Working with historical Bid/Ask prices revisited.

[xTrader1]

I know this issue was already discussed. I know that NinjaTrader does not ensure a proper sequence of events in case of working with separate bid/ask data series . However I hoped somehow to synchronize programmatically my historical data to be able to compute my historical spread = bid-ask. To check, is it possible, I wrote a trivial indicator that prints current bar value for last(primary) , bid and ask series, both added. According to the output , historical data processing is quite out of order, and bid/ask events in OnBarUpdate are lagging more and more behind the last.
In this situation, it seems that the only way to compute the spread is to populate a database with Close values of Bid/ask, or writing 3 files for last,bid and ask data and attempting to synchronize them in my indicator. Both methods seem cumbersome.
Any better advice?
Encl. the indicator.

[NinjaTrader_JC]

Hello xTrader1,

I would expect this if there are not any last trades, bid or ask trades coming to NinjaTrader or being reported by the Data Provider.

One of the reasons why there is no proper sequence of order between bid and ask is because we do not know when this is happening until it does.

With that said, you should still be able to access the last Bid price or last Ask Price to get the spread or using the GetCurrentAsk() and GetCurrentBid() methods if you are using this on real-time data.

For example: Spread.Set( GetCurrentAsk() - GetCurrentBid() )


Let me know if you have any questions

[xTrader1]

OK, I checked my data, seems you're right it's a matter of my data.