Market Orders Filled @ Ask and @ Bid!!!

[RJay]

NT,

I am looking for a way to display market orders that have been filled at ask and at bid.

I tried to reproduce this today and to display results to the output screen.

I found the following:

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e.MarketData.Bid.Price feed - gives me the current bid price.

e.MarketData.Bid.Volume feed - gives me the current number of contracts available @ that bid price.

MarketDataType.Last feed - gives me the sum of bid and ask contracts traded between each update.

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I have not been able to find a stream displaying filled Bid and Ask Market Orders.

I believe your volume series is the sum of Market Orders filled at Bid and Ask.

This problem seems pretty basic, but its got me stumped!!!

How do I go about collecting this data???

Thanks,

RJay

[NinjaTrader_Bertrand]

RJay, I don't believe there is such a stream - you would need to create this logic yourself in the code, for samples please check into our BuySell Pressure / Volume indicators, which classify trades with Level 1 data.

http://www.ninjatrader-support.com/HelpGuideV6/PowerVolumeIndicators.html