OnMarketData in Historical Data

[JayRupe]

Hello,

I have an indicator that uses volume from OnMarketData in order to make decisions to display certain draw objects on a chart. I notice it doesn't work on historical data. I believe it is due to use the event handler OnMarketData. Is there a way to show the volume from OnMarketData historically?

Thanks,
Jeremy

[NinjaTrader_BrandonH]

Hello JayRupe,

Thanks for your post.

From the OnMarketData() help guide page:

"By default, this method is not called on historical data (backtest), however it can be called historically by using TickReplay.

If used with TickReplay, please keep in mind Tick Replay ONLY replays the Last market data event, and only stores the best inside bid/ask price at the time of the last trade event. You can think of this as the equivalent of the bid/ask price at the time a trade was reported. As such, historical bid/ask market data events (i..e, bid/ask volume) DO NOT work with Tick Replay. To obtain those values, you need to use a historical bid/ask series separately from TickReplay through OnBarUpdate(). More information can be found under Developing for Tick Replay."

This means that you would need to enable Tick Replay to have OnMarketData() called on historical data.

See the help guide documentation below for more information.

OnMarketData(): https://ninjatrader.com/support/help...marketdata.htm
Tick Replay: https://ninjatrader.com/support/help...ick_replay.htm
Historical Bid/Ask Series: https://ninjatrader.com/support/help..._ask_serie.htm
Developing for Tick Replay: https://ninjatrader.com/support/help...ick_replay.htm