Data

[wavestrader]

How do I retrieve the data for each individual buy and sell order that has been filled? Looking to build an indicator similar to trade detector, and so I need each individual order that has gone through.

[NinjaTrader_AlanP]

Hello wavestrader,

Thank you for your note.

Each trade of a instrument is going to be contained in the tick data, so adding a secondary tick series to an indicator or strategy and referencing the close, volume and time of that tick wouold reveal the trade price, size, and time.

I've attached a sample indicator which when you apply to a chart will print to the output window the price, size, and time.

Please let us know if you need further assistance.

[wavestrader]

Thanks. How do I separate bid/ask volume to know which is which?

[NinjaTrader_AlanP]

Hello wavestrader,

You could pull in a bid and a ask series, and compare the tick to the bid and ask to identify which price the tick/trade took place at.

Below would be a link to the helpguide covering adding a bid/ask series.

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

Another and maybe a better approach you could go with would be to see the BuySellVolume indicator preloaded on NinjaTrader, which uses OnMarketData to check at which price a trade occurred.

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

Please let us know if you need further assistance.