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Bid size, Ask size

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Bid size, Ask size

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  #1 (permalink)
Experience: Intermediate
Platform: NinjaTrader, OpenQuant
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Trading: ES,6E,6B,GC,CL
Posts: 598 since Nov 2009
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can anyone suggest how to read Bid size and Ask size? as it changes so fast in seconds, it shows high "ask size", in next few seconds, shows higher "bid size"

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  #3 (permalink)
Salt Lake City, UT
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in Nija I have worked with OnMarketDepth and updated variables defined in my global section, they update as fast as the data comes is the snipit of OnMarketDepth from Ninjas online help
protected override void OnMarketDepth(MarketDepthEventArgs e)
// Print some data to the Output window
if (e.MarketDataType == MarketDataType.Ask && e.Operation == Operation.Update)
Print("The most recent ask change is " + e.Price + " " + e.Volume);

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  #4 (permalink)
Posts: 14 since Apr 2010
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it changes so often because orders are constantly being created, filled, and cancelled.

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Last Updated on April 2, 2010

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