How to get current bid/ask size

[rbeckmann05]

Hello, I am trying to implement a scaling system to my strategy, is there any way to get the bid/ask size at a given moment? Eg. bid = 22 @ 100, ask = 13 @ 100.25? I do not want traded volume, but instead existing limit orders at the bid and ask. Thanks.

[NinjaTrader_ChelseaB]

Hello rbeckmann05,

GetCurrentAskVolume() and GetCurrentBidVolume() would return the ask and bid size (as shown in ChartTrader or the SuperDOM).

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

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

From my understanding, the ask and bid volume is the best price and number of shares waiting at that price, while the last volume would be the volume of most recent transactions.

[rbeckmann05]

Hi Chelsea, so I came across that function when I was trying to impliment what I want, however it was giving me values in the 10s - 100s of thousands of contracts when entering. The code is very simple too, not sure how it would go wrong: EnterLong((int)GetCurrentAskVolume()). Any ideas?

[NinjaTrader_ChelseaB]

Hello rbeckmann05,

Is it a high volume instrument?

Are you printing the value and comparing this to the ask and bid in chart trader?

Are you sending a lot of orders?

May I have you provide the output from printing order.ToString() in OnOrderUpdate()?

https://support.ninjatrader.com/s/article/Developer-Guide-Debugging-using-Print-and-TraceOrders

[rbeckmann05]

Hi, sorry for late reply. Yes it is a high volume instrument, NQ and ES, however not high enough to have a bid/ask resting volume in the tens of thousands. When I print the volume it has the same effect. Not sending lots of orders, it enters once per day. I'm going to try it on a different, intraday strategy and see if it has the same results. If so, I'll send over those print statements