How to get Ask/Bid for historical bars

[cassb]

Hi Joydeep! I'm sorry to bring up this old thread, but I am having trouble with something that is related to this. I have been using the Add() method you suggested to add a bar series for the Ask price, used for currency markets. However, I just noticed that when this series is added, the FirstTickOfBar internal logic gets really messed up! Here is the code:

protected override void Initialize()
        {
//            if (Instrument.MasterInstrument.InstrumentType == InstrumentType.Currency) Add(Instrument.FullName.ToString(), BarsPeriod.Id, BarsPeriod.Value, MarketDataType.Ask);
            Add(Instrument.FullName.ToString(), BarsPeriod.Id, BarsPeriod.Value, MarketDataType.Ask);
            CalculateOnBarClose = false;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            if (BarsInProgress != 0) return;  // Only process the primary bars on the chart.  The secondary dataseries is just for reference in the code.
            if (FirstTickOfBar)
                 Print("Bar:" + CurrentBar + " (Tick:" + Bars.TickCount.ToString() + "), Bar Series:  " + BarsInProgress + ", FirstTickOfBar = " + FirstTickOfBar);
         }

Here is the output from a test strategy:

Bar:30382 (Tick:19), Bar Series: 0, FirstTickOfBar = True
Bar:30383 (Tick:19), Bar Series: 0, FirstTickOfBar = True
Bar:30383 (Tick:18), Bar Series: 0, FirstTickOfBar = True
Bar:30384 (Tick:18), Bar Series: 0, FirstTickOfBar = True
Bar:30384 (Tick:23), Bar Series: 0, FirstTickOfBar = True
Bar:30384 (Tick:3), Bar Series: 0, FirstTickOfBar = True
Bar:30385 (Tick:3), Bar Series: 0, FirstTickOfBar = True
Bar:30385 (Tick:5), Bar Series: 0, FirstTickOfBar = True
Bar:30385 (Tick:1), Bar Series: 0, FirstTickOfBar = True
Bar:30386 (Tick:1), Bar Series: 0, FirstTickOfBar = True
Bar:30386 (Tick:4), Bar Series: 0, FirstTickOfBar = True
Bar:30386 (Tick:12), Bar Series: 0, FirstTickOfBar = True
Bar:30386 (Tick:14), Bar Series: 0, FirstTickOfBar = True
Bar:30386 (Tick:10), Bar Series: 0, FirstTickOfBar = True
Bar:30387 (Tick:10), Bar Series: 0, FirstTickOfBar = True
Bar:30388 (Tick:10), Bar Series: 0, FirstTickOfBar = True
Bar:30388 (Tick:2), Bar Series: 0, FirstTickOfBar = True
Bar:30389 (Tick:2), Bar Series: 0, FirstTickOfBar = True
Bar:30389 (Tick:5), Bar Series: 0, FirstTickOfBar = True

I have attached an example strategy you can run to show what's happening. Put it on a new 1 minute chart. I used both ES and $EURUSD and they both produced this result.

1) Why is FirstTickOfBar not true on the first tick of the bar?
2) Why is FirstTickOfBar true for more than one tick in the same bar?

Thanks!
Bryan

[NinjaTrader_Joydeep]

Hello Bryan,
Unfortunately I am not able to replicate it. When I try the toy code I could get the correct prints. Can you please let me know the exact steps to replicate it.

I look forward to assisting you further.

[cassb]

Hello Bryan,
Unfortunately I am not able to replicate it. When I try the toy code I could get the correct prints. Can you please let me know the exact steps to replicate it.

I look forward to assisting you further.

Yes, thank you. I just reproduced it again. This is what I did:

1) Start up Ninjatrader. I have v7.0.1000.11 (Multi-Broker Live).
2) Download replay data for the ES 12-12 instrument for 11/5/2012.
3) Connect to the Market Replay Connection and set replay to start at 11/5/2012.
4) Open a new chart for ES 12-12, 1 min. bars.
5) Put the Test strategy on the chart and enable it. Click OK.
6) Open the Output Window.
7) Click on the "Play" button for Market Replay.
8) Observe the Output Window:

