BidAsk Historical...

[mrlogik]

This was on GBPUSD.

[NinjaTrader_Ray]

What was the primary series? Did you run the indicator in a chart or something else?

[mrlogik]

Hi Ray,

Sorry for my scant description.

I loaded a 1 minute chart of GBPUSD only. The indicator was loaded on the chart with the default inputs.

[NinjaTrader_Dierk]

1 minute on Last, correct?

[mrlogik]

Yes.

I am filtering the OnBarUpdate on the BarInProgress == 1 attribute, which I believe corresponds to

Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Bid);

[NinjaTrader_Dierk]

I always see a sequence of 2 OnMarketData events (identical) and 1 OnBarUpdate event which is expected since both series subscribe to the same instrument. There is no filter on "bid" or "ask" or "last", only on instrument.

Note: BarsInProgress always is 0, since NT finds the first series matching an instrument (which is BIP=0).

Note: ignore the "*****" lines since they rather confuse the image.

[mrlogik]

Hey Dierk,

Yes, I see two now as well.

I think I see what you're saying.

So now, for example, lets say I'm running on a 1 minute chart with CalculateOnbarClose = false. In the Initialize() function I do the following

Add(Instrument.FullName,PeriodType.Tick,1,MarketDataType.Ask);
Add(Instrument.FullName,PeriodType.Tick,1,MarketDataType.Bid);

In OnBarUpdate(), to differentiate between the primary data series, Ask, and Bid is the following true?

Primary data Series BarsInProgress = 0, ref Price = Closes[0][0]
Ask data Series BarsInProgress = 1, ref Price = Closes[1][0]
Bid data Series BarsInProgress = 2, ref Price = Closes[2][0]

And, how could I filter on a particular instrument then in the OnMarketData function, to differentiate between instruments?

Thanks again.

[NinjaTrader_Dierk]

>> And, how could I filter on a particular instrument then in the OnMarketData function, to differentiate between instruments?
Unfortuantely I would not know of a way to do that since all 3 series are on the same instrument.

[Cheater5]

Historical Volume Profile

Hello all:

I'm new to NT (using NT7) and am currently migrating from TradeStation. Forgive me if I'm off on this but don't at least some data services provide historical volume profile for each bar (ie, up trade volume/down trade volume and upticks/downticks)? I know that in TS I get up/down volume and up/dn ticks for each bar (equities, options and futes). Since Reuters provides this data, isn't the fix for this as easy as NT7 supporting Reuters QuoteCenter?

[NinjaTrader_Bertrand]

Cheater5, welcome to NinjaTrader and thanks for the suggestion to add QuoteCenter support - making the volume profiles persisting through the needed historical data is already on our list to look into for the future.