Bid/Ask Rate of Change

[brucelevy]

How would one go about identifying the rate of change over a given number of bars between the bid and ask?

[sledge]

How would one go about identifying the rate of change over a given number of bars between the bid and ask?

Use https://ninjatrader.com/support/help...marketdata.htm ?

[NinjaTrader_PatrickH]

Hello brucelevy,

Thank you for your post.

You would add in the Bid and Ask as secondary series in the script. For example, in Initialize():

Add("ES 09-16, PeriodType.Minute, 1, MarketDataType.Bid);
Add("ES 09-16, PeriodType.Minute, 1, MarketDataType.Ask);

You would then compare the values against one another:

if (Closes[1][0] > Closes[2][0])
// do something

For information on working with multiple series in your script please visit the following link: http://ninjatrader.com/support/helpG...nstruments.htm

Please let me know if you have any questions.