BidAsk Historical...

[funk101]

Does NT7 remember bid ask historical data now?

[NinjaTrader_Dierk]

If by "remember" you mean that bid/ask data would be stored as you record historical chart data, then yes.

[funk101]

actually, what I meant was, realtime bid and ask volume on some indicators gets wiped when you refresh the chart, for instance, the volume profile, or VolumeUpDown. Is this still the case?

[NinjaTrader_Dierk]

Yes, VolumeProfile and VolumeUpDown start from scratch as you throw them on chart.

[gomifromparis]

Hi,

Is there a way to access historical bid/ask data ? It doesn't seem possible in either indicators or bartypes ??

[NinjaTrader_Dierk]

Sure, there e.g. is signature below which you should see in intellisense:

void Add(string instrumentName, Data.PeriodType periodType, int period, Data.MarketDataType marketDataType)

[gomifromparis]

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....

[NinjaTrader_Dierk]

They would be "independent" series.

[darthtrader]

If by "remember" you mean that bid/ask data would be stored as you record historical chart data, then yes.

Dirk, if bid/ask data is stored as chart data is recorded..
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?

[NinjaTrader_Dierk]

>> that we simply can not backfill stuff made using onmarketdata() in 7 like we could not in 6.5
Your understanding is correct.

[gomifromparis]

I tried to reconstruct historical data using on chart by adding tick data bars.

    
        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]);
        }

But the fact is that it uses a lot of time and memory, because the bid/ask bar array is very large, even for a 5 days history. So I don't think it will be easily usable , except maybe for intraday memory.

[funk101]

What about writing/reading from a filestream? Would that be a viable solution?

[gomifromparis]

What would be cool would be to publish the spec of the ntd files.... Then we could read them by custom programming...

[darthtrader]

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....

I don't have the beta to mess around with yet but doesn't this depend on how these are updating:
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.

[NinjaTrader_JoshP]

darthtrader,

It is possible to have many ticks with the same time stamp.