Tick per tick feed from zenfire

[ssg10]

Hi,

How can I receive and process each streaming tick data from zenfire ? I am trying to write indicator to process each incoming tick using algorithm.

Thanks

[NinjaTrader_Ray]

Do you wish to process each market data event as in last trade, bid and ask changes? If yes, you will want to handle the OnMarketData() method.

More information here - http://www.ninjatrader-support.com/H...arketData.html

If you want to process a bar on each incoming tick, then just handle OnBarUpdate() but when running your indicator/strategy, set CalculateOnBarClose to false.

[ssg10]

I am looking for each transaction. Does calculatebaronclose = false work for this? Also, what time function can I use to measure as low as milisecond time window?

I would like to measure how many transactions going on per 100msec, for example, and plot it every 1000 volume bar is formed in ES.

[NinjaTrader_Bertrand]

ssg10, you can either use Close, GetCurrentBid / GetCurrentAsk in combo with setting CalculateOnBarClose = false or work with the OnMarketData() method altogether for this (this is called on each Level 1 data change).

Unfortunately subsecond timestamps are not supported per default (working with Time[x]), you should be able to measure subsecond intervals / timespans with general C# sharp method and DateTime objects.