Ask/bid bars?

[heech]

Hi,

Any way to store real-time bars based on ask/bid, and not just last?

I'm working with some contracts which basically don't trade over-night... so when I look at the chart, it's almost blank. But the ask/bid is actually reasonably tight. For backtesting purposes, I'd like to start building up bars based on ask/bid (or midpoint).

Is this something I have to write my own code to track? Or is there some built-in capability that makes this easier?

[NinjaTrader_RyanO]

Hello Heech,

Thank you for your post.

This is not possible without programming in NinjaTrader 6.5. However, thanks to other members of the support forum they have already attempted to do this, and more information can be found at the forum post at the following link: http://www.ninjatrader-support2.com/...d.php?p=100303

In NinjaTrader 7 this feature will exist without any programming necessary. Please see the following link for more details on Version 7.

http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html

[heech]

Ah, perfect. Looks like Ninja 7 will support it natively, great news.

"Historical bid/ask data is only supported by some broker and market data vendors."

Any info at this point which data vendors support historical bid/ask?

[NinjaTrader_Ray]

Ah, perfect. Looks like Ninja 7 will support it natively, great news.

"Historical bid/ask data is only supported by some broker and market data vendors."

Any info at this point which data vendors support historical bid/ask?

Not a complete list but I can say that any users connected to Zen-Fire to Trading Technologies will have access to historical bid/ask and last data.

[heech]

Not a complete list but I can say that any users connected to Zen-Fire to Trading Technologies will have access to historical bid/ask and last data.

Hey Ray,

Woah... I thought ZenFire didn't offer *any* historical data. Now it will offer historical bid/ask as well as last? Lookin' forward to it.

As far as TT, ~cough cough~, here's hoping someone hits the "run" button and tries out the ICE certification.

[heech]

Hello Heech,

In NinjaTrader 7 this feature will exist without any programming necessary. Please see the following link for more details on Version 7.
http://www.ninjatrader.com/webnew/NT7/NinjaTrader7.html

Hi,

What about the bars fed into our strategy, if we're outside of a chart? Or for instruments that we explicitly Add()? Will we be able to specify ask/bid bars for High/Low/Close()...? (Or, it can just inherit from however the master instrument is configured.)

Please make that available, thanks!

[NinjaTrader_Ray]

Hi,

What about the bars fed into our strategy, if we're outside of a chart? Or for instruments that we explicitly Add()? Will we be able to specify ask/bid bars for High/Low/Close()...? (Or, it can just inherit from however the master instrument is configured.)

Please make that available, thanks!

You will be able to specify the "MarketDataType" for the bar as Ask, Bid or Last either programmatically for additional series or in the Strategy grid when running a strategy outside of a chart.