Market Replay BuySellPressure

[gdavis74]

I did a lot of searching before asking this question, so hopefully due diligence was done.

I record SPY data every day and use it to test strategies. The data feed is from MB Trading. I am trying to setup a strategy to use the level 2 data for the BuySellPressure indicator. What I read about this indicator says it can be used in real time only. Is that true if I have the data recorded?

I can see the time and sales for SPY when replaying.

Have tried adding the MarketDataType.Bid|Last|Ask in the initialize section of the strategy but still, the BuySellPressure indicator does not work.

So will the BuySellPressure indicator method work with recorded data?

If so, how do I setup the strategy so that it will work?

Thanks

[gdavis74]

Incidentally, the BuySellVolume indicator does plot on the chart when using Market Replay data even though the help says that it only works in real time. So I wonder why the BuySellPressure indicator does not work.

[NinjaTrader_PatrickH]

Hello gdavis74,

Thank you for your post.

Please right click on the Replay Control Window > select Available Data > left click on the expand (+) button next to the instrument being replayed > do you see Level II data for the instrument?

I am seeing the BuySellPressure plotted as 50 at all times on Market Replay data, I will need to confirm that this is not intended for use with Replay Data but please confirm you have Level II data for replay and the BuySellPessure is not plotting on the chart.

I look forward to assisting you further.

[gdavis74]

Patrick, I don't see level2 data in the Market replay available data for SPY. So that must be why the BuySell Pressure indicator does not work with Market replay.

[NinjaTrader_Kyle]

Hello gdavis74,

That is correct. As you would imagine, downloading level II data for this date/instrument would be the next step.