Bid/Ask Volume of Previous Bar

[laocoon]

Hi

I've developed a strategy that uses Bid/Ask volume data to trigger signals.
What I'd like to do now is to compare the Bid/Ask volume of the current candle to the Bid/Ask volume of the previous candle.

Here are my variables:

private int activeBar = -1;
private double askPrice = 0;
private double bidPrice = 0;
private double buys = 0;

private double sells = 0;
private double buy = 0;
private double sell = 0;

Here are my conditions:

if ( buy> sell && my conditions here)

This compares buy & sell volumes of the current candle (works well). In order to compare buy & sell volumes of the PREVIOUS candle I thought I just have to modify the code to buy [1] > sell [1] but I get the following error message: "Cannot apply indexing with [] to an expression of type type 'double'.

What do I have to do to get this fixed? Thanks a lot.

[NinjaTrader_Bertrand]

laocoon, those are only double variables, which would not give you access to any historical data like DataSeries objects - for NT7 you could look into creating a MultiSeries script that would have access to historical bid / ask data series.

http://www.ninjatrader.com/support/helpGuides/nt7/multi_time_frame__instruments.htm

[laocoon]

Bertrand, I was afraid you were going to say this. This makes the whole thing much more complicated (and beyond my programming skills).

When will Bid/Ask data be available on a historical basis, just like OHLC data?
(I know this has been asked many times before in other threads but I'd be really interested in getting an update).

Thanks

[NinjaTrader_Bertrand]

laocoon, this is available already depending on your data provider, you could also determine to drive your NT7 charts from either the bid, ask or last ('Price based on') - http://www.ninjatrader.com/support/h...rical_data.htm

If you would like to work with the data programmatically though you would need to create a MultiSeries script, as otherwise you could not access the data (if you need help implementing a consultant might be the route to take - http://www.ninjatrader.com/partners#...pt-Consultants)

[laocoon]

Thanks for your reply Bertrand. I had a look at the first link you provided and the table says that ZenFire (I'm on ZenFire) supports historical Bid/Ask tick data for futures.

How come that my historical Bid/Ask tick data is gone every time I reload a strategy on a chart?

Thanks

[NinjaTrader_Brett]

Hello,

The actual data or a power volume indicator? Aka an indicator output that is no longer there or the bid ask price data in the chart is no longer there.

I look forward to assisting you further.

[laocoon]

Hi Brett

Thanks for your reply.
I'm using an indicator that I downloaded here on the forum.

http://www.ninjatrader.com/support/forum/showthread.php?t=4879

Whenever I reload the indicator, all historical Bid/Ask data is gone.

Thanks

[NinjaTrader_Bertrand]

laocoon, is the indicator coded as MultiSeries indicator as I previously outlined?

[laocoon]

I think not. That would obviously explain it.

[laocoon]

Is there an example available of an indicator coded as a MultiSeries indicator?

This would be really helpful.

Thanks

[NinjaTrader_Austin]

laocoon, unfortunately there is not such an example.

[laocoon]

Austin, this is pretty frustrating.

I wasn't even aware (although I check the forum regularly) that Ninja V7 was capable of handling historical bid/ask data and now there's not a single indicator available to take advantage of this great new feature

I understand that the team has a lot on its plate right now but it would be great to have at least one indicator that uses this feature (also as a showcase in terms of how it is coded).

There are many threads and thus many users who have been eagerly waiting for this feature so I guess it would make sense to provide at least one MultiSeries indicator.

Thanks

[NinjaTrader_Austin]

laocoon, there is not a specific example like you're looking for, but there are definitely examples floating around for how to do a multi-series indicator, like this pairs suite.

[laocoon]

Austin, thanks for your reply. I just realised that my post is incomplete.
I didn't mean to say that it would be great to have at least one example of a MultiSeries indicator, but that it would be great to have at least one example of a MultiSeries indicator that saves a bit of data that would otherwise be lost (like historical bid/ask data for example).

All I need is 1-2 days of historical bid/ask data on my charts.

Sorry for the confusion.

[NinjaTrader_Bertrand]

laocoon, you can take a look at this very simple sample attached - use it on the ES 1 min, it loads 2 additional series (1 min bid, 1 min ask) and uses them in it's calcs.