Data Series BarType based on Level2

[habibalex]

Is there a way to make bars based on Level2 data as opposed to price data?

[NinjaTrader_ChelseaB]

Hello habibalex,

Historical bars are created from historical data. There is not Level 2 historical data.
If this were possible it would only be possible in real-time.

However, I'm not aware of a way to get level 2 data from a bar type script in real-time.
I'm happy to submit a feature request for the development team to consider this for a future version if you would like.

[habibalex]

yes i would request that be made available.

I am able to download level 1 inside bid ask data, is there a way to combine that for use in a bartype? Also, i'm mostly concerned with real time bars

[NinjaTrader_ChelseaB]

Hello habibalex,

I have submitted your request for consideration. Once I have a tracking ID for this request I will post this in this thread for future reference.

The level 1 ask and bid are provided from OnDataPoint().

protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)

Below is a public link to the help guide.

https://ninjatrader.com/support/helpGuides/nt8/en-us/ondatapoint.htm

[habibalex]

I need the bid / ask volume also, not just price

[NinjaTrader_ChelseaB]

Hello habibalex,

I've received tracking ID #SFT-3374 for your request to access level 2 data from a bars type script, and tracking ID #SFT-3375 for your request to provide the ask volume / bid volume in OnDataPoints overload parameters.

Please note it is up to the NinjaTrader Development to decide if or when any request will be implemented.

We appreciate your feedback.

[thinarthrill]

I need the same.. get bid volume and ask volume from OnDataPoints to chart volume delta bars period.

[NinjaTrader_JoshG]

thinarthrill,

Thanks! Vote added!