Bid & Ask volume logic

[carlosgutierrez]

I am trying to code a simple script in strategy builder where when for example: Bid > Ask volume, then enter short.
Questions: 1) do I need level 2 data to code and use this strategy?, 2) I want to add a threshold for it, need to unlock code, correct?

With what or where do I need to be careful on the code writing to get a better code?

[carlosgutierrez]

Also, how can I add a “depth” parameter? I.e.: to add the bid and ask volumes for say 5 price levels (5 being the depth)

[NinjaTrader_BrandonH]

Hello carlosgutierrez,

Thanks for your notes.

Bid volume and Ask volume could be found in the Price folder in the Strategy Builder Conditions Builder window. The Strategy Builder does not have a Bid/Ask volume depth parameter available to access.

You could create a condition that checks if the Bid volume Price folder > Bid volume) is Greater than the Ask volume (Price folder > Ask volume) and call your EnterShort() method within that condition.

You would need to unlock your code from the Strategy Builder and come up with your own custom logic to save the last 5 Bid/Ask volumes to variables or to a list if you want to access those values in a script.

See the help guide documentation below for more information.

Strategy Builder Conditions: https://ninjatrader.com/support/help...on_builder.htm
Strategy Builder Actions: https://ninjatrader.com/support/help...t8/actions.htm
GetCurrentBidVolume(): https://ninjatrader.com/support/help...tbidvolume.htm
GetCurrentAskVolume(): https://ninjatrader.com/support/helpGuides/nt8/getcurrentaskvolume.htm

To get bid/ask volume you could use level 1 market data.

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

To get market depth data, you would need level 2 market data.

OnMarketDepth: https://ninjatrader.com/support/help...=OnMarketDepth