How to get tick data with a line tool

[utrivedi]

Hello,

I am new to the ninja script. I am trying to get # of bids and ask data in a custom drawing tool. I understand I can use OnMarketData event in a custom strategy to get the tick level data, but I am not sure how to get the same data in a Drawing tool. I would appreciate any help. The basic idea is to draw a line and calculate how many Buys vs Sells from where the line starts and ends.


Thanks!

[NinjaTrader_ChelseaB]

Hello utrivedi,

Welcome to the NinjaTrader forums!

Drawing tools don't have OnBarUpdate() or OnMarketData(). Instead of updating when the bar updates or when data is received, drawing tools update in OnRender() when the chart needs to re-render. These use the Bars object to get bar information supplied to OnRender in a non-data-driven method with the anchor points or with the Bars.GetClose(), .GetOpen(), etc.

https://ninjatrader.com/support/helpGuides/nt8/bars.htm

[utrivedi]

Thanks for the response. I went through other posts and figured out how to achieve what I want. One other issue I am facing is how to get historical tick data in my indicator.

I have the tickreplay turned on and everything, but when I put print in the OnMarketData() I only see tick data starting the time I put indicator on the chart.

I also have a condition if(!Bars.IsTickReplay) in OnStateChange() State.COnfigure conditions, but I don't see any errors printed out.

[NinjaTrader_ChelseaB]

Hello utrivedi,

Are you still coding a drawing tool script or is this a new inquiry for a different script?

OnMarketData() would update historically with TickReplay enabled.

https://ninjatrader.com/support/helpGuides/nt8/developing_for__tick_replay.htm

Do you have historical tick data available from your connected data feed or provider?
Can you open a 1 tick chart on that instrument?

[utrivedi]

Apologies for being unclear. I am still using the Drawing tool to draw the custom line. I am using the new Indicator to read that line and the collect bid/ask from the start of the line to the end of the line. I am using the Demo Data that is provided by Ninja, and I checked, I do get the historical tick data when open a 1 tick chart. But, it doesn't print the historical tick on the output. I'have attached the indicator.

[NinjaTrader_ChelseaB]

Hello utrivedi,

I can't test this because there are dependencies and it is not an export.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/platform-technical-support-aa/1103728-input-parameter-in-use-error?p=1103788#post1103788

I have instead make a simple script to test. If you are trying to understand something, always start simple. Remove complexity.

Below is a link to a video of the test.

https://drive.google.com/file/d/1qZQPJ_M27Qa4LxEQ2QS1NmRvGmo1YTWw/view?usp=drivesdk

[utrivedi]

Thanks for your quick response. I think I figured out the issue. The MarketDataType for historical data la always MarketDataType.Last, I am only printing on MarketDataType.Ask/Bid. So my next question would be how would I know if it is bid or ask? or I wouldn't?

[utrivedi]

nvm I think I can do this

if (e.Price >= e.Ask)
{
myProfile.AddAskVolume
}
else if(e.Price <= e.Bid)
{
myProfile.AddBidVolume
}

[NinjaTrader_ChelseaB]

Hello utrivedi,

Historical tick data is last data, but may be ask bid stamped. If so, it has to be called a specific way,

See the help guide linked in post #4 'Accessing the current best bid and ask at the time of a trade'.

[utrivedi]

Got it. Another issue I found. If you see the screenshot below, the price for the 1st tick shows 11429 on 9/6/2020 at 6 pm. But the price was not at that level at 6pm, lowest it was at 11501 for the 6:01 pm bar.

Any ideas?

[NinjaTrader_ChelseaB]

Hello utrivedi,

In the script, print the marketDataUpdate.Time with milliseconds.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/1079125-how-can-i-get-the-current-time-of-the-broker-server-in-the-format-hh-mm-ss?p=1079161#post1079161

On the chart open a 1 tick chart and show the data box. Then place the mouse over the tick that opens the session so we can see the values of that tick.

Then please post the updated screenshots with your reply.

[utrivedi]

Here you go.. Uploaded 2 charts first is 1 tick and second is 1 min

1 Tick Chart










1 Minute Chart

[NinjaTrader_ChelseaB]

Hello utrivedi,

I am not able to reproduce this behavior.

https://drive.google.com/file/d/1lB9R5RLEPiBcc-8cwHSnSTr_qHjCMahw/view?usp=drivesdk

The tick data chart is matching, which would indicate that historical tick data is correct.

If you close the chart, then follow the exact steps shown in this video, is the behavior different than what is shown in this video?

If so, I would like to schedule a call with you so that I may perform these steps on your end.

[utrivedi]

Hi Chelsea,

In the video at 0:27 where you select Days=1, keep it Days=4 instead and keep the End Date as 9/9/2020. I just did what you do in the video i.e. Days=1 and changed the End Date to 9/7/2020 and I see the correct data, it is only when I do Days=4 the data come in incorrectly. Let me know, Thanks!

[NinjaTrader_ChelseaB]

Hello utrivedi,

That is too much data for the output window. This is why i reduced to 1 day and set the date to the day after the day in question.
It would be necessary to start writing the data to file if you want to analyze a massive amount of data like this.
https://ninjatrader.com/support/foru...nce#post100192

This means that you are likely not looking at tickreplay information in the output window if you are loading 4 days of historical data from today's date and its not causing the maximum amount of lines the output window can show.

It's possible the output window wasn't cleared and you are looking at something that wasn't produced by this script instance.

However, I am not seeing any issue when looking at today's data as far back as can be shown in the output window.
https://drive.google.com/file/d/1_4u...w?usp=drivesdk