Find out if Order filled at Bid or Ask

[obulig]

I am building an orderflow chart and need to find out if the last price is filled at bid or ask.

What is the best way to get this info?

My confusion is that if I first obtain "Last Price" and then bid and ask info - this may not be accurate especially in securities where there is a wider spread.

So what I need is Bid/Ask info first and then I need to know whether a trade took place at bid price or ask price or something else.

Thanks.

[NinjaTrader_Bertrand]

obulig, you can take a look at our Power Volume indicators code to see how the split up the trades programmatically in NinjaScript - http://www.ninjatrader-support.com/H...ndicators.html

[RJay]

I am building an orderflow chart and need to find out if the last price is filled at bid or ask.

What is the best way to get this info?

My confusion is that if I first obtain "Last Price" and then bid and ask info - this may not be accurate especially in securities where there is a wider spread.

So what I need is Bid/Ask info first and then I need to know whether a trade took place at bid price or ask price or something else.

Thanks.

obulig,

This code does that and also captures the number of contracts traded.

protected override void OnMarketData(MarketDataEventArgs e)
{

if (e.MarketDataType == MarketDataType.Ask)AskPrice = e.Price;

if (e.MarketDataType == MarketDataType.Bid)BidPrice = e.Price;

if (e.MarketDataType == MarketDataType.Last)LastPrice = e.Price;

if (e.MarketDataType == MarketDataType.Ask)AskVolume = e.Volume;

if (e.MarketDataType == MarketDataType.Bid)BidVolume = e.Volume;

if (e.MarketDataType == MarketDataType.Last)LastVolume = e.Volume;

if (e.MarketDataType != MarketDataType.Last)return;


if((LastPrice >= AskPrice) && (AskPrice!=0)) CurrentAskVolume = LastVolume;
else if((LastPrice <= BidPrice) && (BidPrice!=0)) CurrentBidVolume = LastVolume;

}

RJay

[obulig]

Thank you Bertrand. That should help me out.

RJay, your method is throwing lots of Ask and Bid prices. I need to spend some more time to understand how it works. Thanks for the suggestion though.

[obulig]

After some more playing around RJay yours is the only method that works accurately.

Thank you very much.