how to load historical cumulative volume delta

[brucelevy]

I have an indicator that plots cumulative delta from the beginning of when it is loaded. How can I have it load historical volume delta data going back to the start of the session?

[NinjaTrader_ChelseaB]

Hello brucelevy,

Does your script add a 1 tick ask and 1 tick bid series with the Add() method?

If so, these should be loading if the data historically if the data provider provides historical bid and ask tick data.

Who are you connecting to for data? (This is indicated in green in the lower left corner of the Control Center)

[brucelevy]

I am using CQG, no I am not using the add tick method. I am using onMarketData to plot the buys and sell at the bid ask.

[NinjaTrader_ChelseaB]

Hello brucelevy,

Unfortunely, OnMarketData() does not get called historically.

From the help guide:
"This method is not called on historical data (backtest)"

Below is a publicly available link to the help guide.

https://ninjatrader.com/support/helpGuides/nt7/onmarketdata.htm

You will need to add the data historically with a 1 tick ask and 1 tick bid series.

[brucelevy]

I am looking to plot the historical accumulated delta in an indicator window like so

https://gyazo.com/2c051c947620524e00d6dc49ea42a566

Are you saying to add the tick series then use the buys and sells from the delta as the input for plotting the historical delta? An example would be great if possible. Thank you.

[NinjaTrader_ChelseaB]

Hello brucelevy,

The OnMarketData method runs only when a tick is received in real-time. This will also know if it was at the ask or the bid.

This method does not run historically.

If you want ask and bid tick data historically you need to add a 1 tick ask and 1 tick bid series and perform these calculations in OnBarUpdate().

Below is a link to an example that adds a 1 tick series.

https://ninjatrader.com/support/forum/showthread.php?t=6652