Bid/Ask Volume of Previous Bar

[timmyb]

I am going to ask this as simple as I can.

With this type of coding can historical bid ask be populated like users are doing with the Gom Framework.

Please don't reply saying that the Gom is not supported. I spoke with ninja in Vegas and got the same replies that Ninja provides historical bid ask. Frankly from what I can tell it does not. I personally volunteer my time to ninja to develop it if you can tell me it can happen. You don't even have to pay me. Give me the direction to make it happen. I have done extensive work with the gom information and with onbarupdate. I guarantee if you provide the logic to load true bid and ask population the coders here would have it done in a weekend. Just give us the chance to do it and give us the tools and info needed to do this. I think it has been requested to many times. Now I personally as a paid user am requesting the answers needed to make it happen for your end users for free. Lets stop this round about and make it happen. I with my freinds can get this done jsut point us in the right direction.

I hope ninja helps us here.

[Ricam]

The Bid and Ask series have no real value

If you ADD a bid and an ask series, then try to compare the last prices to the bid and ask prices, the results are incorrect because the one second timestamp granularity prevents the bid and ask prices from being properly synchronized with the last prices.

If anyone can figure out a way to get this to work, or if there is any practical use for the bid and ask historical data, please post a code sample.

[timmyb]

If you ADD a bid and an ask series, then try to compare the last prices to the bid and ask prices, the results are incorrect because the one second timestamp granularity prevents the bid and ask prices from being properly synchronized with the last prices.

If anyone can figure out a way to get this to work, or if there is any practical use for the bid and ask historical data, please post a code sample.

AMEN Brother

[NinjaTrader_Austin]

timmyb, I will have someone get back to you on Monday.

[timmyb]

Sounds great I look forward to it. Have a great weekend

[timmyb]

To explain the needs of the customer further. We would like to be able to have access to the data that our providers provide. I pay for DTNIqfeed. Which should be the same as Kinetic. In these feeds you are provided a trade. This trade is broken down into a few things.

In the Historical Data Manager, you have a choice to download the Bid,Ask,Last.
these are then organized into Date,Time,Price,Volume

What we need to do what we want is Date,Time,Price, then to also receive the ask and bid from DTN. then we know if the last was at the bid or the ask. At best with ninja with custom bar types you can do a uptick down-tick calculation but that is it. We want to be able to do a bid/ask calculation. Dtn provides this data and I would like access to it. Even if zenifre etc or Ninja replay data doesnt have it that is fine. i want to have what my provider provides. I am willing to help in anyway i can.

Tim

[NinjaTrader_Bertrand]

timmy and ricam, we could unfortunately not offer a workaround here: as I understand it you would need to access to sub-second timestamps to sync down to the exact sequence of events? This is on our feedback list for future consideration.

The bid / ask series themselves are of value for backtesting, so that you could for example execute to those in backtesting producing more accurate fill estimations.