Discrepency between T&S and indicator

[dixie]

Hi there,

I have a question regarding the T&S window and what I read tick by tick.

In my indicator, I check it's a buy at ask, or sell at bid with this code (which is pretty common in many indicator), and just print it to the output window:

if (Close[0] >= GetCurrentAsk())
{
buys += tradeVol;
Print(Time[0].ToString("HH:mm:ss") + " BUY "+tradeVol+" at ask:"+GetCurrentAsk());
}
else if (Close[0] <= GetCurrentBid())
{
sells -= tradeVol;
Print(Time[0].ToString("HH:mm:ss") + " SELL "+tradeVol+" at bid:"+GetCurrentBid());
}

In T&S, just use color to tell it's a buy or sell.

I found when the tape moves FAST, these is a clear discrepency between these two result (please see attachment). I'm thinking when the tape moves quick (bid and ask price change quickly). Either T&S or getCurrentBid()/getCurrentAsk() cannot follow the pace.

This is really an big issue as it may give the opposite reading of block trade.

Please kindly check which one is right.

Thanks!
Dixie

[NinjaTrader_ChelseaB]

Hi dixie,

From the Time & Sales window it isn't possible to tell for sure if the order is a buy or a sell order.

If the order is at the ask price the order is likely a buy order. If the order is at the bid price the order is likely a sell order.

I'll need to see a screenshot of your parameters window to see if what colors you are using for the price levels.

Please right-click your T&S -> select Properties... -> take a screenshot.

To send a screenshot press Alt + PRINT SCREEN to take a screen shot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save as a jpeg file and send the file as an attachment.

For detailed instructions please visit the following link
http://take-a-screenshot.org/

[dixie]

Attached please find the T&S parameters.

Is it because I set the "display update interval" to.25 sec? Maybe that's why T&S cannot follow when tick flood in ?

Please kindly double check.

[dixie]

Seems changing the update interval to 0 still doesn't solve the problem

[NinjaTrader_ChelseaB]

Hi dixie,

The issue is very likely the GetCurrentAsk() and GetCurrentBid() calls.

These have a delay and in a very fast moving market these can become inaccurate.

Instead, we can set the ask and bid prices using the actual market data.

Attached is a sample I put together that should resolve this for you.

[dixie]

Thanks for your code.

I have one more question regarding the volume of MarketDataEventArgs e in OnMarketData().


For example this is the code in alphabetical_reference.htm

protected override void OnMarketData(MarketDataEventArgs e)
{
// Print some data to the Output window
if (e.MarketDataType == MarketDataType.Last)
Print("Last = " + e.Price + " " + e.Volume); <- i guess is the last trade. Volume is the trade volume of last trade happening at e.Price?

else if (e.MarketDataType == MarketDataType.Ask)
Print("Ask = " + e.Price + " " + e.Volume); <- what is volume for ask? The new level I size at the ask side?
else if (e.MarketDataType == MarketDataType.Bid)
Print("Bid = " + e.Price + " " + e.Volume); <- what is volume for bid? The new level I size at the bid side?
}

[NinjaTrader_ChelseaB]

Hi dixie,

MarketDataType.Last -> e.Volume = volume of trades in that print

MarketDataType.Ask -> e.Volume = number of orders sitting at the ask price on the exchange

MarketDataType.Bid -> e.Volume = number of orders sitting at the bid price on the exchange