Calculate VolumeBid, VolumeAsk on historical data, when level 2 is available

[kujista]

Hello,
I am developing indicator to calculate volume on Bid and volume on Ask (on candle).
I need work with also historical data.

Below is script that works on realtime data. Is there a way to solve this on historical data? Especially OnMarketData part? I thought I saw somewhere about adding another DataSeries based on ask bid? Is there an example?

Thanks a lot

Code:

On realtime data, this approach works for me:

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate() {

if(Open[0] > Close[0])
Values[2].Set(Volume[0]);
else if(Open[0] < Close[0])
Values[3].Set(Volume[0]);
else
Values[4].Set(Volume[0]);

if (CurrentBar < activeBar)
{
return;
}
else if (CurrentBar != activeBar)
{
Print(Time[0] + " buys: " + buys + " sells: " + sells + " Close[0]: " + Close[0]);

// Sells
Values[0].Set(sells);

// Buys
Values[1].Set(buys);

buys = 0;
sells = 0;
activeBar = CurrentBar;

UpdateHistogram();
}

if (!Historical) {

// Sells
Values[0].Set(sells);

// Buys
Values[1].Set(buys);
}

}

AND:

/// <summary>
/// Called on each incoming real time market data event
/// </summary>
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Ask)
askPrice = e.Price;
else if (e.MarketDataType == MarketDataType.Bid)
bidPrice = e.Price;
else if (e.MarketDataType == MarketDataType.Last)
{
if (askPrice > 0 && e.Price >= askPrice)
buys += e.Volume;
else if (bidPrice > 0 && e.Price <= bidPrice)
sells += e.Volume;
}
}

[NinjaTrader_PaulH]

Hello kujista,

Thanks for your post.

You can add bid/ask data but please note that historically it will not call the OnMarketData().

Here is a link to the help guide on Add(): https://ninjatrader.com/support/help.../nt7/?add3.htm

In NinjaTrader7 you may not be able to accomplish your goal. (Can be done in NT8 with tick replay).

We will leave this open for any community response.

We'll look into this further and update this thread when we have further information.

[NinjaTrader_PaulH]

Hello kujista,

After further review we have these comments:

We do not have any means to do OnMarketData() historically.

When adding bid/ask data series, the exact sequence of a mix of bid/ask/last events will not be maintained while processing the historical data from multiple series.
Reference: https://ninjatrader.com/support/help..._ask_serie.htm

An approach you could take would be to create a system to record the data you need, in a format you need and create your own historical OnMarketData() to process the historical market data events. We would not have any examples of that.