order flow transition to live

[NinjaTrader_Jesse]

Hello luxurious_04,

Thanks for providing that. I will take a look at the files and see what I can determine between the prints.

One factor that may be involved here is the placement of the prints in the bars type, that generally needs to be printed before you call the bars type method like AddBar. Once I have more details I will reply back here.

I look forward to being of further assistance.

[luxurious_04]

Thank you. My only goal in this is to eliminate the gap when transitioning to real-time. If OnMarketData has no prints out during the state of transition then how about the 1 tick dataseries? Or maybe the indicator takes two much time to load then it creates that gap?

[NinjaTrader_Jim]

Hello luxurious_04,

This is Jim responding on behalf of Jesse who is out of the office at this time.

OnMarketData works with realtime data only unless you are using TickReplay. In that case we will only see MarketDataType.Last events in OnMarketData when historical data is processed.

A single tick data series would work with historical and realtime data. We wouldn't see data prints during State.Transition, but this would be the cut off point between historical processing and when realtime processing begins.

When building and debugging BarsTypes, we suggest adding prints before AddBar, UpdateBar and RemoveBar, and we suggest building new charts with 0 bars to load set in the Data Series window. This will help to eliminate the number of prints involved when you are testing/debugging, and this also eliminates bar cache from the equation. (Bars created from BarsTypes will be cached in the Documents\NinjaTrader 8\db\cache folder and it will be helpful to clear this cache, or build charts that do not use this cache when testing your BarsTypes for clean tests.)

The indicator and BarsType I attached can help to give some direction for debugging these NinjaScripts.

In regards to your question surrounding Order Flow concepts during a transition, I may suggest pointing out our MultiTimeFrame approiach. (This requires Bid/Ask stamped data, but is much more performant than Tick Replay. I have also atrtached atemplate that can demonstrate and example implementations for BuySellVolume and BuySellPressure indicators.

Those indicators can be compared against the BuySellPressure and BuySellVolume indicators which come with the platform. Bid/Ask is fetched from the single tick data series with BarsArray[1].GetBid and BarsArray[1].GetAsk.

We look forward to assisting.