Understanding Bid and Ask Data.

[rafaelcoisa]

If I just open a chart, there is no bid and ask data. If I want to open a chart with bid and ask data, I can enable TickReplay, but that bid and ask data is the best bid and ask data at the time a trade was reported.

Then you have the actual bid and ask data; Level 2, Level 3, and all that.

In the Download Historical Data window, for example, you can choose to download the bid and ask data. That bid and ask data is the actual bid and ask data, so using NinjaTrader's free data, that would be the 10 "current" bid and ask prices that you would see in the dom.

And if you want to historically interact with actual bid and ask data in an indicator, for example, you need to add a bid and ask dataseries with AddDataSeries() and do that in OnBarUpdate. And so any interaction with bid and ask data outside of these added data series is just the bid and ask data associated with the last trade (and tickreplay will be enabled).

OnMarketData does not work historically and if it's working historically it is via tickreplay and the data is the best bid and ask data associated with the last trade.

Market replay, "replay live". So the OnMarketData event data is the actual bid and ask data (not the one with tickreplay).

Time and Sales only works in RealTime and RealTime MarketReplay. So only real bid and ask data.

BlockVolume indicator uses the best bid and ask data associated with the last trade, not the actual bid and ask data.

Can you guys confirm if my ideas are correct?

[NinjaTrader_ChelseaB]

Hello rafaelcoisa,

This is correct, TickReplay processes last data only. If the historical tick data is ask / bid stamped (like from Kinetick or NinjaTrader) this provides the ask and price (not volume) at the time the last tick is produced.

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

"Then you have the actual bid and ask data; Level 2, Level 3, and all that."

Level II data is market depth which is available in real-time only from the OnMarketDepth override. NinjaTrader does not provide or process Level 3 data.

"so using NinjaTrader's free data, that would be the 10 "current" bid and ask prices that you would see in the dom."

This would be incorrect. Historical tick data is equivalent to Level I market data, not market depth which is not available in historical data.

"And if you want to historically interact with actual bid and ask data in an indicator, for example, you need to add a bid and ask dataseries with AddDataSeries() and do that in OnBarUpdate."

This is correct, if you want to process all ask and bid historical tick updates with their volume a 1 tick ask series and 1 tick bid series would need to be added with AddDataSeries().

" And so any interaction with bid and ask data outside of these added data series is just the bid and ask data associated with the last trade (and tickreplay will be enabled)."

I'm not quite sure what you are saying. If you add a 1 tick ask and bid series with AddDataSeries, this would the the actual ask and bid data. This would not be last data.

TickReplay would be last data. (TickReplay is not the same as adding a 1 tick ask series and 1 tick bid series with AddDataSeries() and is processed in OnBarUpdate())

"OnMarketData does not work historically and if it's working historically it is via tickreplay and the data is the best bid and ask data associated with the last trade."

Yes, this is correct.

"Market replay, "replay live". So the OnMarketData event data is the actual bid and ask data (not the one with tickreplay)."

Playback using Market Replay Data would be a recording of Level I and Level II data and would have actual ask and bid.

"Time and Sales only works in RealTime and RealTime MarketReplay. So only real bid and ask data."

Yes, the Time & Sales window is real-time only.

"BlockVolume indicator uses the best bid and ask data associated with the last trade, not the actual bid and ask data."

A Block would be a last update with volume over a preset size.