Bid & Ask Quotes only recorded in bar on tick basis.

[robinhenderson1991]

I am plotting NG 01-15 (5 seconds - Ask) and NG 02-15 (5 seconds - Bid).

Currently the bars only record Bid and Ask quotes associated with traded volume or ticks. If there is no trade, then the Bid and Ask quotes are not recorded in the bar.

Is it possible to change this? I want every Bid and Ask quote to be recorded, regardless of associated traded volume.

[NinjaTrader_JC]

Hello robinhenderson1991,


NinjaTrader will build the charts based on the Bid/Ask with the quotes that it gets based on the data provider. Now, the Historical Bid/Ask traded volume requested from the provider may not have this data as it can be very large. Real-time data should be reported just fine.

Just so that I may check into this for you, could you let me know who are you connected to? This is displayed by green on lower left corner of the Control Center window.

[robinhenderson1991]

Kinetick Live Data.

I am aware of the fact that Kinetick supplies historical bid/ask quotes on a tick basis. But during live quote streaming, the bid/ask quotes are visible (just not recorded). Is it possible to do record these in the bars? I guess that is what I am looking for.

[NinjaTrader_JC]

Hello robinhenderson1991,

Thanks for the information and the clarification.

Yes, it is possible to record this information locally on your PC. You may do this by going to Tools -> Options -> Data -> Check the "Save chart as historical" then restart NinjaTrader for this to take affect.

You will see NinjaTrader save this data with the volume as you see in coming in real-time. One thing that you will have to be careful of is do not use the "Reload All Historical Data". This will manually request data from Kinetick and overwrite the data that you have recorded from the Kinetick servers.

Please let me know if you have any further questions or if we can assist you further.

[robinhenderson1991]

Yes, I am aware of this, and this function is already in effect.

But as this does save the chart data, the bid/ask quotes that are not associated to a trade or tick, are not recorded in the chart. So the data may be saved, it is just not the data I am looking for.

[NinjaTrader_JC]

Hello robinhenderson1991,

So, you are looking to have the Bid/Ask prices saved when a Last Trade (tick) comes in do I understand you correctly?

[robinhenderson1991]

No, what I want is the following:

If I have selected 5 second - Bid bars, then I want the bar to display the open, high, low, and close, out of ALL the Bid quotes on those 5 seconds, regardless of any ticks or trades or volume.

Currently it only records bid or ask quotes per tick.

So for example, a bid quote could go up from 3.445 to 3.446, but without any volume at that level, and then go back to 3.445. In this case the 5 second Bid bar won't record the 3.446 level.

[NinjaTrader_JC]

Hello robinhenderson1991,

NinjaTrader should be doing this as but it will only happen in real-time not when the data has been downloaded Historically.

See attached image, the chart above has the NG 02-15 Ask (5 second) and the chart below is NG 02-15 Last (5 second). The Time and Sales window on the side will show the NG 02-15 Ask price at 3.739 and the above chart has price 3.739, with the Last price being 3.738.

If you are not seeing this behavior, can you let me know how you are setting up your chart?