Tick by Tick Data

[freewind]

Hi,

I'm developing an indicator that analyze tick by tick data,CalculateOnBarClose=false;

My question is how I get to the last tick data that called OnBarUpdate():
1. The tick price.
2. The tick volume.

This is different from using bars and accessing the bar data such as Close[0];

Thanks in advance!

[NinjaTrader_Austin]

freewind, Close[0] will actually give you the last tick price, but to get the last tick volume you'll either have to keep track of the difference between each Volume[0] to get the most recent volume change, or you can use OnMarketData() to get the most recent tick volume.

OnMarketData(MarketDataEventArgs e)
{
   // if nt7
   long currentVolume = e.Volume;
   
   // if nt6.5
   int currentVolume = e.Volume;
}

[freewind]

Thank Austin.
So if I understand correctly I can set CalculateOnBarClose=true. and separate the logic for tick analysis to OnMarketData() and bar logic to OnBerUpadate().
The OnMarketData() is called on each tick because the voume is changing even if the price didn't change, correct?
BTW can I use the last tick volume as Volume[0]-Volume[1]?

[NinjaTrader_Austin]

freewind, yes, this is correct. There is a reference sample that demonstrates how to separate the tick-by-tick logic from the bar-by-bar logic.

OnMarketData() is called on every bid, ask, or trade update.

You cannot use the last tick volume as Volume[1]-Volume[0] because volume[1] contains the entire volume of the last bar while volume[0] is updated continuously as the bar progresses.

[freewind]

Thank again Austin.
Is there a way to backtest my strategy on tick data? I don't need Bid Ask just the data that is in the tick DB.

[NinjaTrader_Austin]

freewind, here is the reference sample that demonstrates how to backtest with an intrabar granularity.

[freewind]

Austin,
If I have a strategy that CalculateOnBarClose set to false, and I have tick data and I run the strategy on a 150 tick bar chart does OnBarUpdate() is called on each tick on my historical data?