Where is bid/ask size?

[Profitmake]

Ninjatrader v6 and 7

I can't see anything in Market Analyzer which I can add "bid/ask size". This is one of the most basic information. Why isn't it available?

I would like to like to set alerts on bid/ask size, their relative sizes etc.

[NinjaTrader_Bertrand]

Profitmake, for this you would need to create an indicator in our NinjaScript accessing OnMarketData's Level 1 info.

http://www.ninjatrader-support.com/HelpGuideV6/OnMarketData.html

[Profitmake]

Thanks for your reply. But I couldn't figure out how to do it. An indicator couldn't be added into MArket Analyzer. Also I can't find a way to set an alert on the indicator either.

1. Could you please provide the code to display bid/ask size on Market Analyzer?
I just need two scripts, one displaying the bid size, another ask size.

2. This is one of the most basic information that you could see in stock quotation. I hope it can be readily available. Please consider to add it in the next build.

[NinjaTrader_Ben]

Hello,

1- If I understand what you want, just plot the GetCurrentBidVolume() in an indicator then attach that indicator to the MA just like you would any other indicator. I am sorry we don't develop for customers. We can give tips though.

2- Have you looked at the time and sales and Level II windows?:

http://www.ninjatrader-support.com/HelpGuideV6/Overview19.html

http://www.ninjatrader-support.com/HelpGuideV6/Overview43.html

Both can be found under File>New.

[Profitmake]

Hello,

1- If I understand what you want, just plot the GetCurrentBidVolume() in an indicator then attach that indicator to the MA just like you would any other indicator. I am sorry we don't develop for customers. We can give tips though.

2- Have you looked at the time and sales and Level II windows?:

http://www.ninjatrader-support.com/HelpGuideV6/Overview19.html

http://www.ninjatrader-support.com/HelpGuideV6/Overview43.html

Both can be found under File>New.

Well this is actually what I want.



Market Analyzer serves a different purpose than T&S/Level II. I can monitor plenty of stock quotes at a glance in Market Analyzer. If I were to use either of them I would have to open tons of windows which would become a mess.

The very basic of a stock quote:
1. Instrument name
2. Current (last) price and last size
3. Change
4. Volume
5. Open / High / Low / Close
6. Bid price and bid size
7. Ask price and ask size

You have most of them but you missed three which are the fundamentals of a stock quote. Level 1 (top market quote) is the most basic one. Many daytraders and swing traders need it. How could I monitor the stock with incomplete Level I data?

Besides Market Analyzer let me set alert, cell and filter conditions while T&S / Level II don't. I would like to set alerts on bid/ask size. I couldn't do it in T&S / Level II.

That's why I strongly suggest your team to add the two most basic information into Market Analyzer. I guess this is a small request which should take little effort to implement. Please seriously consider it.

[Profitmake]

I think I really suck. I tried so many times in vain. I'm not really coding/programming. is not even an indicator at all literally speaking.

I merely want to see bid size and ask size. That's it!
So I just want one so-called indicator to display bid size, another to display ask size.

I tried to create a ninjascript just to show bid/ask size in Market Analyzer. This was all I have tried. I have followed your tips and suggestions. But none of it worked. I can't add the custom "indicator" because it doesn't show up in any list, be it in "Chart > Indicators", or in "Market Analyzer > Columns... > Indicators".

(Problem solved. See reply below)

[NinjaTrader_Ben]

Hello,

I am sorry, we can't code it for you.

Try using this in the OnBarUpdate section:
Value.Set(GetCurrentBidVolume());

Try it and see. I'm not sure if it will work.

[Profitmake]

Thanks for the pointer.

I found out Market Analyzer misses last size (last traded size) too. But
Value.Set(GetCurrentLastVolume()); doesn't exist.

After all bid/ask/last size should be added to Market Analyzer for the benefits of all customers.

[NinjaTrader_Bertrand]

Profitmake, I believe Ben referred to something like the attached, plotting the current bid volume in realtime, you can easily add to the MA as colums, vice versa doable for the ask volume with this starting point.

[Profitmake]

Hello thank you so much for the file. Do you know what command I should use instead if I want to show last size.

The bid and ask size are both completed. Thank you for both of your help. Only last size is left out now.

[NinjaTrader_Bertrand]

You would either need to grab it from OnMarketData's Level 1 info, or use VOL with CalculateOnBarClose set to false.

[Profitmake]

Thank you for your suggestion. Your "VOL" approach works well.

I have tested the given indicators a few times recently. I tried to plot bid size and ask size (record once per minute) on the chart. However they don't seem to work reliably. The value goes wrong in some time. Also the bar fails to update most of the time even if "CalculateOnBarClose" is set to false.

I suspect the problem lies on this two functions GetCurrentBidVolume() and GetCurrentAskVolume(). Would it be a bug on your platform or just my mistake? Could you check to see if you encounter the same problem on your end?

[NinjaTrader_RyanM1]

Hello Profitmake,

Could you clarify what you mean by "goes wrong in sometime"?

If you share the setup you're using we can test on our side. Please include details such as Instrument/ provider/ chart interval, and the exact code you're using. Neither file you posted contains anything that divides GetCurrentBidVolume() / GetCurrentAskVolume()

[Profitmake]

Sorry that I'm not clear enough last time.

Well I actually want to say I suspect the problem lies on the two functions, which are GetCurrentBidVolume() and GetCurrentAskVolume().

Today I investigated further and I found that it appears the current bid/ask size only updates when a trade executed, not when the current bid/ask size changes.

VOL shares the same problem. I use VOL indicator as a workaround (suggested by your staff) to get last size but it doesn't update immediately when you add it.


(Hong Kong stock: 8159, HKEX)

As you see:
Bid size is the same as bid price.
Ask size is the same as ask price.
VOL shows nothing even though last size is available.

The problem doesn't go away until the next few trades done which may make the system to update the bid/ask/last size.

Similar problems arise when you plot the bid/ask size indicators into the chart. Try it yourself:
1. Find a stock which is moderately traded so it's easier for you to spot the discrepancies.
2. Open 1 minute chart
3. Watch closely the value shown on the chart and IB booktrader (in case you use IB).
4. The bid/ask size isn't right at times.

[Profitmake]

By the way I wonder if Ninjatrader can plot historical bid/ask size from IB datafeed. Currently it only works real time. I think I can remove that portion of code:

          if (Historical)
                return;

But is it able to get the right historical values?

I believe this code tells the system that if it's historical data, simply plots nothing and return to the first part of the command.