GetBid() for 1 Tick Series vs GetCurrentBid()

[habibalex]

In the notes for returning the bid price value at the selected bar index, it states that this method does not return the current real-time bid price. However, if I add a 1 tick data series to the indicator, will it get the current bid price at the time of the last trade during the State == State.Realtime?

The reason I ask is the docs, GetCurrentBid() or GetCurrentAsk() says that it will return the current bid or ask, but I am interested in the bid or ask when the last trade occurred.

http://ww.ninjatrader.com/support/forum/showthread.php?p=424967

protected override void OnBarUpdate(){
    if(BarsInProgress == 1){
        double bid = Bars.GetBid(CurrentBar);  //GetCurrentBid();
        bool isLastTradeAtBid = Close[0] <= bid;
    }

}

[NinjaTrader_ChrisL]

Hello habibalex,

Thank you for the post.

A 1 tick granularity will be the highest resolution of bars possible to use, but you will access the current ask and bid of the instrument in OnMarketData(). OnMarketData is for real time market data events. It does not matter what data series you are using in this function. Use the MarketDataEventArgs like so:

protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{
    // Print some data to the Output window
    if (marketDataUpdate.MarketDataType == MarketDataType.Last) 
          Print(string.Format("Last = {0} {1} ", marketDataUpdate.Price, marketDataUpdate.Volume));
    else if (marketDataUpdate.MarketDataType == MarketDataType.Ask)
        Print(string.Format("Ask = {0} {1} ", marketDataUpdate.Price, marketDataUpdate.Volume));
    else if (marketDataUpdate.MarketDataType == MarketDataType.Bid)
        Print(string.Format("Bid = {0} {1}", marketDataUpdate.Price, marketDataUpdate.Volume));
}

More on OnMarketData here:

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

More on MarketDataEventArgs here:

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

Please let us know if we may be of any further assistance.

[habibalex]

I am not interested in the current ask / bid but what the ask and bid are when the last trade occurred. Will this data be correct using the Bars.GetBid(CurrentBar) for a 1 tick data series added to the indicator?

[NinjaTrader_ChrisL]

Hello habibalex,

Thank you for the reply.

Yes, GetBid(barsAgo) will return the bid at that historical bar. I tested this by adding these print statements in OnBarUpdate():

protected override void OnBarUpdate()
		{
			Print(Bars.GetBid(CurrentBar) + "Bars.GetBid(int)");
			Print(GetCurrentBid() + "GetCurrentBid()");
		}

I had this running on a 1 Tick chart.

The prices were sometimes the same and sometimes off by one tick. The safest approach will be this:

To access the current bid (the bid right this second) use GetCurrentBid()

To access the bid price of the historical bar, you must use Bars.GetBar(barsAgo). Think of this as if we called GetCurrentBid() at that time.

You should expect Bars.GetBid(CurrentBar) to be an inaccurate representation of the current bar's bid price. Since you want the bid of the last trade, and since you are already on a 1 tick data series, the bid of the last trade will be Bars.GetBid(CurrentBar-1);

Please let us know if we may be of any further assistance.

[habibalex]

Let say the current bid is 2400 and current ask is 2400.25. A trade occurs at 2400. That trade clears out the bid, so that the new current bid is now 2399.75.

1. When OnBarUpdate is called, will Bars.GetBid(CurrentBar) be equal to 2400 or 2399.75?
2. Will Close[0] be equal to 2400?

[NinjaTrader_AlanP]

Hello habibalex,

If someone sold everything on the bid at 2400 at 11:59:59, so that the best bid became 2399.75, and 1 second later your 60 minute chart closed i.e OBU was called, well the CurrentBid would be 2399.75. The close would be 2400, as that was the last trade.

Please let us know if you need further assistance.

[habibalex]

Im referring to the 1 tick data series in OnBarUpdate (as shown in my example in post #1)