How to get historical Bid/Ask volume data?

[joesandyego]

I am using Kinetick and would like to use historical Bid, Ask and last volumes (both for backtesting and also calculations on Live strategies).

I am able to get the Last volume simply by adding:

Add(Instrument.FullName, PeriodType.Tick, PTDefaultTimePeriod, MarketDataType.Last);

and then using "Volumes[x][0]" for last tick volume.

However, if I do the same thing using:

Add(Instrument.FullName, PeriodType.Tick, PTDefaultTimePeriod, MarketDataType.Ask);

then Volumes[y][0] just returns a value of "1" for the Ask volume. Same with Bid. Also, Closes[y][0] does return a valid number.

I am calling this with OnBarUpdate. I know how to do it with
OnMarketData for realtime data already.

Is this an issue with Kinetick, NT or my code? Any advice would be appreciated.

Thanks.

[NinjaTrader_Joydeep]

Hello joesandyego,
Thanks for writing in and I am happy to assist you.

For backtesting you need historical bid/ask data. Unfortunately Kinetick does not provide historical bid/ask data. Historical data is available for Last only. Unless you save the bid/ask data during live market (in Chart Control menu bar goto Tools>Options…, in the Options dialog click on the Data tab and check ‘Save chart data as historical’) you wont be able to backtest using bid/ask data.

Please let me know if I can assist you any further.

[Radical]

Hi Joydeep, I know you just said that Kinetick does not provide historical bid/ask data, but I read a conflicting post on the BMT forums about this:

http://www.bigmiketrading.com/brokers-data-feeds/3782-kinetick-new-market-data-feed-service-ninjatrader-14.html#post152099

I know that post is from 2011, so did the historical bid/ask support get discontinued between then and now? Thanks.

[NinjaTrader_Joydeep]

Hello Radical,
My apologies for the confusion.

Kinetick provides historical bid/ask tick data only. Minute and Daily data is not supported. Please refer to the section "Understanding the data provided by your connectivity provider" to know more

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?historical_data.htm

Please let me know if I can assist you any further.