On market data, time and sales, bid, ask, last

[ballboy11]

I need to understand about MarketDataType

There are options such as Ask, Bid and Last


On the Time and sales sheet, How do I know program if it was a Ask Price or a Bid Price.

Does the Last indicate if it was a sale? If so how do I know if it is a bid sale or an ask sale?

This is what I have.


double price = 0;
long volume = 0;

price = e.Price;
volume = e.Volume;

if (e.MarketDataType == MarketDataType.Ask)
{
return;
}

if (e.MarketDataType == MarketDataType.Bid)
{
return;
}

if (e.MarketDataType != MarketDataType.Last || price == 0)
return;

if (volumeList.Count == 0 && price
!= 0)
{

volumeList.Add(new PricetPoint(price, volume));
}
else
{
if (price != 0)
{

bool bPriceFound = false;
for (int x = 0; x < volumeList.Count; x++)
{

if (price == volumeList[x].AskPrice)
{
bPriceFound = true;
volumeList[x].AskVolume = volumeList[x].AskVolume + volume;
}

}
if (bPriceFound == false)
{
volumeList.Add(new PricetPoint(price, volume));

}
}
}

if (e.MarketDataType == MarketDataType.Ask)
{
return;
}

if (e.MarketDataType == MarketDataType.Bid)
{
return;
}

[NinjaTrader_Jim]

Hello ballboy11,

Thanks for your post.

A Last tick would indicate a completed buy/sell. To determine if the trade was a buy or sell, you can compare the price to the bid/ask price (MarketDataEventArgs.Bid/MarketDataEventArgs.Ask)

Please see the BuySellVolume indicator which comes with NinjaTrader for an example on how you can identify a buy/sell from a Last tick.

We look forward to assisting.