Get Bid/Ask/Delta Data in Chart

[shildebrand324]

Hi, I'm wanting to get bid/ask tick data in my charts, so that I can do some swing calculations. Is there a way to retrieve this in Ninjascript?

[NinjaTrader_ChrisL]

Hi, thanks for posting.

There are two ways to get historical and real time bid/ask data points. The first is using Tick Replay, we have a guide here, and the BuySellVolume indicator within the platform by default is a good example implementation. The second way is to use a 1 tick data series, eliminating the need to use Tick Replay. I attached an implementation of BuySellVolume that uses a 1 tick series to get buy/sell tick volume.

Kind regards,
-ChrisL

[shildebrand324]

Awesome...thank you...delta volume is simply buying volume - selling volume, right?
Is there a way to get cumulative delta volume?

[NinjaTrader_ChrisL]

Hi, thanks for the follow up. Delta volume is buy - sell volume. Our calculation for Cumulative Delta is closed source but available to use through NinjaScript with a LifeTime license using the Cumulative Delta indicator. Any custom calculation would need to be researched further.

Best regards,
-ChrisL

[shildebrand324]

Yeah, I have life time license, but was hoping to develop something that didn't require for folks that don't have it.