Current Inside Bid - Offer

[keepsimple]

Hi,

short question,

what whould be the most efficient and reliable way to get the current inside bid and offer price in OnMarketData() and OnMarketDepth()?

is it useful to use GetCurrentAsk(), GetCurrentBid()?

When are those methods updated, are they updated depending on the method from which they are called? e.g. calling GetCurrentAsk() from OnMarketData whould mean it is updated by each MarketData event, or if not, when is it updated?

is there maybe a better way to get the current inside market prices using OnMarketData and OnMarketDepth?

regards

[NinjaTrader_ChelseaB]

Hello keepsimple

OnMarketData is Level I data; this would be the inside row of Level II data.

OnMarketDepth is Level II data; this would be all ten rows of ask and all ten rows of bid.

GetCurrentAsk() / GetCurrentBid() will get the last update of OnMarketData and are useful when calling this from any method that is not OnMarketData or OnMarketDepth such as from OnBarUpdate when you need a quick snapshot of the current ask or bid price.

GetCurrentAsk() - http://ninjatrader.com/support/helpG...currentask.htm
GetCurrentBid() - http://ninjatrader.com/support/helpG...currentbid.htm
OnMarketData() - http://ninjatrader.com/support/helpG...marketdata.htm
OnMarketDepth() - http://ninjatrader.com/support/helpG...arketdepth.htm

[keepsimple]

Thanks Chelsea,

so, getting the inside ask / bid inside OnMarketData without using GetCurrentAsk() / Bid()
whould require the use of a variable to store the last ask / bid event I think?

If Type == Ask => variable = ask;

is this correct, or is there another way of doing that?

How whould i do that using OnDepth?

I am asking so detailed, because I tried several ways and I really need that to be precise.

regards

[NinjaTrader_ChelseaB]

Hello keepsimple,

This would depend on what you are trying to do.

If you want to submit an order from OnMarketData you could use the e.Price without saving this to a variable.

If you want to use the value later or in another method, then you would need to save the value to a variable.

Below is a link to an example called TnSPrints that demonstrates using OnMarketData. This is made for NT7, but the behavior is the same in NT8.

http://ninjatrader.com/support/forum/showthread.php?p=473730#post473730

Also, below is a link to a reference sample demonstrating how to use OnMarketDepth.

http://www.ninjatrader.com/support/forum/showthread.php?t=3478

[keepsimple]

Thanks Chelsea,

great help as always, last question, specifically what i am trying to do, is accumulating the traded volume as long as the inside bid ask does not change, if the inside bid ask changes to a new price, i want to reset the volume which traded there to 0 and start a new accumulation on that price. so my question is stated otherwise, is it as reliable using GetCurrentAsk() to store the last inside bid ask as storing inside OnMarketData via a variable?

regards

[NinjaTrader_ChelseaB]

Hello keepsimple,

OnMarketData and GetCurrentAsk/GetCurrentBid/GetCurrentAskVolume/GetCurrentBidVolume return the same information. One updates for every market data event, the other gives you a snapshot of the last event when called.

The reliability of these are the same. The data provided by these are the same.

[keepsimple]

Thanks a lot.

Regards