OnMarketData vs OnBarUpdate

[itrader46]

Hello

I am trying to code an indicator signalling when a bid - ask imbalance occurs and I'm not sure I understand which of the two codes below I should use in what situation

Thank you

protected override void OnBarUpdate()
{
    currentAsk = GetCurrentAsk();    
    currentAskVolume = GetCurrentAskVolume();
.........
}

OR

protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{
    if (marketDataUpdate.MarketDataType == MarketDataType.Ask)
   {
         askVol = marketDataUpdate.Volume;    
         currentAsk = marketDataUpdate.Price;
   }
}

[NinjaTrader_ChelseaB]

Hello itrader46,

The GetCurrentAsk() / GetCurrentBid() would provide snap shots of the current ask or bid.

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

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

OnMarketData would provide a continuous stream of the ask and bid instead of just a snap shot at the moment requested.

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

Is this something where you are going to want to have this continuously update?
If so, likely OnMarketData would be what you need.

[itrader46]

I need to find three consecutive levels of ask - bid imbalances as soon as they occur. Would that mean I needed OnMarket Data?

[NinjaTrader_ChelseaB]

Hello itrader46,

Yes, I think you would want the stream of ask and bid from OnMarketData().

[itrader46]

Is there a way of separating the data on bars as well?

I'm thinking of collecting the values I need from OnMarketData in some Lists, that I will be resetting then in OnBarUpdate on if(IfFirstTickOfBar). Would that work, or shall I use IfFirstTickOfBar directly in OnMarketData?

[NinjaTrader_ChelseaB]

Hello itrader46,

For bars you can add series of ask and bid which will update in OnBarUpdate().

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

You can reset a list in OnBarUpdate() when IsFirstTickOfBar is true if you would like.
IsFirstTickOfBar could also be used in OnMarketData().

[itrader46]

I am looking for some info regarding the MarketData events: are "marketDataUpdate.MarketDataType == MarketDataType.Last" and "marketDataUpdate.MarketDataType == MarketDataType.Ask"
updated at the same time, if Last price == Ask Price? And so, does the code below make any sense?

How exactly does the MarketDataType update happen?

protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{
    if (marketDataUpdate.MarketDataType == MarketDataType.Ask)
    {
        currentAsk = marketDataUpdate.Price;
    }

    if (marketDataUpdate.MarketDataType == MarketDataType.Last)
    {
        lastPrice = marketDataUpdate.Price;
        if (lastPrice == currentAsk)
        {
          askVol = marketDataUpdate.Volume;
        }
    }


}

[NinjaTrader_ChelseaB]

Helllo itrader46,

The ask bid and last do not update at the same time. As the market update event occurs the marketDataUpdate.MarketDataType tells what kind of update the update is.

The last will be at either the last ask or bid depending on which direction the execution was.

Below is a link to an example.

http://ninjatrader.com/support/forum/showthread.php?p=503265#post503265