Using Historical Bid/Ask Series without Tick Replay

[ChainsawDR]

Hi,

I've been able to access historical bid/ask data by using OnMarketData and TickReplay, however the help guide (https://ninjatrader.com/support/help..._ask_serie.htm) indicates that it should be possible to access via OnBarUpdate() without TickReplay? Please could you let me know if any of the sample strategies are already leveraging historical bid/ask data in this way?

For additional context:
To start from, I'm trying to print the Bid & Ask to Output when I load an instrument onto a chart with the strategy enabled. The helpguide shows...

AddDataSeries("AAPL", BarsPeriodType.Minute, 30, MarketDataType.Ask);

... however I don't want to hardcode an instrument like "AAPL" and omitting or using 'this" is causing errors (I recognize this is probably a basic thing sorry, but I've been struggling on this for a while now).

Many thanks

ChainsawDR

[NinjaTrader_ChrisL]

Hi ChainsawDR, thanks for posting.

You can add a 1 tick series and determine a bid or ask update. I attached an example that demonstrates how to do it vs the default "BuySellVolume" which uses OnMarketData/Tick Replay

Kind regards,
-ChrisL

[ChainsawDR]

Wow, thank you very much for putting this together Chris! There's quite a bit for me to pick over here (I've been working on strategies with historical data only so this is the first time seeing how to put together an indicator that works for both). Will loop back if any questions. Thanks again!

[yubo27]

I need to get average bidAsk spread of last 5min for a strategy that's running on TickReplay. (average of 4 ohlc values of last 5min).
Doc says I cannot get that from series of MarketDataType.Ask/Bid, from AddDataSeries?

How can that be done? Can you share a quick snippet? Does one have to manually collects and calculate that from a custom series using OnMarketData?

What would happen if one tries to access Ask series during tick replay OnBarUpdate?

Doc:

https://ninjatrader.com/support/help...ick_replay.htm

Warning: A Tick Replay indicator or strategy CANNOT use a MarketDataType.Ask or MarketDataType.Bid series.

Tick Replay was only ONLY designed to work with MarketDataType.Last. A TickReplay indicator or strategy should NOT be mixed with a MarketDataType.Ask or MarketDataType.Bid series

[NinjaTrader_BrandonH]

Hello yubo27,

Thanks for your note.

I see that you created a forum thread asking this same question. Please see the reply to that forum thread linked below.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/strategy-development/1223287-historical-bid-ask-spread-for-tick-replay

Let me know if I may assist further.