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NinjaTrader
BidAsk Historical...
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Hi,
Is there a way to access historical bid/ask data ? It doesn't seem possible in either indicators or bartypes ??
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Ok that works, but then there is no way to link the bid/ask values to the price values. They are just other charts. So in that case I suppose there would be no way to compute the historical delta volume....
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Originally posted by NinjaTrader_Dierk View PostIf by "remember" you mean that bid/ask data would be stored as you record historical chart data, then yes.
does this mean that VolumeProfile is wiped clean because of the way it was written and not upgraded for 7 or that we simply can not backfill stuff made using onmarketdata() in 7 like we could not in 6.5?
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I tried to reconstruct historical data using on chart by adding tick data bars.
Code:protected override void Initialize() { Add(new Plot(Color.FromKnownColor(KnownColor.Orange), PlotStyle.Line, "P1")); Add(new Plot(Color.FromKnownColor(KnownColor.Red), PlotStyle.Line, "P2")); Add(new Plot(Color.FromKnownColor(KnownColor.Orange), PlotStyle.Line, "P3")); Add(Instrument.FullName,PeriodType.Tick,1,MarketDataType.Last); Add(Instrument.FullName,PeriodType.Tick,1,MarketDataType.Ask); Add(Instrument.FullName,PeriodType.Tick,1,MarketDataType.Bid); } protected override void OnBarUpdate() { P1.Set(Closes[0][0]); P2.Set(Closes[1][0]); P3.Set(Closes[2][0]); }
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What would be cool would be to publish the spec of the ntd files.... Then we could read them by custom programming...
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Originally posted by gomifromparis View PostOk that works, but then there is no way to link the bid/ask values to the price values. They are just other charts. So in that case I suppose there would be no way to compute the historical delta volume....
Add(Instrument.FullName,PeriodType.Tick,1,MarketDa taType.Ask);
Add(Instrument.FullName,PeriodType.Tick,1,MarketDa taType.Bid);
I take it since you mentioned that the bid/ask bar array is very large, these update on each change of the bid/ask and are not just a snapshot of what the bid/ask was when last goes off...
Wouldn't a way to get historic delta volume then be to compare the timestamp of last with the timestamp of the bid and ask and see if its at/above/below/between?
I soppose I was expecting 7 to have a historic version of onmarketdata(), but with storing bid/ask this seems even more thorough, more a question of filtering out what we don't need.
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