How to get Ask/Bid for historical bars

[cassb]

In forex, there are really two bar series, one is the bars of the Ask prices, and one is the bars of the Bids.

So if I wanted to get the High[x] of the Asks for a historical bar, how do I get that? I assume I have to first test if (Instrument.MasterInstrument.InstrumentType == InstrumentType.Currency). Would I just use GetCurrentAsk(x), or does that look at the Bids bar series (the default series on the chart)?

Thanks!
Bryan

[NinjaTrader_Joydeep]

Hello Bryan,
You have to Add an additional bar series to refer to the ask bar series.

Please use the below overload to Add an additional bas array and please make sure to assign the MarketDataType as Ask.

Add(string instrumentName, PeriodType periodType, int period, MarketDataType marketDataType)

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?add3.htm

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

[cassb]

Hello Bryan,
You have to Add an additional bar series to refer to the ask bar series.

Please use the below overload to Add an additional bas array and please make sure to assign the MarketDataType as Ask.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?add3.htm

http://www.ninjatrader.com/support/h...nstruments.htm

Ah, ok I have added Bar series before, so I know how, thanks! Tell me then, for futures instruments (and all others), is the main bar series on every chart always the Bid price then? It doesn't matter on futures because bid/ask is so close and there are commissions, but it does matter on Forex.

Thanks!

[NinjaTrader_Joydeep]

Hello Bryan,
Only forex references the bid price as the last traded price. For futures/stocks the last traded price is a separate bar series.

[cassb]

Hello Bryan,
Only forex references the bid price as the last traded price. For futures/stocks the last traded price is a separate bar series.

Oh, OK got it. So I only need this secondary data series for InstrumentType = Currency. Now one more thing... when adding the new dataseries in the Initialize tag, I am trying to add one using the same instrument as the primary series. But for currencies, when I use Instrument.MasterInstrument.Name.ToString(), it returns "EURUSD" which is an invalid instrument name. The name should be "$EURUSD". Is there a different method to get the proper instrument name?

Thanks!

[NinjaTrader_Joydeep]

Hello Bryan,
If you use the below code then can you get the proper name

Instrument.FullName

Please let me know if I can assist you any further.

[cassb]

Hi Joydeep. Can you help me explain something? I am adding the second Bars series to my indicator using the Add() method you recommend. However, the indicator script never run the OnBarUpdate() code for BarsInProgress = 1. Why not? I have attached an example indicator that shows the issue. Put this indicator on a chart with a currency instrument -- I used $EURUSD. And here is the output I get with it:

0: BarsInProgress = 0
Highs[0][0] = 1.23485, Highs[1][0] = 0
1: BarsInProgress = 0
Highs[0][0] = 1.23392, Highs[1][0] = 0
2: BarsInProgress = 0
Highs[0][0] = 1.23392, Highs[1][0] = 0
3: BarsInProgress = 0
Highs[0][0] = 1.23387, Highs[1][0] = 0
4: BarsInProgress = 0
Highs[0][0] = 1.23381, Highs[1][0] = 0
5: BarsInProgress = 0
Highs[0][0] = 1.23374, Highs[1][0] = 0
6: BarsInProgress = 0
Highs[0][0] = 1.2338, Highs[1][0] = 0
7: BarsInProgress = 0
Highs[0][0] = 1.23386, Highs[1][0] = 0
8: BarsInProgress = 0
Highs[0][0] = 1.2337, Highs[1][0] = 0
9: BarsInProgress = 0
Highs[0][0] = 1.23392, Highs[1][0] = 0
10: BarsInProgress = 0
Highs[0][0] = 1.23394, Highs[1][0] = 0

It never sets BarsInProgress = 1, and therefore the Highs[1][0] value is always 0. I assume it should have actual values in it from the bars in that data series.

Thanks!

[NinjaTrader_Joydeep]

Hello Bryan,
To assist you further can you please send a toy NinjaScript code* replicating the behavior to support[AT]ninjatrader[DOT]com

Please append Attn:Joydeep in the subject line of the email and give a reference of this thread in the body of the email.

I look forward to assisting you further.

*The "toy" just means something that is a stripped down version that isn't necessarily the whole logic. It makes things easier to rout out.

[cassb]

Yes, I am sorry -- I forgot to attach the indicator last night.

I attached it to this post... let me know what you think.

Thanks!

[NinjaTrader_Joydeep]

Hello Bryan,
Thanks for the code.

To assist you further may I know

• Who your connectivity provider is?
• On what chart (timeframe) you are putting the indicator on?

I look forward to assisting you further.

[cassb]

Hello Bryan,
Thanks for the code.

To assist you further may I know

• Who your connectivity provider is?
• On what chart (timeframe) you are putting the indicator on?

I look forward to assisting you further.

I am using the FXCM connection. This is on a $GBPUSD 5 min. bar chart.

[NinjaTrader_Joydeep]

Hello Bryan,
Thanks for the information.

I am able to get the data using FXCM.

Please make sure you have enough bars before you request the quotes

if (CurrentBars[0] < 1 || CurrentBars[1] < 1) return;
Print(CurrentBar + ": BarsInProgress = " + BarsInProgress);
Print("Highs[0][0] = " + Highs[0][0] + ", Highs[1][0] = " + Highs[1][0]);

http://ninjatrader.com/support/forum/showthread.php?t=3170

1773: BarsInProgress = 0
Highs[0][0] = 1.6237, Highs[1][0] = 1.6239
1773: BarsInProgress = 0
Highs[0][0] = 1.6237, Highs[1][0] = 1.6239
1593: BarsInProgress = 1
Highs[0][0] = 1.6237, Highs[1][0] = 1.6239
1773: BarsInProgress = 0
Highs[0][0] = 1.6237, Highs[1][0] = 1.6239

Please let me know if I can assist you any further.

[cassb]

OK thanks. There must be a bug in the NT core code then, because last night, you can see that BarsInProgress was never set to 1. However, today that data series is working fine.

For some reason last night, the second data series never activated... I have had trouble with this beta FXCM connection for the past few weeks. It probably has something to do with that connection. You might want to investigate the FXCM connection code?

[NinjaTrader_Joydeep]

Hello Bryan,
Thanks for your note.

Glad to know you are getting the correct prints.

Everything is working fine at my end. If you can replicate the scenario then please let us a step by step reproducible scenario and we will be happy to further investigate it.

[cassb]

Hello Bryan,
Thanks for your note.

Glad to know you are getting the correct prints.

Everything is working fine at my end. If you can replicate the scenario then please let us a step by step reproducible scenario and we will be happy to further investigate it.

Sorry, but I think you'll have to go back in time to do that. That is frustrating, because it clearly did not work the same last night as the same code is working this morning. I don't know what to tell you other than I don't think anything is different on my end except for the time of day.