Best way to create a highly responsive strategy

[brach]

I am working on a strategy that uses tick-based futures data (e.g. for the ESZ23 contract) to make decisions. Currently, it uses bid price, ask price, bid volume, ask volume, and timestamp.

The volumes should be actual trade volumes, and not just market depth levels.

I want to enter the trade as soon as the condition is met. It seems sometimes there is a delay before OnBarUpdate is called. I don't want to wait... time is money.

OnMarketData (data type "Last") seems to have the info I need to make the decision. Can I make the trade there? Is that advisable? If not, where can I make the trade as responsively as possible, with access to bid/ask trade volumes?

[QuantKey_Bruce]

Yes, you can make a trade there. You also could change your Calculate mode to OnEachTick and OnBarUpdate would run on each tick instead of once per bar.

[NinjaTrader_ChelseaB]

Hello brach,

Bruce is providing good information.

An order can be sent from just about any method (except for certain states in OnStateChange()), including OnMarketData().

The ask and bid may update without there being a last transaction, however a last transaction will result in a tick that would update OnBarUpdate when Calculate is set to OnEachTick.

In historical this would also require enabling TickReplay.

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