Volumetric bar Ask/Bid at a price level inside strategy analyzer

[Pole123]

How accurate is the ask/bid volume of a price level inside strategy analyzer when tick replay is used?

using the function:

GetAskVolumeForPrice(doubleprice)

[NinjaTrader_ChelseaB]

Hello Pole123,

Even with TickReplay enabled, this is still based on tick data and not the actual market data updates, which are not available in historical.

So they are close to accurate, in that they are the bid and ask tick values, but not the actual market data updates.

[Pole123]

So if I wanted to emulate the strategy analyser bid and ask tick values in the realtime market how would I do that? my strategy runs OnEachTick using volumetric bars

Also what is the depth of market in strategy analyser vs realtime? the tick update in strategy analyser will update all the ask/bid or just 1 tick above/below the price

[NinjaTrader_ChelseaB]

Hello Pole123,

Unfortunately, market updates only occur in real-time and are not recorded for historical.

If you were to record every market update yourself, you would need to save this to a file and then import this as historical ask / bid tick data.

Historical tick data that is available from connected providers is last data that is stamped with the ask and bid at the time the last tick was received.

The difference would be that instead of saving the last data with an ask / bid stamp, you would be saving to file all of the ask and bid updates directly.

(These would be very similar, but there can be ask bid updates without there being a last tick, which you would be recording)

"Also what is the depth of market in strategy analyser vs realtime?"

There is no depth of market in historical. This data is not recorded for historical.

From the help guide:
"Notes
1.This is a real-time data stream and can be CPU intensive if your program code is compute intensive (not optimal)
2.This method is not called on historical data (backtest)"

https://ninjatrader.com/support/helpGuides/nt8/onmarketdepth.htm

[MisterTee]

to the OP, it is, however, recorded in Market Replay, so you could use market replay to see that data, provided you recorded it (had a Level II window open)
best regards