Time&Sales last trade

[YevhenShynkarenko]

Hello!
Want to write some script which will use T&S data.
Which command I need to use if I want to know:
- the size (volume) of last trade
- was last trade on ask or on bid price
- time of last trade

Thanks!

[NinjaTrader_ShawnB]

Hello YevhenShynkarenko,


You could use MarketDataEventArgs to access those values.


Here is the MarketDataEventArgs Help Guide to assist you further.



Here is an example that prints the Last, Ask and Bid prices to the output window. The times and the volume for each are printed as well.

protected override void OnBarUpdate()    [COLOR=#000000][FONT=Tahoma][LEFT]              {}[LEFT][/LEFT][LEFT][/LEFT]
[COLOR=#000000][FONT=Tahoma][LEFT]             [/LEFT][/FONT][LEFT][/LEFT][/COLOR][LEFT][/LEFT]
[COLOR=#000000][FONT=Tahoma][LEFT]protected override void OnMarketData(MarketDataEventArgs e)[/LEFT][/FONT][LEFT][/LEFT][/COLOR][LEFT][/LEFT]
[COLOR=#000000][FONT=Tahoma][LEFT]             {
     if (e.MarketDataType == MarketDataType.Last)          
          Print("Last = " + e.Price + " " + e.Time + " " + e.Volume);
     else if (e.MarketDataType == MarketDataType.Ask)
         Print("Ask = " + e.Price  + e.Time + " " + e.Price + " " + e.Volume);
    else if (e.MarketDataType == MarketDataType.Bid)
         Print("Bid = "  + e.Price + " " + e.Time + " " + e.Volume);
               }
[/LEFT][/FONT][LEFT][/LEFT][/COLOR][LEFT][/LEFT]

[/LEFT][/FONT][/COLOR]

[YevhenShynkarenko]

Hello YevhenShynkarenko,


You could use MarketDataEventArgs to access those values.


Here is the MarketDataEventArgs Help Guide to assist you further.



Here is an example that prints the Last, Ask and Bid prices to the output window. The times and the volume for each are printed as well.

protected override void OnBarUpdate()    [COLOR=#000000][FONT=Tahoma][LEFT]              {}[LEFT][/LEFT][LEFT][/LEFT]
[COLOR=#000000][FONT=Tahoma][LEFT]             [/LEFT][/FONT][LEFT][/LEFT][/COLOR][LEFT][/LEFT]
[COLOR=#000000][FONT=Tahoma][LEFT]protected override void OnMarketData(MarketDataEventArgs e)[/LEFT][/FONT][LEFT][/LEFT][/COLOR][LEFT][/LEFT]
[COLOR=#000000][FONT=Tahoma][LEFT]             {
     if (e.MarketDataType == MarketDataType.Last)          
          Print("Last = " + e.Price + " " + e.Time + " " + e.Volume);
     else if (e.MarketDataType == MarketDataType.Ask)
         Print("Ask = " + e.Price  + e.Time + " " + e.Price + " " + e.Volume);
    else if (e.MarketDataType == MarketDataType.Bid)
         Print("Bid = "  + e.Price + " " + e.Time + " " + e.Volume);
               }
[/LEFT][/FONT][LEFT][/LEFT][/COLOR][LEFT][/LEFT]

[/LEFT][/FONT][/COLOR]

Thanks for reply!
And is MarketDataType.Bid is the last trade on bid price? Or it will show how many orders are standing on current bid price?
Thanks!

[NinjaTrader_ShawnB]

Hello YevhenShynkarenko,


Yes, MarketDataType.Bid will represent the current bid price. Using e.Volume will return the volume of the current bid price.


I have included the sample Level II Data Book indicator to assist you further.
Indicator Creating your own Level II data book - NinjaTrader Support Forum

[YevhenShynkarenko]

Hello YevhenShynkarenko,


Yes, MarketDataType.Bid will represent the current bid price. Using e.Volume will return the volume of the current bid price.


I have included the sample Level II Data Book indicator to assist you further.
Indicator Creating your own Level II data book - NinjaTrader Support Forum

Okay. But how can I wrote to Output was the Last trade on Bid or on Ask? Can I do it? Thanks!
Want to create something like Time & Sales but in Output Window.
For example if last trade was on Bid size i want to see that last trade was at Time X and with Volume Y.

[NinjaTrader_ShawnB]

Hello YevhenShynkarenko,

Please use MarketDataEventArgs to access those values.
Here is the MarketDataEventArgs Help Guide to assist you further.

https://ninjatrader.com/support/helpGuides/nt7/?marketdataeventargs.htm

I have included the sample Level II Data Book indicator to assist you further.
Indicator Creating your own Level II data book - NinjaTrader Support Forum


Here is an example that prints the Last, Ask and Bid prices to the output window. The times and the volume for each are printed as well.

[LEFT][FONT=Consolas][SIZE=1][COLOR=#0000FF]protected[/COLOR][/SIZE][/FONT] [FONT=Consolas][SIZE=1][COLOR=#0000FF]override[/COLOR][/SIZE][/FONT] [FONT=Consolas][SIZE=1][COLOR=#0000FF]void[/COLOR][/SIZE][/FONT] [FONT=Consolas][SIZE=1]OnBarUpdate()    [/SIZE][/FONT]
[FONT=Consolas][SIZE=1]              {}[/SIZE][/FONT]
[FONT=Consolas][SIZE=1]             [/SIZE][/FONT]
protected override void OnMarketData(MarketDataEventArgs e)
             {
     if (e.MarketDataType == MarketDataType.Last)          
          Print("Last = " + e.Price + " " + [FONT=Consolas]e.Time[/FONT] + " " + e.Volume);
     else if (e.MarketDataType == MarketDataType.Ask)
         Print("Ask = " + e.Price  + [FONT=Consolas]e.Time[/FONT] + " " + e.Price + " " + e.Volume);
    else if (e.MarketDataType == MarketDataType.Bid)
         Print("Bid = "  + e.Price + " " + [FONT=Consolas]e.Time[/FONT] + " " + e.Volume);
               }
[/LEFT]