Split volume by bid and ask

[xfactscout]

Hi,

How can I retrieve how much of the volume was made by hitting the ask and how much by hitting the bid (using level 1 if that’s relevant)?

As an example: candle’s total volume is 10k. Which was made by 4k hitting the bid and 6k by hitting the ask.

How can I get the 4k and the 6k of the total volume?
I tried to look into built in volume indicators, but they don’t seem to address the issue, but only display the total volume eventually (even the Volume Up Down indicator).

[xfactscout]

Can someone help please? Anyone?

[NinjaTrader_ChelseaB]

Hello xfactscout,

You would need to add a 1-tick ask series and 1-tick bid series with AddDataSeries() or sort the ask and bid updates from OnMarketData() or OnBarUpdate() (if ask and bid historical data is not available) with logic.

Fortunately, I have example scripts you may find helpful.
LastVolumeAtAskBidOBUTest_NT8.zip
LastVolumeAtAskBidOMDTest_NT8.zip

[tradeologist]

Hi Chelsea,
So if I am reading your example code correctly, the On Market Update version is more "robust", in that it provides one additional user (bool) selection, if real-time data should be used. Is that a correct interpretation?
Thank you, and also especially for the code examples -- much appreciated.

[NinjaTrader_ChelseaB]

Hello tradeologist,

One is historical tick data and the other is using market updates.

The option for real-time is because OnMarketData() only runs in real-time unless TickReplay is enabled.