BidAsk Historical...

[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.

[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_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.

[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]

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]

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]

1 minute on Last, correct?

[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_Ray]

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

[mrlogik]

This was on GBPUSD.

[NinjaTrader_Ray]

What instrument did you run this on?

[mrlogik]

You got it Ray. Please let me know if you need me to investigate further.

thanks

[NinjaTrader_Ray]

Thanks for the sample code, we will investigate this.

[mrlogik]

potential bug?

Hey Guys,

I wrote up a test indicator to get historical tick data via OnBarUpdate, and also OnMarketData.

The Tick data series I added to the indicator is via

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

In the OnBarUpdate, I filter on printing only when the Bid data stream is updated with BarsInProgress.
In the OnMarketData, I filter on printing only when the Bid data stream is updated with MarketDataType.Bid.

When I run this on my chart, I notice for every one OnBarUpdate print I get three OnMarketData calls.

OnMarketData = 1.5386
OnMarketData = 1.5386
OnMarketData = 1.5386
******************
OnBarUpdate = 1.5386

Is this expected? I would assume I should get one from each function call per incoming tick.

Indicator attached to reproduce.

NT7.14B, MBTrading data feed.

Thanks

[gregid]

I wonder why Big Mike trading is publishing that if comes off the NT servers .

The market replay data Big Mike is providing on his forum is not the same as NT server market replay. He and other users of the forum upload market replay that they recorded themselves using NT6.5.

The NT market replay server data is only available for NT7