How can I get historical atBid/atAsk volume from DTN on NT ?

[maxima]

I know that Sierra has bid/ask volume as a part of data on each tick. Some dataservices like DTN for instance provide it as a part of data.

Previously when I needed at bid / at ask volume I did subscribe on market update event in C# and counted it myself...

However now I need it historically. How can I get bid/ask volume if I connect NT to DTN ?

P.S. I need to build reliable CVD.

[NinjaTrader_Ben]

Hello,

Try File>new>Level II:

http://www.ninjatrader-support.com/HelpGuideV6/Overview43.html

[cunparis]

Hello,

Try File>new>Level II:
http://www.ninjatrader-support.com/H...verview43.html

I too am interested in getting historical bid/ask with IQFeed & Ninjatrader. I read the web page but I still don't understand if it's possible. with Investor RT you can get 30 days historical bid/ask information.

[maxima]

The answer was off the key. What was asked is nothing to do with L2 window.

How do we get historical @bid / @ask volume using NT and what data feed supports it?

[cunparis]

The answer was off the key. What was asked is nothing to do with L2 window.

How do we get historical @bid / @ask volume using NT and what data feed supports it?

I read in another thread that it's not possible because the bid/ask aren't sync'd with price. They're stored separately as separate data streams. So it's not possible to sync them together on one chart. It'd be great if someone can confirm this.

[maxima]

In that case NT has to explain how we can mine the data by code. Once I paid for this information I want it to be accessible.

If NT doesnt do CVD then I want to know how I can do that myself.

P.S. can you please find the link to where did you see the discussion.

[cunparis]

In that case NT has to explain how we can mine the data by code. Once I paid for this information I want it to be accessible.

If NT doesnt do CVD then I want to know how I can do that myself.

it's simple really - you get investor RT & iqfeed and pay $200/month.

that's what I'm going to do.

I already use TS for charting and Ninja for trade execution so this would be the same except I'd switch to Investor RT instead of TS. the only problem is the heft IQFeed bill, especially since I already have all the data with Zen-fire..

[maxima]

I think there are other possibilities.

At the moment I use Sierra and barchart which is much cheaper than RTi + DTN.

1. Sierra keeps storing Bid/Ask data on their servers and you can download it with about 12 hr gap. Basically you lose overnight session action.

2. As alternative you keep you machine on 24/7 (that what Fulcrum did when he was young ). The cost of electricity bills will not be that big.

3. You open 2.5K account with Infinity and just keep it for data - it is free and they have historical bid/ask anytime.

4. I was told that DTN has historical bid/ask. So you need just find out how to bring it on. It will be as per #1 but without 12hr gap. That what I was trying to do starting this thread... But you know....

NT just have no idea how people use their software really. NT need a proper trader consulting them time to time because they often waste time for stupid improvements and often disregard real needs. Sierra are the same though.... Power of software developers (read - geeks)

[cunparis]

I think there are other possibilities.

At the moment I use Sierra and barchart which is much cheaper than RTi + DTN.

1. Sierra keeps storing Bid/Ask data on their servers and you can download it with about 12 hr gap. Basically you lose overnight session action.

2. As alternative you keep you machine on 24/7 (that what Fulcrum did when he was young ). The cost of electricity bills will not be that big.

3. You open 2.5K account with Infinity and just keep it for data - it is free and they have historical bid/ask anytime.

4. I was told that DTN has historical bid/ask. So you need just find out how to bring it on. It will be as per #1 but without 12hr gap. That what I was trying to do starting this thread... But you know....

NT just have no idea how people use their software really. NT need a proper trader consulting them time to time because they often waste time for stupid improvements and often disregard real needs. Sierra are the same though.... Power of software developers (read - geeks)

The 12 hour gap is not acceptable as I use divergences than span several days.

Can you elaborate on #3? Does that work with Ninjatrader? Do you have to use their software?

I would prefer to park $2500 in an account there rather than pay $300/month for Investor RT & IQFeed.

Thanks for telling me about this option, I didn't know it existed.

[maxima]

No Infinity data feed compatible with Sierra and Ensign and RT/Investor. May be they added more support recently. Call them.

You will need to persuade them to open your account with 2.5K though... I knew the guy there for a year and he was very flexible to pull me out of Dorman...

P.S. you need to use Infinity software only if you are to trade. Data feed has no particular software attached. And it is free and pretty fast. Not same as Rithmic but very fast (faster than Barchart at least ) and it also unbundled (no coalescing etc).

P.P.S. I have even better idea. PM me.