Historical Time and Sales

[tupchurch]

I have an indicator that uses the OnMarketData event to get Time and Sales information. This part seems to be working fine. I want to back-fill the indicator. What is the best way to do that? Thanks

[NinjaTrader_Bertrand]

tupchurch, there would unfortunately not be a supported approach to achieve that, since the OnMarketData() is not called on historical data. Our next major platform update will allow the historical triggering of OnMarketData through a process we call TickReplay. This would provide the most consistent outcome.

There's the GOM Recorder indicator framework around that records the backfill data needed to binary files, this would be an approach you could check into as well in the meantime.

[tupchurch]

This data must be in the historical data, yes? What if I made a one tick chart with bid, ask and last prices and compared the last price to the bid and ask prices and couple that with volume. Would this be that same data? I could share the data with other charts via SQL Server or maybe even the registry. I don't know if that would be accurate. Please let me know if I am misunderstanding the data. Thanks

[NinjaTrader_ChelseaB]

Hi tupchurch,

You may try adding a tick series of bid and ask and getting those historically.

For example:

Add(Instrument.Fullname, PeriodType.Tick, 1, MarketDataType.Ask)
Add(string instrumentName, PeriodType periodType, int period, MarketDataType marketDataType)

http://www.ninjatrader.com/support/h...s/nt7/add3.htm