Bar:5370 (Tick:1), Bar Series: 0, FirstTickOfBar = True
Bar:5370 (Tick:6), Bar Series: 0, FirstTickOfBar = True
Bar:5370 (Tick:13), Bar Series: 0, FirstTickOfBar = True
Bar:5371 (Tick:13), Bar Series: 0, FirstTickOfBar = True
Bar:5371 (Tick:17), Bar Series: 0, FirstTickOfBar = True
Bar:5372 (Tick:20), Bar Series: 0, FirstTickOfBar = True
Bar:5372 (Tick:23), Bar Series: 0, FirstTickOfBar = True
Bar:5372 (Tick:30), Bar Series: 0, FirstTickOfBar = True
Bar:5372 (Tick:34), Bar Series: 0, FirstTickOfBar = True
Bar:5372 (Tick:37), Bar Series: 0, FirstTickOfBar = True
Bar:5372 (Tick:42), Bar Series: 0, FirstTickOfBar = True
Bar:5372 (Tick:44), Bar Series: 0, FirstTickOfBar = True
Bar:5373 (Tick:1), Bar Series: 0, FirstTickOfBar = True
Bar:5373 (Tick:4), Bar Series: 0, FirstTickOfBar = True
Bar:5373 (Tick:6), Bar Series: 0, FirstTickOfBar = True
Bar:5374 (Tick:1), Bar Series: 0, FirstTickOfBar = True
Bar:5375 (Tick:1), Bar Series: 0, FirstTickOfBar = True
Bar:5375 (Tick:3), Bar Series: 0, FirstTickOfBar = True
Bar:5375 (Tick:6), Bar Series: 0, FirstTickOfBar = True
Bar:5375 (Tick:10), Bar Series: 0, FirstTickOfBar = True
Bar:5375 (Tick:13), Bar Series: 0, FirstTickOfBar = True
Bar:5375 (Tick:22), Bar Series: 0, FirstTickOfBar = True
Bar:5376 (Tick:1), Bar Series: 0, FirstTickOfBar = True
Bar:5376 (Tick:11), Bar Series: 0, FirstTickOfBar = True
Bar:5376 (Tick:23), Bar Series: 0, FirstTickOfBar = True
Bar:5376 (Tick:25), Bar Series: 0, FirstTickOfBar = True
Bar:5377 (Tick:1), Bar Series: 0, FirstTickOfBar = True
Bar:5378 (Tick:7), Bar Series: 0, FirstTickOfBar = True
Bar:5378 (Tick:16), Bar Series: 0, FirstTickOfBar = True
Bar:5378 (Tick:19), Bar Series: 0, FirstTickOfBar = True
Bar:5378 (Tick:21), Bar Series: 0, FirstTickOfBar = True
Bar:5378 (Tick:23), Bar Series: 0, FirstTickOfBar = True
Bar:5378 (Tick:25), Bar Series: 0, FirstTickOfBar = True
Bar:5378 (Tick:29), Bar Series: 0, FirstTickOfBar = True
Bar:5378 (Tick:36), Bar Series: 0, FirstTickOfBar = True
Bar:5378 (Tick:39), Bar Series: 0, FirstTickOfBar = True
Bar:5378 (Tick:45), Bar Series: 0, FirstTickOfBar = True
Bar:5378 (Tick:54), Bar Series: 0, FirstTickOfBar = True
Bar:5378 (Tick:58), Bar Series: 0, FirstTickOfBar = True
Bar:5379 (Tick:3), Bar Series: 0, FirstTickOfBar = True
Bar:5379 (Tick:6), Bar Series: 0, FirstTickOfBar = True
Bar:5380 (Tick:3), Bar Series: 0, FirstTickOfBar = True
Bar:5380 (Tick:14), Bar Series: 0, FirstTickOfBar = True
Bar:5380 (Tick:18), Bar Series: 0, FirstTickOfBar = True
Bar:5381 (Tick:1), Bar Series: 0, FirstTickOfBar = True
Bar:5382 (Tick:2), Bar Series: 0, FirstTickOfBar = True
Bar:5382 (Tick:5), Bar Series: 0, FirstTickOfBar = True
Bar:5382 (Tick:8), Bar Series: 0, FirstTickOfBar = True
Bar:5382 (Tick:16), Bar Series: 0, FirstTickOfBar = True
Bar:5382 (Tick:19), Bar Series: 0, FirstTickOfBar = True
Bar:5382 (Tick:22), Bar Series: 0, FirstTickOfBar = True
Bar:5382 (Tick:24), Bar Series: 0, FirstTickOfBar = True
Bar:5383 (Tick:1), Bar Series: 0, FirstTickOfBar = True
Bar:5383 (Tick:7), Bar Series: 0, FirstTickOfBar = True
Bar:5383 (Tick:9), Bar Series: 0, FirstTickOfBar = True
Bar:5383 (Tick:15), Bar Series: 0, FirstTickOfBar = True

[NinjaTrader_Joydeep]

Hello Bryan,
Thanks for the detailed instructions.

