Bid and Ask data

[blar58]

Is there a way to collect Bid and Ask data historically.

I know I can get it through the OnMarketData but that has to be
on real time data.



Thanks

[NinjaTrader_Brett]

Hello,

If you dont mind me asking who is your current data feed provider. There are some data feed providers that provide this automatically without the need to record it and will provide it has historical data. Understanding section and then you will see historical Bid and Ask data.

http://www.ninjatrader.com/support/helpGuides/nt7/historical_data.htm

Let me know if I can be of further assistance.

[blar58]

Brett


My data provider is Zen Fire. I would have access to historical Bid and Ask tick data.

How would I get these data ? OnMarketData is used only on real time data, right ?



Thanks

[blar58]

What I need to know is if the last price has been traded at bid or at the offer.

So what is the syntax to access the bid and ask data ?

[Dexter]

You can access it from OnMarketData in real-time indeed, it is in the event args

protected override void OnMarketData(MarketDataEventArgs e)
{
    if (e.MarketDataType == MarketDataType.Ask)
         Print("Ask = " + e.Price );
    else if (e.MarketDataType == MarketDataType.Bid)
         Print("Bid = " + e.Price );
}

You'll probably need to compare your Last price's time to e.Time to verify it's correct.

edit: there is also MarketDataType.Last!