Before NT7 & Zen-Fire's Historical Bid/Ask Tick Data feature, I was using the OnMarketData method like so:
if (e.MarketDataType == MarketDataType.Ask) { askPrice = e.Price; return; } else if (e.MarketDataType == MarketDataType.Bid) { bidPrice = e.Price; return; } else if (e.MarketDataType != MarketDataType.Last || askPrice == 0 || bidPrice == 0) return; if (e.Price >= askPrice) askVolume += e.Volume; else if (e.Price <= bidPrice) bidVolume += e.Volume;
Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Ask); Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Bid); Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Last);
See attached file for a first attempt.
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