I can replicate it at my end and have send it to development for review.

Thanks for your patience.

[cassb]

Hello Bryan,
Thanks for the detailed instructions.

I can replicate it at my end and have send it to development for review.

Thanks for your patience.

OK very good, thank you!

[NinjaTrader_Joydeep]

Hello Bryan,
Development has confirmed it was working not as expected and is scheduled for resolution in our next major release. Unfortunately we do not have a release date at this time for next major release.

[cassb]

Hello Bryan,
Development has confirmed it was working not as expected and is scheduled for resolution in our next major release. Unfortunately we do not have a release date at this time for next major release.

OK, thank you! Can you tell me -- is the problem only when you add the new bar series with Ask prices? It seems when I remove that ADD() line in Initialize, it works OK.

Is there a way to make this work until Development fixes it?

[NinjaTrader_Joydeep]

Hello Bryan,
Yes, it relates to bid/ask data only. I suppose its how NinjaTrader appends the bid/ask data.

Any workable alternatives would depend on what you are trying to do. If you are only want to access the Bid Ask data, then you can use the GetCurrentBid/Ask fucntion. You can also create your own data series and construct the bid/ask data series (for realtime quotes only).

[cassb]

You can also create your own data series and construct the bid/ask data series (for realtime quotes only).

Isn't that what I am doing with this line?

Add(Instrument.FullName.ToString(), BarsPeriod.Id, BarsPeriod.Value, MarketDataType.Ask);

[NinjaTrader_Joydeep]

Hello Bryan,
Yes, you are. However Bid/Ask data series are not constructed the way last or any data series are referenced. For example, Bid/ask series are build only if there is a corresponding last series. These internal logic's makes it different from the normal logic.

[pstrusi]

What would it be a solution just to build an independet Bid series then?

Thanks

[NinjaTrader_Lance]

You can use GetCurrentBid() to get the current bid but for historical Bid/Ask please see the following: http://www.ninjatrader.com/support/h..._ask_serie.htm

Let me know if I can be of further assistance.

[pstrusi]

I appreciate your help Lance, yes this is ok for calling Bid real-time, but it doesn't still answer my question: How can I build an independent Bid,Ask series? Cause I´ve read from this forum, that your Bid-Ask series build as it Last trade occurs, so it sounds uncomplete, cause many Bid-Ask events occur without any "Trade" occuring.

What I want is to build a complete and independet Bid-Ask serie.

If I have just a Bid series chart for any instrument, the database will build as it comes from the exchange or depending on Last trade ?

Thanks

[NinjaTrader_Lance]

You would have to build this using MarketDataType.Bid if your provider supports it.
Here are the MarketDataTypes

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?marketdataeventargs.htm

Also see: http://www.ninjatrader.com/support/h...marketdata.htm

Let me know if I can be of further assistance.

[pstrusi]

Hi Lance, this is a useful info whenever you´re ready for real time.

Maybe I´m misscommunicating what I meant. What I want to know is how can I build independent Bid-Ask series in my historical database, and not just a Bid-Ask series related to Last trades. Apparently NT updates its database from your data provider as it comes from the exchange in three series: Bid-Ask-Last. I thought that this was the normal way, BUT The problem is that I´ve read that Bid-Ask series build whenever a Last trade occurs. As you know too many Bid-Ask events occur without any last trade.

This was what I read from a support team member:

"However Bid/Ask data series are not constructed the way last or any data series are referenced. For example, Bid/ask series are build only if there is a corresponding last series. These internal logic's makes it different from the normal logic."

So, can you guarantee that this is not true, and NT build a real independent Bid-Ask-Last series?

I´m looking forward for your answer