Is there an example on volume tick data vs price. I want to recieve past information of volume time sales in order to plot my volume profile. I can start recording while live but I don't have historical plots. Do I have to save my live trading data?
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Hello ballboy11,
Thank you for the post.
Please see the default Volume Profile's OnMarketData() method override. Here they are performing special logic for Tick Replay. In Tick Replay, you must get bid and ask data from the MarketDataType.Last type. With this technique, make sure that tick replay in enabled in the Data Series menu.
More information about developing for tick replay can be found here:
See the section titled "Accessing the current best bid and ask at the time of a trade".
Please let me know if I can assist further. .
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