Tick data requirements for volumetric (Footprint) bars

[Joerg]

Hello,

Recently I started using volumetric bars in ninja scripts for testing some footprint pattern. It seems NT stores only tick data for the last prices after loading them from the data provider for volumetric bars (and no bid and ask data). How can NT determine the bid and ask volumes for volumetric bars with only last tick data and choosen bidask method? Switching to UpDown method changes the bid and ask figures but in both cases only last ticks are available in the db folder.

The question is important for me because I am thinking about buying some more history data since all available data provider seem to be limited to 1 year of historical tick data.

Thanks in advance
Joerg

[NinjaTrader_BrandonH]

Hello Joerg,

Thanks for your post.

Order Flow Volumetric Bars uses ask/bid data when you have BidAsk selected, it otherwise uses some logic to do that using Last data. Likely OnMarketData() is used in realtime to do that classification. We cannot say for sure how this logic is calculated because the Volumetric bars are closed source and the actual code is not public.

From the help guide: "Critical: To perform the delta buy / sell aggressor classification (DeltaType BidAsk), historical bid / ask tick data access by your provider is needed. To see which data providers can offer which type of data in NinjaTrader, please review this table. If your provider could only support 'last' historical tick data, then the classification could still be made using DeltaType UpDownTick mode."

See this help guide page for more information: https://ninjatrader.com/support/help...umetric