) – number of the data series

Example

dom_asksize(2) will return 1500 if the ask size for the 3rd level of depth on data1 is 1500

dom_asksize(0) data2 will return 750 if the ask size for the 1st level of depth on data2 is 750

dom_bidprice( DOM)

Returns bid price for the certain depth level of a particular symbol.

Usage

dom_bidprice(num) [data(N)]
where:

(num) is the number of depth level

(N) – number of the data series

Example

dom_bidprice (4); will return the bid price for the 5th level of depth for the data1

dom_bidprice (2) data2; will return the bid price for the 3rd level of depth for the data2

dom_bidscount( DOM)

Returns the number of bid depth levels available for a particular symbol.

Usage

dom_bidscount [data(N)]

where: (N) – number of the data series

Example

dom_bidscount will return 10 if 10 bid levels of the market depth are available for the data1

dom_bidscount data2 will return 6 if 6 bid levels of the market depth are available for the data2

dom_bidsize( DOM)

Returns the bid size for the certain depth level of a particular symbol.

Usage

dom_bidsize(num) [data(N)]
where:

(num) is the number of depth level

(N) – number of the data series

Example

dom_bidsize (2) will return 1500 if the bid size for the 3rd level of depth on data1 is 1500

dom_bidsize (0) data2 will return 750 if the bid size for the 1st level of depth on data2 is 750

dom_isconnected( DOM)

Returns a logical value indicating the availability of the market depth data; returns a value of True if the market depth data is available and a value of False if the market depth data is not available.

Usage

dom_isconnected

Example

Print the ask size for the 1st level of market depth if the market depth data is available

variables:

var0(0);

if dom_isconnected then

var0 = dom_askprice(0);

print(var0);

I can also confirm it is only updating on a Last change. No update on all the depth changes. Would be nice if this was improved to be able to monitor actual depth changes like NinjaTrader.

You could try to use RecalcLastBarAfter() to force a recalculation of the indicator/signal.

For what it's worth, I think it's a great idea to collect market depth. I'm planning to do the same, but I'm waiting for the Release version of MC8 before updating -- so no valuable input from me (yet).

You could try to use RecalcLastBarAfter() to force a recalculation of the indicator/signal.

Mike, did you look at the included ---Market Depth on Chart--- indicator, it is the first at insert study.
The indicator update with
UpdateSpeed_seconds(0.1);
RecalcLastBarAfter(UpdateSpeed_seconds);

so it is not event driven.

It updates as similar as the DOM with Interactive, if you use TT Trader connection you could try to lower the update limit to 0.01. Not sure if a human eye could see differences that fast.
The only problem is that you can only use the broker data for the DOM data displayed, the indicator cant receive Level 1 and Level 2 data from Iqfeed. So i need to run a IQFeed chart with a hidden IB chart in the background.