time and sales data

[trader3000a]

Hi,
What functions in the library would we use to access time and sales data in a strategy?
thanks,
David

[NinjaTrader_Jim]

Hello trader3000a,

Thanks for your post.

OnMarketData would be used to read Level 1 Time and Sales data.

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?onmarketdata.htm

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?marketdataeventargs.htm

The major items to look at are MarketDataType.Ask, MarketDataType.Bid, and MarketDataType.Last. Last represents completed trades, and you can identify buys/sells by comparing the Last tick's Price to the current Bid/Ask. Volume represents the corresponding volume of that individual tick.

BuySellVolume which comes with NinjaTrader may be referenced as an example for using OnMarketData and working with volume.

Let us know if there is anything else we can do to help.

[trader3000a]

Hi,
I'm specifically looking for code to identify "above ask" and "below bid" orders that show up on the time and sales. Is there an existing syntax?
thanks,
David

[NinjaTrader_Jim]

Hello David,

BuySellVolume demonstrates that exactly.

Please see below how e.Price, e.Bid, e.Ask, and e.Volume are used when e.MarketDataType is MarketDataType.Last. This tells you if the Last completed trade was a buy/sell.

[trader3000a]

thanks, Jim!