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WIKI - Get full Market Depth
lifon
 Post subject: WIKI - Get full Market Depth Post rating: 0   New post Posted: Mon 20 Jul, 2015, 09:06 

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Hello support,

in Wiki article „Get full Market Depth“ https://www.dukascopy.com/wiki/#Get_full_Market_Depth

is text „A code displays a full Market Depth (not "the 10 best offers" filtration).“.

But Market Depth shows only max. 10 levels.

PS: Java file would be useful.
 
brunoneveslt
 Post subject: Re: WIKI - Get full Market Depth Post rating: 0   New post Posted: Wed 22 Jul, 2015, 11:20 
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Hello Lifon,

I have the same problem...i hope the support explain what the problem.

When you look upon the total market depth of JForex never never never equal the sum of the 10 levels, so there are orders outside of 10 levels but with programming they are not visible.

The Dukascopy support is good so i'm confident that will be explained and resolved :)
 
API Support
 Post subject: Re: WIKI - Get full Market Depth Post rating: 0   New post Posted: Thu 30 Jul, 2015, 10:45 
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A better description of the strategy could be that it shows 10 top volume levels in market.
Market depth is not equal to the sum of these levels because there are other more distant levels that have volume but are not shown in the list.
 
fxdiler
 Post subject: Re: WIKI - Get full Market Depth Post rating: 0   New post Posted: Fri 31 Jul, 2015, 07:02 
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Dear Support,
How to get more than 10 levels of market depth? Is it able with JForex API?
Is it possible to get market depth with FIX API? Does it has same limit 10 levels or more?
 
API Support
 Post subject: Re: WIKI - Get full Market Depth Post rating: 0   New post Posted: Mon 03 Aug, 2015, 13:19 
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Market depth can be received with ITick.getBidVolumes().
In order to receive 10 volumes instead of just 1 volume value strategy needs to subscribe to an instrument:
        Set<Instrument> instruments = new HashSet<Instrument>();
        instruments.add(Instrument.EURSEK);
        context.setSubscribedInstruments(instruments, true);
 
fxdiler
 Post subject: Re: WIKI - Get full Market Depth Post rating: 0   New post Posted: Mon 03 Aug, 2015, 13:32 
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API Support wrote:
Market depth can be received with ITick.getBidVolumes().
In order to receive 10 volumes instead of just 1 volume value strategy needs to subscribe to an instrument:
        Set<Instrument> instruments = new HashSet<Instrument>();
        instruments.add(Instrument.EURSEK);
        context.setSubscribedInstruments(instruments, true);


Dear Support,
please read my question again: I need to get more than 10 items in market depth.
I tested this code you offered me
public void onTick(Instrument instrument, ITick tick) throws JFException {
        if (instrument == Instrument.EURUSD) {
            int count = tick.getBidVolumes().length;
            console.getOut().println(count);  // count is 10 every tick but I need more
        }
    }

and it give only 10 items limit. How to get more?
 
API Support
 Post subject: Re: WIKI - Get full Market Depth Post rating: 0   New post Posted: Mon 03 Aug, 2015, 14:19 
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It is not possible to get more than 10 levels.
 
SandroEprasi
 Post subject: Re: WIKI - Get full Market Depth Post rating: 0   New post Posted: Wed 23 Dec, 2015, 11:07 
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The Market Depth window in Jforex contains a Bid and a Ask corresponding to ITick.getTotalBidVolume and ITick.getTotalAskVolume, e.g.

-------------Market Depth-------------
239.M/1.09198 1.0920.7/262.1M

These are some kind of average Bid and Ask. I did not found a documentation.
How they exactly are calculated and/or how we you acess them with API?
 
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