How to view Level II market depth in NinjaTrader 8

What an extra price level tells you

Suppose the best bid is 5,000.00 for 12 contracts and another 30 contracts are bid at 4,999.75. A top-of-book feed can show the 12 at the best bid. Seeing the 30 at the next price requires market depth. A two-contract trade at 5,000.00 is a separate event. It tells you how much traded at that price.

CME’s Market by Price data combines resting quantities at each price. A total of 30 contracts could come from one order or several. The total alone cannot tell you your order’s place in the queue.

Read the Summary for the contract you are watching

Open the Level II window from the Control Center’s New menu. Right-click the window, choose Instruments and select the same futures contract and expiry as the chart. In the same menu, Show Quotes and Show Summary control separate parts of the display. If Summary is hidden, turn it on before investigating the subscription.

• In Quotes, Last is the price of the most recent trade. Bid and Ask give the current best prices.
• In Summary, Size is the total displayed quantity at each bid or ask price. Use it to compare the number of contracts across levels.
• Depth counts the market participants reported at that price. A Size of 30 means 30 contracts, however many participants supplied them.

When only the best bid and ask appear

Check the market data package on the connection supplying real-time prices. NinjaTrader’s CME exchange fee schedule distinguishes Top of Book (Level I) from Full Depth (Level II) and lists coverage by exchange or bundle. Confirm the depth entitlement for the exchange that lists your contract. Opening a Level II window changes the display. The provider controls which levels it sends.

If several providers are connected, the account selected for trading can differ from the price source. When even the current bid, ask and last trade have stopped updating across windows, start with the feed and session checks in the missing-market-data guide.

Check the L2 recording times in Playback

Right-click the Playback controller and select Show Available Data. Find the instrument and compare its L1 and L2 Begin and End times with the time on the controller. For example, if L1 starts at 09:30 and L2 starts at 09:45, trades can replay at 09:35 even though the recording has no depth for that minute.

Use Market Replay for a recording that includes depth. Historical playback uses historical ticks and cannot reconstruct the order book from them. Reloading chart history will not fill a gap in the recorded L2 interval.

To capture depth for a future session, open Tools > Options > Market Data and enable market recording for playback. Keep a Level II, SuperDOM or FX Pro window open and receiving live data for that instrument during the interval you want to record.