Market Data Update Last Executed

[StefanoMuscariello]

Hello,
I was wondering if when i am herfe:

[B]protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{
if(marketDataUpdate.MarketDataType == MarketDataType.Last)
{


}
}[/B]

I was wondering what is the data actually about.
when i receive a type of Last, is it the last execution?
if yes, how can i understand if it executed a market order against the ask or the bid?
Also, if i receive a type of 'ask' what does i mean? Is it un update on just for top of the book?

I would like to understand better the behaviour of these parameters since i'm running a strategy that is based on the last executed trade in the market.
thanks

[NinjaTrader_Emily]

Hello StefanoMuscariello,

Thank you for your post and welcome to the NinjaTrader forum community!

The last executed trade in the market drives the last price, so to answer your first question, yes the Last price type is the last execution. The bid and ask prices are the best potential price that could be bought/sold at any point in time. The bid price is an update for the highest price a buyer is willing to pay and the ask price is an update for the lowest price a seller is willing to sell at. I suggest reviewing the BuySellVolume indicator that comes with NinjaTrader; it compares the last price to see if it is greater than/equal to the ask or less than/equal to the bid to determine if that last trade was a buy or a sell.

For more information about bid vs. ask vs. last, there are some publicly available resources such as the following:

• https://www.investopedia.com/terms/b/bid-and-ask.asp

For more notes and tips related to OnMarketData() please see the help guide page here:

• https://ninjatrader.com/support/help...marketdata.htm

Please let us know if we may be of further assistance.