OnMarketData() e.MarketDataType.Last execution side

[NinjaTrader_Jim]

Hello mballagan,

It is possible to see bids and asks change along with their volume in OnMarketData if you are not filtering for the Last price (price at which the last trade occurred.) I would recommend monitoring for the Last MarketDataType, observing if that was a bid or an ask, and then check for accumulated volume.

Please let us know if we can be of further assistance.

[mballagan]

Hello mballagan,

It is possible to see bids and asks change along with their volume in OnMarketData if you are not filtering for the Last price (price at which the last trade occurred.) I would recommend monitoring for the Last MarketDataType, observing if that was a bid or an ask, and then check for accumulated volume.

Please let us know if we can be of further assistance.

So to store ask volume trades I would use something like the following?


protected override void OnMarketData(MarketDataEventArgs e)
{


if (e.MarketDataType == MarketDataType.Ask && e.MarketDataType == MarketDataType.Last)
{

// store ask trades (similar logic for trades executed at bid)

}

}

[NinjaTrader_Jim]

Hello mballagan,

For NinjaTrader 7, the bid and ask prices should be set with MarketDataType.Bid and MarketDataType.Ask. Please see lines 97 - 106 of the NinjaTrader 7 Volume Profile Indicator for reference.

if (e.MarketDataType == MarketDataType.Ask)
{
    askPrice = e.Price;
    return;
}
if (e.MarketDataType == MarketDataType.Bid)
{
    bidPrice = e.Price;
    return;
}

The volume can then be accumulated from MarketDataType.Last:

if(e.MarketDataType == MarketDataType.Last)
{
	if(e.Price >= askPrice)
	{
		buys += e.Volume;
	}
	else if (e.Price <= bidPrice)
	{
		sells += e.Volume;
	}
}

Please let us know if you have any questions.

[bltdavid]

Last price is provided independent of Bid & Ask price, on purpose, because it
actually is an independent piece of information.

The Last price comes from a standalone and independent event, and is very
useful all by itself without caring about or even knowing how it may be related
to the events for the Bid price or Ask price.

The market is an auction, and all three prices are really events happening
inside the auction. The Bid, Ask, and Last prices change and adjust completely
independent of one another based upon actual auction events, such as a
transaction between a buyer and seller, or an offer to buy at a certain price, etc.

Granted, they are somewhat related, for ex, Last price is typically (but not always)
constrained by the Bid price and Ask price, but the timestamp of one OnMarketData
price event is completely independent of the timestamps of the other price events,
they all happen at their own speed based upon the activities of those participating
in the auction.

You need Last price events because, without them, how would you ever know the
transaction price of the most recent buy/sell transaction?

Neither Bid nor Ask events represent actual buy/sell transactions.

It is only the Last price event that tells us a transaction (aka, an ownership change) has
actually taken place between a buyer and a seller.(*)

Another way to say it is this:

Bid price events are generated only by buyers, these events do not include sellers.
Ask price events are generated only by sellers, these events do not include buyers.

See that? Both Bid and Ask events are solo events involving no coupling of buyer and seller.

If you want to know when a buyer and seller have come together, the price at which
this event (aka, a buy-sell transaction) happens is known as the Last price.

Fun fact: Did you know the numbers shown by the standard Volume indicator are just an
accumulation of the volume that changed hands during the transactions recorded by all
the Last price events?

Ah-hah! That's another reason we need the Last price event! Because, by definition, the
only way NinjaTrader.exe can reliably record the "volume" for its public Volume data series
(which is displayed by the standard Volume indicator) is by watching for Last price events.

Thankfully, NinjaTrader.exe goes one step further and passes these Bid, Ask, and Last price
events to the NinjaScript programmer through the OnMarketData method, giving the programmer
the freedom to do all sorts of additional recording and processing of these 3 auction events.

(*) EDIT: Technically, the exchange doesn't tell us how many different buyers bought the 100
contracts you just sold, or how many sellers were needed to fulfill the 100 contracts you just
purchased. This kind of detail can be important, since large block buyers and sellers would
probably be institutions, capable of moving the market. And wouldn't you just love to know
on which side of the market all the large block transactions are happening?

[ttodua]

bltdavid I know this is an old topic, but here I explain why you might be missing an important detail - https://ninjatrader.com/support/foru...ided-tick-data