Constructing a volume-based spread

[bluelou]

I'd like to use volume data (volume = 1) for one instrument and get the price for that instrument and the concurrent price for a second instrument at the SAME TIME STAMP that the primary 1-volume bar occurred in order to construct a volume-based spread.

My question is how do I extract the price of the secondary instrument at the time stamp of the primary instrument? See below for more details.

In other words, I need the following:
1) A primary instrument 1 contract volume bar (i.e., volume = 1)
2) The price for a second instrument at the most recent time stamp for the primary instrument 1 volume bar.

Example:
primary instrument = ES, volume = 1
secondary instrument = NQ
//Note: when volume = 1, we just have a Close price, there is no OHLC bar

bar[1]: ES (primary) 1 volume bar price = 1681.50, time = 10:00:55, NQ (secondary) price @ 10:00:55 = 3722.25, spread = 2040.75
//Question: How do I get the NQ price at 10:00:55?

bar[2]: ES (primary) 1 volume bar price = 1681.75, time = 10:01:01, NQ (secondary) price @ 10:01:01 = 3722.00, spread = 2040.25

[Harry]

You need to add a 1-tick series of the second instrument and collect the value for each incoming tick, and then store it in a variable. Then retrieve that value when OnBarUpdate() calls the primary bars (BarsInProgress == 0) and calculate the spread.

[bluelou]

Thx, Harry. I was wondering if there was another way. That'll do..

[NinjaTrader_PatrickH]

Hello bluelou,

Thank you for your post.

Adding the secondary bar series to the script with a 1 tick period as Harry suggested should work for this example. You would however only need to call Closes[1][0] to pull the last close of the 1 tick bar series.

For information on Closes please visit the following link: http://www.ninjatrader.com/support/h...nt7/closes.htm

For information on using multiple instruments and time frames please visit the following link: http://www.ninjatrader.com/support/h...nstruments.htm

Please let me know if I may be of further assistance.