Bid/Ask price for OnMarketData

[endian675]

Hi

I am using NinjaTrader 7 with Kinetick, and the Market Replay functionality. I am trying to match up what comes in to the time & sales window with the trades that I receive in the OnMarketData() method of a NT strategy. In particular I am trying to decide whether a trade is a market sell (which trades at the bid price), or a market buy (which trades at the ask price). I compare the values of MarketDataEventArgs.price with GetCurrentBid/Ask() and make a decision.

What I am seeing is that although trades are indicated in the T&S window as being sells done at the low of the day (they have a red background), sometimes if I obtain the values of GetCurrentBid() and GetCurrentAsk() then the market appears to have already moved down a tick. Therefore in NT7 I am recording that trade as a BUY, when in fact it should be a sell.

I'm guessing that by the time I receive the OnMarketData event the market quote has already moved down. Is there a way to get a synchronised copy of what the bid/ask was when the trade happened?

[NinjaTrader_RyanM1]

Hello endian675,

These updates (bid/ask/last) are not synchronized, but you may be able to improve accuracy accessing directly from the OnMarketData() handler. Declare your variables in variables region so they're available within whole context of script, assign bid ask respectively during their updates and then make comparisons to these variables during last updates.

#region Variables
private double bidPrice;
private double askPrice;
#endregion


protected override void OnMarketData(MarketDataEventArgs e)
{

	if (e.MarketDataType == MarketDataType.Ask) 
		askPrice = e.Price;

	else if (e.MarketDataType == MarketDataType.Bid)
		bidPrice = e.Price;


	else if (e.MarketDataType == MarketDataType.Last)
	{
		if (e.Price == askPrice)
			Print("Last price traded at ask");

		else if (e.Price == bidPrice)
			Print("Last price traded at bid");

		else
			Print("Last price occurred at neither bid/ask");
	}
}

[koganam]

Hello endian675,

These updates (bid/ask/last) are not synchronized, but you may be able to improve accuracy accessing directly from the OnMarketData() handler. Declare your variables in variables region so they're available within whole context of script, assign bid ask respectively during their updates and then make comparisons to these variables during last updates.

#region Variables
private double bidPrice;
private double askPrice;
#endregion


protected override void OnMarketData(MarketDataEventArgs e)
{

    if (e.MarketDataType == MarketDataType.Ask) 
        askPrice = e.Price;

    else if (e.MarketDataType == MarketDataType.Bid)
        bidPrice = e.Price;


    [COLOR=Red][B]else[/B][/COLOR] if (e.MarketDataType == MarketDataType.Last)
    {
        if (e.Price == askPrice)
            Print("Last price traded at ask");

        else if (e.Price == bidPrice)
            Print("Last price traded at bid");

        else
            Print("Last price occurred at neither bid/ask");
    }
}

Ryan, I think that the else that I have bolded in red should not be there. It seems that the code is trying to determine if the last price was bid or ask (or not), so it needs to run regardless of the the determination of the bid or ask prices. (i.e., that test should not be part of the bid/ask price determing loop, or it will not run after the price is determined).

Am I the one who is making a mistake instead?

[NinjaTrader_RyanM1]

Hi koganam,

I took a second look at it and feel it's appropriate here. The structure just divides all bid / ask / last updates. Comparisons are only made during last updates. Since the single property check (MarketDataType) enforces exclusivitiy by itself, it should be the same results whether it's else if or if there so it's more of a style preference.

[endian675]

Thanks, I will try this and report back. Personally I think the comparison should be done with a switch() statement rather than a big if-else

switch(e.MarketDataType)
{
  case MarketDataType.Bid:
  break;
  case MarketDataType.Ask:
  break;
  case MarketDataType.Last:
  break;
}

[NinjaTrader_RyanM1]

Right- switch should work just as well. Good luck and let us know how it goes.