Getting wrong GetCurrentBid and GetCurrentAsk data

[guillembm]

Hi,

it happens sometimes that when using GetCurrentBid or GetCurrentAsk I get wrong data. When comparing with IB data the problem is when setting a limit order it never gets filled because is out of the price requirements of the market.

Is OnMarketData() the solution for this?

On what part of the strategy this code
protected override void OnMarketData(MarketDataEventArgs e)
{
}
has to be set? I make this question because I need this data before OnBarUpdate() is executed.

Thanks

[NinjaTrader_Bertrand]

guillembm, yes OnMarketData() should help you here getting closer to the exact event timing of the Bid / Ask update events seen, the GetCurrentBid / GetCurrentAsk would be tied to the OnBarUpdate() timing.

There would be no specific requirement where to call it in your script, you can ensure you process the call to the OnMarketData() updated variables early in your OnBarUpdate() then.

[guillembm]

Continuing with this post I have another issue.

I wrote this code before the onorderupdate:

protected override void OnMarketData(MarketDataEventArgs e)
{
if (BarsInProgress == 1)
{
if (e.MarketDataType == MarketDataType.Ask)
AskP = e.Price;

if (e.MarketDataType == MarketDataType.Bid)
BidP = e.Price;
}
}

AskP and BidP are two varialbes I created

I also wrote on onorderupdate:

Print("AskPrice: " + AskP);
Print("BidPrice: " + BidP);

on the output window both values appear as 0.

What I'm doing wrong?

[NinjaTrader_Bertrand]

guillembm, are you testing on live data or are you attempting this on historical data only?

[guillembm]

live data. Bars in progress = 1 is the same symbol than Bars in progress = 0 but with a different time frame

[NinjaTrader_Bertrand]

If it's the same instrument please try with BIP = 0 since BarsInProgress will return the first BarsInProgress series that matches the instrument for the event.

[guillembm]

It works, thanks