Assessing Bid/Ask Volume From OHLC Values

[Geester]

Hi there,

I was wondering whether anyone could point me to some code that would give a reasonable assessment of the bid/ask volume on a bar/candle when the only values we have are the bar's Open, High, Low, Close and its overall Volume?

I understand that there are approaches to do this in real-time but, I am trying to assess this information over historic bars where "tick-counting" wouldn't be an option. I'm working on the basis that the data feed doesn't provide the bid/ask volume.

If anyone can help with this, I'd be very grateful indeed.

[NinjaTrader_ChelseaB]

Hello Geester,

As long as the historical data is supported by the data feed, you can add an ask or bid series of the same bar type and interval and this would provide the historical ask or bid volume for that bar.

With AddDataSeries() use the MarketDataType overload and specify MarketDataType.Ask or MarketDataType.Bid.

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

[Geester]

Hi Chelsea!

Thanks for your reply. I'm working from the assumption that historical bid/ask data isn't provided by the data feed so, I need to approximate this from the OHLC/ordinary volume.

[NinjaTrader_ChelseaB]

Hello Geester,

Below is a link to the NinjaTrader 8 help guide on Data by provider which shows the supported connection technologies and the types of data these connections support.

http://ninjatrader.com/support/helpGuides/nt8/en-us/data_by_provider.htm

[Geester]

Thanks Chelsea!