Help calculating whether last trade was at bid or ask.

[JS999]

I am trying to build an indicator that tracks trades between a certain minimum size X and a maximum size Y, and builds a cumulative indicator of delta volume for that trade size range. So when a trade comes in at the bid, the volume of that trade is subtracted from the total, and if it's at the ask it's added to the total.

I am using the OnMarketData() function as follows:

protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Last)
{
int volume = e.Volume;

if (GetCurrentBid() == e.Price)
{
// trade was at the bid

volume *= -1;
}

if ((e.Volume >= smallSize) &&
(e.Volume <= largeSize))
{
volumeDelta += volume;
}
}
}

This seems to work OK, except for one time when I saw a positive trade go through and got booked as a negative trade. What I am wondering is if the GetCurrentBid() function is really the best way to be determining if the trade was executed at the bid or the ask. Is there a better/more reliable way to do this? Thanks!

[NinjaTrader_Bertrand]

JS999, I would then suggest working directly in OnMarketData() for the bid price also and check if that makes a difference in your scenario - http://www.ninjatrader-support.com/H...arketData.html

[JS999]

JS999, I would then suggest working directly in OnMarketData() for the bid price also and check if that makes a difference in your scenario - http://www.ninjatrader-support.com/H...arketData.html

As you can see from my post, I am working with OnMarketData()... what I want to know is if I am doing it correctly by calling GetCurrentBid() in that function to find out if the trade was at the bid or the ask. Is this the proper way to do it, or is there a better/more reliable way? Please look at the code I pasted in and comment. Thanks.

[NinjaTrader_Bertrand]

JS999, yes that's why I suggested 'getting' the current bid also from the OnMarketData() to compare - your check for the current trade with GetCurrentBid() is ok, just keep in mind historically this will be the close price.

[JS999]

JS999, yes that's why I suggested 'getting' the current bid also from the OnMarketData() to compare - your check for the current trade with GetCurrentBid() is ok, just keep in mind historically this will be the close price.

What I am wondering is if there could be a discrepancy between the time that the OnMarketData() fires off and the time the GetCurrentBid() call returns the price. For example, the OnMarketData event fires off from a trade that occurs at the bid, but that trade happens to take out the bid in the process, thereby making the CURRENT bid actually one tick lower. So the comparison doesn't actually work, because GetCurrentBid() returns the NEW current bid, and that does not compare to the last TRADED price. Do you see what I mean? You can lose information that way.

Does it work like that, or can I guarantee that GetCurrentBid() is actually going to be equivalent to the last price that traded, even if it traded at the bid and took it out? If it does work like I described in the above paragraph, is there some way around that issue?

[RJay]

JS999,

I have already build Indicators that do what you are looking to develop.

They are available here for a nominal donation that supports the website.

http://forum.bigmiketrading.com/elite-circle/

Look for my posting concerning volume splitters.

See you there,

RJay

P.S.

If you just want to see what they look like click here. Images are in post #2 in the following link.

http://forum.bigmiketrading.com/general-discussion/275-volume-watch-indicators.html

[NinjaTrader_Bertrand]

What I am wondering is if there could be a discrepancy between the time that the OnMarketData() fires off and the time the GetCurrentBid() call returns the price. For example, the OnMarketData event fires off from a trade that occurs at the bid, but that trade happens to take out the bid in the process, thereby making the CURRENT bid actually one tick lower. So the comparison doesn't actually work, because GetCurrentBid() returns the NEW current bid, and that does not compare to the last TRADED price. Do you see what I mean? You can lose information that way.

Does it work like that, or can I guarantee that GetCurrentBid() is actually going to be equivalent to the last price that traded, even if it traded at the bid and took it out? If it does work like I described in the above paragraph, is there some way around that issue?

GetCurrentBid() would give you the latest bid price at call time and was meant for the OnBarUpdate(), so if you're working in OnMarketData() it's best to work directly with the bid price in this method then. Most important, there's no data 'lost', every change in price will trigger OnMarketData() or OnMarketDepth() for Level2 data.