Does the bid/ask still hold accumulated resting orders?

[wadams]

Hi all,

Back in 2018, for NT7, someone clarified that the volume on a historical bid and ask series is not the traded volume, but the accumulated resting order volume-at-price over the bar's time period.

See https://forum.ninjatrader.com/forum/...ask-bid-series

Is that still true for NT8?

Thanks!

[NinjaTrader_Gaby]

Hello wadams,

Thank you for your inquiry.

Yes, what JoshG posted in your linked forum post is still applicable to NinjaTrader 8.

Please let us know if you have any other questions.

[wadams]

That was a quick reply! Thanks, NinjaTrader_Gaby.

Can you spot check my understanding a little bit more?

I'm guessing that accumulation does not happen with a 1-tick series. The volume values are effectively a snapshot.

For example, I'm adding series like the following:

else if (State == State.Configure)
{
    AddDataSeries(Instrument.FullName, BarsPeriodType.Tick, 1, MarketDataType.Ask);
    AddDataSeries(Instrument.FullName, BarsPeriodType.Tick, 1, MarketDataType.Bid);
}​

When "State == State.Historical" and I'm accessing the series with the following code:

protected override void OnBarUpdate()
{
    if (State == State.Realtime) return;

    if (BarsInProgress == 1)
    {
        lastAskPrice = Close[0];
        lastAskVolume = Volume[0];
        return;
    }
    else if (BarsInProgress == 2)
    {
        lastBidPrice = Close[0];
        lastBidVolume = Volume[0];
        return;
    }
}​

then the "lastAskVolume" and "lastBidVolume" variables (defined in the class scope) should each have a snapshot of the last recorded resting order volumes for the ask and bid.

Is that correct?

[NinjaTrader_Gaby]

Hello,

Thank you for your response.

Yes, Volume[] will be the last value for each of the series you added (since you are using BarsInProgress conditions).

As a side note, you should be using AddDataSeries(null instead of AddDataSeries(Instrument.FullName, to assume the primary instrument correctly.

Please let us know if you have any other questions.