Using Bid/Ask in backtesting

[boaza]

Hello,

Is it possible to trigger OnBarUpdate() for every new best bid/best ask?

I've added both series in Initialize() thus:

Add("6N 12-13", PeriodType.Tick, 1, MarketDataType.Last);
Add("6N 12-13", PeriodType.Tick, 1, MarketDataType.Bid);
Add("6N 12-13", PeriodType.Tick, 1, MarketDataType.Ask);

But when OnBarUpdate() is called, I cannot find the bid/ask's size, only its timestamp.

Please advise.

[NinjaTrader_CalH]

Hi Boaza,

Thank you for your post.

OnBarUpdate() will only get called in two instances. The first is when CalculateOnBarClose is set to true. Then OBU will only get updated when the bar being built closes.

When COBC is set to false then OBU will get called with every incoming tick of data.

This tick of data is the Last price unless the chart is set to only show Ask or Bid prices.

However, you can use OnMarketData() that will get called when Bid or Ask data comes in.
Below is a link on the method -
http://www.ninjatrader.com/support/h...marketdata.htm

Let me know if I can be of further assistance.

[boaza]

Hi Cal,

Sorry for not being clearer, but I meant during backtesting, not live trading.

Boaz

[NinjaTrader_CalH]

Boaza,

Adding the multiple time series as you have, you will need to use BarsArray[] to tell the script which data series to call and use for the calculations.

Below is a link on the Multi-Timeframe and Instruments with NinjaScript -
http://www.ninjatrader.com/support/h...nstruments.htm

The second link is on using the BarsArray[] -
http://www.ninjatrader.com/support/h...?barsarray.htm