Historical Depth of Market?

[pbailey19]

Quick question: I'm very familiar with downloading historical and/or market replay Tick and Minute data for my research and backtesting, from Kinetick. But I'm wondering if there's any way for me to view Level 2 data, or Time and Sales, depth of market - during my research and practice.

Basically, I'd like to be able to view historical trade sizes (for futures, and forex if possible). With a basic chart, I can easily see the price action and range that happened overnight. I'd like to be able to review how large/liquid the trading action was (NOT just basic volume). Is this possible at all?

[NinjaTrader_Kyle]

Hello,

Thank you for contacting us.

Level II data is available however there is not a way to display historical depth of market numbers by default. This is something which you could achieve through custom programming however. If you are not a programmer yourself any of the NinjaScript consultants listed at the following link could code this type of project at your direction: http://www.ninjatrader.com/partners....pt-Consultants

[pbailey19]

Thanks for the quick reply. Actually, I am a programmer, so that's not a problem. But if you can think of an example/sample to point me in the right direction, I'd appreciate it.

[NinjaTrader_Bertrand]

pbailey19, to further clarify - to work with historical Level 2 data you would need to stay in the Market Replay environment since 'true' historical data would not be available elsewhere for it however it would get recorded from a live stream as part of our replay environment that we offer. Essentially it would be the data you would need to download as well to see a fully populated DOM in replay. That you could access programmatically then as well in NinjaScript via the OnMarketDepth() method if desired.

http://www.ninjatrader.com/support/helpGuides/nt7/onmarketdepth.htm?zoom_highlightsub=OnMarketDepth