Market Replay bid/ask size?

[YD777]

Does market replay store the top of the book's bid size and ask size? If so, can this be exported to a text file somehow?

[NinjaTrader_PatrickG]

Market replay data is a a proprietary file type and cannot be exported.

If you have access to a historical data provider that supplies the data you're looking for you could export that data for use elsewhere. Here are links with more information on what each data provider supplies to NinjaTrader and how to download/export historical data:

• https://ninjatrader.com/support/help...y_provider.htm
• https://ninjatrader.com/support/help...8/download.htm
• https://ninjatrader.com/support/help.../exporting.htm

[YD777]

I see that most of the providers in the link offer bid/ask data, but it doesn't say anything about providing size at the bid and ask. Is there anyway to obtain and use that information in Ninjatrader? Whether it be through market replay or any other manner?

[NinjaTrader_PatrickG]

size = volume? or trades/ticks? Could you define 'size'?

If you download market replay or historical data, do you see that it provides you with what you need?

If you go into further detail about how you plan on using it, I may be able to more accurately answer your questions.

[YD777]

by "size" I am referring to the amount of shares or contracts available at the price stated. For example, if the current ask price is 100.25 and size is 200, it would mean that there are 200 shares being offered at 100.25. This is different from volume, since volume would mean that 200 shares were sold at 100.25.

This info is available from CME,

https://www.cmegroup.com/confluence/display/EPICSANDBOX/Top+of+Book+-+BBO

[NinjaTrader_PatrickG]

This 'top of book' data otherwise referred to as level I data is provided by all supported data feeds to my knowledge.

[YD777]

This 'top of book' data otherwise referred to as level I data is provided by all supported data feeds to my knowledge.

"top of book" that most providers give is simply the top bid and top ask, I don't see them offering size of bid or size of ask. Interactive Brokers and IQfeed do not offer it. Not sure about the others. Nonetheless, if it were part of a feed, then how could I access that information from within ninjatrader? I don't see anything in the documentation.

[NinjaTrader_PatrickG]

Replay data contains this ask/bid depth and any provider that supplies "Bid/Ask Stamped Tick Data" to NinjaTrader will have it available when downloading historical data. You'll notice that historical data will appear with 'last', 'ask' and 'bid' prices when you view it in the Tools > Historical data > Edit window:

• https://www.screencast.com/t/b9ckvgLQW