Bid / Ask historical

[ronald.garcia]

Hello,

I'm trying to run a backtest - working with historical data - with my indicator. However, something is wrong.

My real-time data logic - OnMarketData:

if (e.MarketDataType == MarketDataType.Last)
lastVolume = e.Volume;
lastPrice = e.Price;
else if (e.MarketDataType == MarketDataType.Ask)
priceAsk = e.Price;
else if (e.MarketDataType == MarketDataType.Bid)
priceBid = e.Price;
//My method
myMethod(lastPrice, lastVolume);


I've moved that logic to OnBarUpdate, now it's looks like this:

protected override void Initialize()
{

Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Last);
Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Ask);
Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Bid);
CalculateOnBarClose = true;

}
protected override void OnBarUpdate()
{
if (BarsInProgress == 1)
{
lastVolume = Volume[0];
lastPrice = Close[0];
myMethod(lastPrice, lastVolume);
}
if (BarsInProgress == 2)
{
priceAsk = Close[0];
}
if (BarsInProgress == 3)
{
priceBid = Close[0];
}
}

I would really appreciate any help you can give me.

Cheers,

Ronald.

[NinjaTrader_Bertrand]

Hi Ronald, would you mind clarifying what is not working according to your expectations? The method you've designed is only called in BIP0 so for Last data per your code.

[ronald.garcia]

Hi Bertrand,

Yes, that's correct. I need to be sure that my indicator works properly on historical and realtime data. That's the reason why I moved my logic to OnBarUpdate. However, the indicador is not displaying the right bid-ask information.

My question is: How can I get Bid/Ask Intrabar values for historical purposes? I just need to simulate the OMD logic for backtest.

Cheers,

[ronald.garcia]

I've read this online, is this accurate?

The reason being that historical bid and ask data are stored in separate data structures with only 1 second time stamp resolution. This make it impossible to reconstruct historical bid, ask and last data in the same sequence as it occurred real time.

[NinjaTrader_Bertrand]

Ronald, that's correct the timestamp resolution is down to 1 second. For our next major update we're looking to enhance this by allowing down the .NET .Ticks resolution (1 tick == 100 nanoseconds)

Also, the 3 streams you work with are individually updating per series and are not inherently synched as the pure OnMarketDate() Level1 stream.

[ronald.garcia]

Thank you for your help.

I'm looking forward to the next version.

Ronald.