Execution above ask// time and sale

[staycool3_a]

Hi

How can I access time and sale data? I'd like to be able to chart when the orders are being executed above ask.. And what the volume was associated to them.

Thanks.

[NinjaTrader_PaulH]

Hello calhawk01,

This would be done with OnMarketData().

Please see: http://ninjatrader.com/support/helpG...b=onmarketdata

[staycool3_a]

Hello calhawk01,

This would be done with OnMarketData().

Please see: http://ninjatrader.com/support/helpG...b=onmarketdata

if (MarketDataType.Last > MarketDataType.Ask)
         Print("Execution > Ask");

In the documentation I see a mention of, "e.Price." What is that? Is that the code for execution price?

[NinjaTrader_PaulH]

Hello calhawk01,

Thanks for your reply.

e.Price is the price value returned from OnMarketData(MarketDataEventArgs e). You would have to match it up with the MarketDatatype list here: http://ninjatrader.com/support/helpG...aeventargs.htm

[staycool3_a]

Hello calhawk01,

Thanks for your reply.

e.Price is the price value returned from OnMarketData(MarketDataEventArgs e). You would have to match it up with the MarketDatatype list here: http://ninjatrader.com/support/helpG...aeventargs.htm

confused :/

so would the above code i posted print when last > ask price?

[NinjaTrader_PaulH]

Hello calhawk01,

Sorry I missed the code and wanted to make sure I got you the info on e.Price.

Yes your code should work.

[staycool3_a]

        protected override void OnBarUpdate()
        {
                if (MarketDataType.Last > MarketDataType.Ask)
                    
                {
                    AboveAsk.Set(above);
                }
                
        }

        protected override void OnMarketData(MarketDataEventArgs e)
            {
            if (e.MarketDataType == MarketDataType.Last )
            {
                last = e.Price;
            }
            
            if (e.MarketDataType == MarketDataType.Ask )
            {
                ask = e.Price;
            }
                if (last > ask )
                
                {
                    above = (e.Volume);
                }
            }

I tried. And failed. Some help would be great. The goal is to try to plot the volume that was traded above ask. If Last[0] > Ask[0] then print the volume that was traded above ask. The above seems to give me a huge number.. i think it's printing the total volume. And i'm not even sure if i'm using the e.price values correctly

[NinjaTrader_PaulH]

Hello calhawk01,

Thanks for your post.

I think you may want to either use the indicator BuySellVolume or perhaps use the coding for your indicator as I think it will provide what you are looking for. Here is the description, "...Plots a histogram splitting volume between trades at the ask or higher and trades at the bid and lower."

Here is a part of that indicators code that determines the buy/sell volume based on the current close price against the bid/ask.

			double tradeVol = previousVol == 0 ? Volume[0] : Volume[0] - previousVol;
				if (Close[0] >= GetCurrentAsk())
					buys += tradeVol;
				else if (Close[0] <= GetCurrentBid())
					sells += tradeVol;

[staycool3_a]

Hello calhawk01,

Thanks for your post.

I think you may want to either use the indicator BuySellVolume or perhaps use the coding for your indicator as I think it will provide what you are looking for. Here is the description, "...Plots a histogram splitting volume between trades at the ask or higher and trades at the bid and lower."

Here is a part of that indicators code that determines the buy/sell volume based on the current close price against the bid/ask.

			double tradeVol = previousVol == 0 ? Volume[0] : Volume[0] - previousVol;
				if (Close[0] >= GetCurrentAsk())
					buys += tradeVol;
				else if (Close[0] <= GetCurrentBid())
					sells += tradeVol;

Thanks Paul. Can you pls add comments on each line. Trying to understand the code. I have no idea why and how ? Is used lol

[NinjaTrader_PaulH]

Hello calhawk01,

Thanks for your post.

The line of code: double tradeVol = previousVol == 0 ? Volume[0] : Volume[0] - previousVol;

The use of "?" and ":" is referred to as a Ternary operation and is just a short way to write:

if (previousVol == 0)
{
tradeVol = Volume[0];
}
else
{
tradeVol = Volume[0] - previousVol;
}

previousVol == 0 is the logic being tested by the "?". The first thing that follows the "?" would be used if the condition previousVol == 0 is true. If the condition is false then Volume[0] - previousVol; is used. The two values, Volume[0] : Volume[0] - previousVol, are separated by ":".

Here is a reference to Ternary operator: http://www.dotnetperls.com/ternary

[staycool3_a]

whats the benefit of getcurrentask vs marketdatatype.ask? if my purpose is to simply count the # of occurrences that happen during a given time when close > ask? I build a simple counter indicator that counts and resets when the bar closes. but i'm using getcurrentask. but researching through NT; most people seem to use marketdatatype.ask for such calculations. why?

if (e.MarketDataType == MarketDataType.Ask )

vs

if(GetCurrentAsk())

[NinjaTrader_PatrickH]

Hello calhawk01,

Thank you for your response.

Are looking for this over the entire data set in the chart? Historical and Real-Time?

I ask as GetCurrentAsk() would only pull in real-time and OnMarketData() would only work on real-time data as well.

You can add a historical series for ask or bid: http://ninjatrader.com/support/helpGuides/nt7/add3.htm

[staycool3_a]

Hello calhawk01,

Thank you for your response.

Are looking for this over the entire data set in the chart? Historical and Real-Time?

I ask as GetCurrentAsk() would only pull in real-time and OnMarketData() would only work on real-time data as well.

You can add a historical series for ask or bid: http://ninjatrader.com/support/helpGuides/nt7/add3.htm

I'm using this in real-time charting. Thanks for sharing the link. I would LIKE to be able to pull historical bid/ask/tick data but unfortunately mostly all data providers either don't support that data or the data is bad. Any thoughts on that? Does NT save bid/ask data when realtime data is turned on.. and then allow the user to pull it using historical series for ask?

I still don't understand the difference between GetCurrentAsk() and OnMarketData() Ask values.

[NinjaTrader_ChelseaB]

Hi calhawk01,

NinjaTrader will only save data for active feeds when Tools -> Options... -> Data -> Save chart data as historical.

This means that if you want real-time ask and bid recorded, then you would need to open a chart with the Ask data selected for 'Price based on' in the Data Series window.

The only real difference between GetCurrentAsk() and e.Price when e.MarketDataType == MarketDataType.Ask is how you plan to use it.

GetCurrentAsk() is meant to give you a snapshot value of the ask price and can be called from OnBarUpdate(). This is great when you need to make sure that your new stop or limit order is at an acceptable price before placing the order (to avoid the order being rejected due to being placed at an unacceptable price).

OnMarketData is meant to be driven by market data events. This is preferred to use if you plan on storing the ask or bid prices and or volume to arrays. This would be similar to how our and most volume profile indicators work.