Historical bid/ask spread for Tick Replay

[yubo27]

I need to get average spread (bid/ask) of last 5min for a strategy that's running on TickReplay.

How can that be done? Could share an example snippet?

Your doc says following would give past bidAsk, but cannot be used for TickReplay type. What would happen if one tries to access Ask series during tick replay?

eg. AddDataSeries("AAPL", BarsPeriodType.Minute, 30, MarketDataType.Ask);
from https://ninjatrader.com/support/help...20English.html

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 post.

As stated in the help guide link and snippet you shared, TickReplay can only be used to work with MarketDataType.Last, not MarketDataType.Ask or MarketDataType.Bid.

You could view the BuySellVolume indicator that comes default with NinjaTrader to see how to get the Ask or Bid price from OnMarketData() when MarketDataType == MarketDataType.Last. To view the script, open a New > NinjaScript Editor window, open the Indicators folder, and double-click on the BuySellVolume indicator.

OnMarketData(): https://ninjatrader.com/support/help...marketdata.htm

Let me know if I may assist further.