T&S difference between last ask and bid - price

[RubenCazorla]

Hello again, I am working with T&S and when it comes to interpreting it I find it confusing, could you explain to me the difference between these 3 things?

My doubt is that, for example, the VOL indicator gives me the total volume of the last, but it has nothing to do with the ask or the bid and I don't understand why.

It seems that the last ones are the orders that really cross the market, so what do those orders that appear in ask or bid represent but the VOL does not integrate them.

I see that part of this is how the price is calculated, I still don't understand it well but so you understand what I need.

I am developing an indicator that shows the T&S graphically, I also want to compare different elements to evaluate notable events, and I want to be able to separate the supply and demand orders already crossed through the marketData.MarketDataType in case the correct thing to do was to only collect the data from the Last, I would also like you to help me see within this how I can separate which are Last.bid and Last.ask


I hope the doubts are not as confusing as I seem to be TY!

[NinjaTrader_ChelseaB]

Hello RubenCazorla,

From my understanding:

Last means a trade happened. The trade happened at either the bid or the ask, which ever the two traders agreed upon with the type of orders.

The VOL indicator is only showing volume for the entire bar (not the last, bid, or ask market update). This means all last trades while the bar is open. This doesn't include the best asking price or best offer.

The ask is what sellers are currently asking for. Either the last seller (if the last is at the ask) or the current best asking price.
The bid is what buyers are currently bidding for. Either the last buy (if the last is at the bid) or the current best offer.

The ask volume is the total sum of all contracts at the current best asking price.
The sell volume is the total sum of all contracts at the current best offer.

Below is a link to an example that mimics the Time & Sales window.

https://forum.ninjatrader.com/forum/ninjatrader-8/indicator-development/97522-time-and-sales#post785841

[RubenCazorla]

Perfect, now having this clear that the price in last are the orders already crossed, how can I get in the Last those with at bid and at ask, that is to say to be more concise, I want through a script just like in the T&S to separate by green and orange color, I think I remember the at bid/ask, with that script to collect that separation to use that data. That is what I really need.

[NinjaTrader_ChelseaB]

Hello RubenCazorla,

The example I provided you has sample code of this. May I confirm you have reviewed this and are understanding the logic in the script?

This is done by comparing the last update to the current ask and bid. If equal to ask, the last occurred at the ask. If equal to the bid, the last occurred at the bid.