Historical Level 2 values access

[akuntysh]

Hello! I am wondering if it is possible to access historical data of DOM values (level 2) in NT7 or NT8? What I need is to access the price levels from the level 2 data including the volumes of placed orders for each price level. In NT8 there is a feature called Tick Replay, however it generates only OnMarketData() events, rather than OnMarketDepth().

[NinjaTrader_AlanP]

Hello akuntysh,

You would not be able to access historical book data. However if you wanted your indicator or strategy to reference previous values you could create a data series and save these values to that series for which you could then reference. If you’d like I can provide an indicator which demonstrates how this could be done.

Please let us know if you need further assistance.

[akuntysh]

Hello Alan! Thank you for your response. If you could send me a code of such a "recording" indicator it would be great!

[NinjaTrader_AlanP]

Hello akuntysh,

In the support department at NinjaTrader we do not create, debug, or modify code for our clients. This is so that we can maintain a high level of service for all of our clients.

You can also contact a professional NinjaScript Consultants who would be eager to create or modify this script at your request or assist you with your script. Please let me know if you would like our business development follow up with you with a list of professional NinjaScript Consultants who would be happy to create this script or any others at your request.

Please let us know if you need further assistance.