Using T&S Below/Between/Above Bid/Ask in a Strategy?

[bluelou]

How do I record the Below/Between/Above Bid/Ask that is color coded in the T&S window into a Strategy? I didn't see anything in MarketDepthEventArgs or MarketDataEventArgs for this info.


Here's what I'd like to do:
I'd like to build an array of futures T&S data that records the following info:

Where MarketSide is defined as BelowBid = -2, AtBid = -1, Between = 0, AtAsk = +1, AboveAsk = +2,

I'd like to have the following fields in the array: time (in ms, if possible), price, MarketSide

[NinjaTrader_JoshP]

bluelou,

Please take a look at this reference sample and see if it helps: http://www.ninjatrader-support2.com/...ead.php?t=3478

[bluelou]

Josh,
I looked at that before. What I don't see is how to extract the color coded info in the T&S window.

Specifically, I'm looking to build an array with the Below/Between/Above Bid/Ask info for each trade as it arrives in the T&S window. The only choices I've seen in any of the methods so far is either Bid or Ask. There's more detail than that in the T&S and I'd like to use it in a strategy. What do you recommend?

-Lou

[NinjaTrader_JoshP]

You can't extract the color coded info per se. You need to generate your own logic that determines which ones are above and which ones are below. You can use the Level II book to determine the whole spread of bid/ask and then you know which one is the last so all the rest is above/below.

[bluelou]

Josh,
I was hoping to avoid this b/c I'm not sure how successfully rapidly moving info such as below bid/above ask can be extracted from NinjaTrader.

Where is the below bid/above ask info created? I.e., Is this specific info created by the Ninja platform, my data provider, or at the exchange?

Do you know if anyone else has extracted this info successfully?

Should I expect any latency if I extract this info w/C# code in a strategy vs. what I see in the T&S window? Anyway to get millisecond timestamps to confirm arrival times?

-Lou

[NinjaTrader_Bertrand]

Hi bluelou, the Time and Sales is created in NinjaTrader on the incoming tick data from the broker / datafeed / exchange.

The incoming data is locally timestamped in NinjaTrader, so you want to make sure you sync your PC clock up properly a regular intervals.

There will always be some lag involved, however it depends on your custom environment and code used.

For tips on enhancing performace, you can check those - http://www.ninjatrader-support.com/H...anceTips1.html