I created a strategy that runs on a minute chart but I wanted some logic to run on each tick.
I added a 1 tick based data series as follows:
else if (State == State.Configure) { AddDataSeries("ES 06-16", Data.BarsPeriodType.Tick, 1, Data.MarketDataType.Last); }
As I understand the Tick Reply should trigger OnMarketData with all the "Last" events.
I printed each event of OnMarketData, as well as OnBarUpdate tick series (when BarsInProgress is 1).
if (BarsInProgress == 1) { Print("OnBarUpdate: " + Close[0]); }
Is this to be expected?
This is a part of the output window:
instrument='ES 06-16 Globex' type=Last price=2044 volume=3 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044.25 volume=1 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False OnBarUpdate: 2044.25 instrument='ES 06-16 Globex' type=Last price=2044.25 volume=1 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044.25 volume=2 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044.25 volume=2 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False OnBarUpdate: 2044.25 instrument='ES 06-16 Globex' type=Last price=2044.25 volume=2 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False OnBarUpdate: 2044.25 instrument='ES 06-16 Globex' type=Last price=2044.25 volume=2 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044.25 volume=1 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False OnBarUpdate: 2044.25 instrument='ES 06-16 Globex' type=Last price=2044.25 volume=1 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=1 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False OnBarUpdate: 2044 instrument='ES 06-16 Globex' type=Last price=2044 volume=1 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044.25 volume=2 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False OnBarUpdate: 2044.25 instrument='ES 06-16 Globex' type=Last price=2044.25 volume=2 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044.25 volume=1 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False OnBarUpdate: 2044.25 instrument='ES 06-16 Globex' type=Last price=2044.25 volume=1 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=13 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=14 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=2 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=15 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=8 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=8 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=8 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=8 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=8 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=8 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=7 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=8 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=1 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=1 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=10 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=1 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=4 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=1 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=1 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=4 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False instrument='ES 06-16 Globex' type=Last price=2044 volume=3 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False OnBarUpdate: 2044 instrument='ES 06-16 Globex' type=Last price=2044 volume=13 time='17/05/2016 15:14:58' bid=2044 ask=2044.25 isReset=False
I added the following data series as well and printed the OnMarketData events as well as the BarsInProgress number.
AddDataSeries(base.Instrument.FullName, Data.BarsPeriodType.Tick, 1, Data.MarketDataType.Ask); AddDataSeries(base.Instrument.FullName, Data.BarsPeriodType.Tick, 1, Data.MarketDataType.Bid);
3 instrument='ES 06-16 Globex' type=Last price=2044.5 volume=145 time='17/05/2016 15:59:58' bid=2044.5 ask=2044.75 isReset=False instrument='ES 06-16 Globex' type=Last price=2044.5 volume=4 time='17/05/2016 15:59:58' bid=2044.5 ask=2044.75 isReset=False 1 OnBarUpdate: 2044.5 instrument='ES 06-16 Globex' type=Last price=2044.5 volume=4 time='17/05/2016 15:59:58' bid=2044.5 ask=2044.75 isReset=False 2 instrument='ES 06-16 Globex' type=Last price=2044.75 volume=168 time='17/05/2016 15:59:58' bid=2044.75 ask=2045 isReset=False 3 instrument='ES 06-16 Globex' type=Last price=2044.5 volume=141 time='17/05/2016 15:59:58' bid=2044.5 ask=2044.75 isReset=False instrument='ES 06-16 Globex' type=Last price=2044.5 volume=4 time='17/05/2016 15:59:58' bid=2044.5 ask=2044.75 isReset=False 1 OnBarUpdate: 2044.5 instrument='ES 06-16 Globex' type=Last price=2044.5 volume=4 time='17/05/2016 15:59:58' bid=2044.5 ask=2044.75 isReset=False 2 instrument='ES 06-16 Globex' type=Last price=2044.75 volume=172 time='17/05/2016 15:59:58' bid=2044.75 ask=2045 isReset=False 3 instrument='ES 06-16 Globex' type=Last price=2044.5 volume=137 time='17/05/2016 15:59:58' bid=2044.5 ask=2044.75 isReset=False instrument='ES 06-16 Globex' type=Last price=2044.75 volume=2 time='17/05/2016 15:59:58' bid=2044.5 ask=2044.75 isReset=False 1 OnBarUpdate: 2044.75 instrument='ES 06-16 Globex' type=Last price=2044.75 volume=2 time='17/05/2016 15:59:58' bid=2044.5 ask=2044.75 isReset=False 2 instrument='ES 06-16 Globex' type=Last price=2044.75 volume=170 time='17/05/2016 15:59:58' bid=2044.75 ask=2045 isReset=False 3 instrument='ES 06-16 Globex' type=Last price=2044.5 volume=135 time='17/05/2016 15:59:58' bid=2044.5 ask=2044.75 isReset=False instrument='ES 06-16 Globex' type=Last price=2044.5 volume=3 time='17/05/2016 15:59:58' bid=2044.5 ask=2044.75 isReset=False 1 OnBarUpdate: 2044.5 instrument='ES 06-16 Globex' type=Last price=2044.5 volume=3 time='17/05/2016 15:59:58' bid=2044.5 ask=2044.75 isReset=False 2 instrument='ES 06-16 Globex' type=Last price=2044.75 volume=167 time='17/05/2016 15:59:58' bid=2044.75 ask=2045 isReset=False 3 instrument='ES 06-16 Globex' type=Last price=2044.5 volume=132 time='17/05/2016 15:59:58' bid=2044.5 ask=2044.75 isReset=False instrument='ES 06-16 Globex' type=Last price=2044.5 volume=4 time='17/05/2016 15:59:58' bid=2044.5 ask=2044.75 isReset=False 1 OnBarUpdate: 2044.5 instrument='ES 06-16 Globex' type=Last price=2044.5 volume=4 time='17/05/2016 15:59:58' bid=2044.5 ask=2044.75 isReset=False 2 instrument='ES 06-16 Globex' type=Last price=2044.75 volume=164 time='17/05/2016 15:59:58' bid=2044.75 ask=2045 isReset=False 2 instrument='ES 06-16 Globex' type=Last price=2044.75 volume=163 time='17/05/2016 15:59:58' bid=2044.75 ask=2045 isReset=False 3 instrument='ES 06-16 Globex' type=Last price=2044.5 volume=128 time='17/05/2016 15:59:58' bid=2044.5 ask=2044.75 isReset=False 3 instrument='ES 06-16 Globex' type=Last price=2044.5 volume=129 time='17/05/2016 15:59:59' bid=2044.5 ask=2044.75 isReset=False instrument='ES 06-16 Globex' type=Last price=2044.5 volume=1 time='17/05/2016 15:59:59' bid=2044.5 ask=2044.75 isReset=False 1 OnBarUpdate: 2044.5 instrument='ES 06-16 Globex' type=Last price=2044.5 volume=1 time='17/05/2016 15:59:59' bid=2044.5 ask=2044.75 isReset=False 3 instrument='ES 06-16 Globex' type=Last price=2044.5 volume=128 time='17/05/2016 15:59:59' bid=2044.5 ask=2044.75 isReset=False instrument='ES 06-16 Globex' type=Last price=2044.5 volume=1 time='17/05/2016 15:59:59' bid=2044.5 ask=2044.75 isReset=False
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