TickReplay vs Live data OnMarketData

[habibalex]

In VolumeProfile.cs there is a statement for tick replay in OnMarketData, but in BuySellVolume.cs checking for Bars.IsTickReplay is not required. Is there a difference in the values of the bid/ask size and price between these two indicators?

VolumeProfile.cs

if (Bars.IsTickReplay)


			{
				if (e.MarketDataType == MarketDataType.Last)
				{
					if (e.Price >= e.Ask)
						askPrice = e.Price;
					else if (e.Price <= e.Bid)
						bidPrice = e.Price;

					price	= e.Price;
					volume	= e.Volume;

					if (!cacheDictionary.ContainsKey(price))
						cacheDictionary.Add(price, new VolumeInfoItem());

					volumeInfoItem = cacheDictionary[price];

					if (price >= askPrice)
						volumeInfoItem.up		+= volume;
					else if (price <= bidPrice)
						volumeInfoItem.down		+= volume;
					else
						volumeInfoItem.neutral	+= volume;
				}
			} else
			{
				if (e.MarketDataType == MarketDataType.Ask)
				{
					askPrice = e.Price;
					return;
				}

				if (e.MarketDataType == MarketDataType.Bid)
				{
					bidPrice = e.Price;
					return;
				}

BuySellVolume.cs

 if(e.MarketDataType == MarketDataType.Last)
			{
				double tradeVol = previousVol == 0 ? e.Volume : e.Volume - previousVol;
				
				if(e.Price >= e.Ask)
				{
					buys += tradeVol;
				}
				else if (e.Price <= e.Bid)
				{
					sells += tradeVol;
				}
			}

[habibalex]

Also, in tick replay, it doesn't look like the bid / ask Sizes are available.

[NinjaTrader_PatrickH]

Hello habibalex,

Thank you for reporting this.

There should be no different in how they are treated. From my understanding we would need to include the same logic in BuySellVolume. I will check with development on this.

For the size, are you referring to Volume?

[NinjaTrader_PatrickH]

Hello habibalex,

Thank you for your patience.

The code for IsTickReplay in the VolumeProfile is the same as that which already exists in the BuySellVolume. The added code for VolumeProfile was added to improve it's behavior over historical sessions when using TickReplay.

[habibalex]

yes the volume of the bid / ask

[NinjaTrader_PatrickH]

habibalex,

Is marketDataUpdate.Volume what you are looking for?

[habibalex]

No I am looking for the volume on the bid and ask, not last traded volume in Tick Replay.
for example

 
if(Bars.IsTickReplay){

    if(e.MarketDataType == MarketDataType.Bid){
        //I need e.Volume here
    }else if(e.MarketDataType == MarketDataType.Last){
        //Or I can use it here, but there is nothing called e.BidVolume / e.AskVolume.  
    }
}

[NinjaTrader_PatrickH]

habibalex,

It would be the following:

if(e.MarketDataType == MarketDataType.Bid)
Print("Bid volume is " + e.Volume);

As we have verified e is the Bid update, we pull the e.Volume for the bid volume.

[habibalex]

If I do this, I do not get anything in the output window.

                       if(Bars.IsTickReplay && State == State.Historical){

			    if(e.MarketDataType == MarketDataType.Bid){
			        Print(e.Volume + " " + e.Price);
			    }
			}

[NinjaTrader_PatrickH]

habibalex,

Thank you for your response.

My mistake as the historical volume for bid and ask is not available through OnMarketData() nor when using OnMarketData() in TickReplay. You would need to use AddDataSeries() and add the bid and ask and then call it's volume.