Importing Historical Market Depth?

[Kingwizz]

Hi,

Is there a way to import market-depth, or at least bid/ask prices, using Ninjatrader Historical Data Import?

Thanks.

[NinjaTrader_RyanM1]

Hello Kingwizz,

Thank you for your post.

Version 7 will allow you to import historical bid / ask data but this is not currently supported in version 6.5.

[Kingwizz]

Thanks. I am using version 7 at the moment. Would you be able to advise on the format needed to import bid/ask data?

[NinjaTrader_VinceB]

Hi,

In V7, click the F1 Key to open up the Help Guide, then select the Historical Data Manager section--> Importing--> Understanding the Import Options.

[Kingwizz]

Thanks, I've found the details. How do I run a strategy so that it enters on the ask price, and exits on the bid price?

[NinjaTrader_Tim]

Hi Kingwizz,

In your strategy code, you can use GetCurrentAsk() and GetCurrentBid()

More info at - http://www.ninjatrader-support.com/H...?GetCurrentAsk
and - http://www.ninjatrader-support.com/H...?GetCurrentBid

Keep in mind this will access the Close price if used in backtesting.