NT do not save all ticks for ask, bid

[gyunhak]

Hello~
I'm using dll interface to push ticks from my dataserver to NT.
It works well. But I found something strange.

I saved bid price, ask price, last(trade) price and bid volume, ask volume, trade volume when trade has occured. But, the number of saved ticks are not eqaul.
I found that NT save only one tick when two ticks have same price, volume and timestamp for Ask and Bid(not for last).
My data have several ticks in 1 sec, so I need to save all ticks to know the order. Is there any way to save all ticks?

[NinjaTrader_Austin]

gyunhak, how are you saving the ticks? If you call OnMarketData(), you'll definitely get a tick for every L1 update. Also, which version of NinjaTrader are you using? It should be saving all ticks, albeit with one second resolution.

[gyunhak]

I'm using datafeed which is not supported in NT. So I use dll Interface.
I write an application that get ticks from datafeed and pass to NT by dll interface
I use following dll interface function

- int Ask(string instrument, double price, int size)
- int Bid(string instrument, double price, int size)
- int Last(string instrument, double price, int size)

I add symbols and EMA indicator to market analyzer for saving ticks.
My NT version is 7.0.1000.4.

I tested OnMarketData(), but it seems that DLL interface functions do not pass all ask and bid ticks to Indicator.

C# application Test code

 
for (int i = 0; i < 10; i++)
{
NTClient.Last("TEST", 50, 1);
NTClient.Ask("TEST", 55, 1);
NTClient.Bid("TEST", 45, 1);
}

NT Test Indicator Script

 
protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType == MarketDataType.Last)
Print("[OnMarketData] Last = " + e.Price + " " + e.Volume);
else if (e.MarketDataType == MarketDataType.Ask)
Print("[OnMarketData] Ask = " + e.Price + " " + e.Volume);
else if (e.MarketDataType == MarketDataType.Bid)
Print("[OnMarketData] Bid = " + e.Price + " " + e.Volume);
}

Output Window
Ask = 55 1
Bid = 45 1
Last = 50 1
Last = 50 1
Last = 50 1
Last = 50 1
Last = 50 1
Last = 50 1
Last = 50 1
Last = 50 1
Last = 50 1

[NinjaTrader_Austin]

gyunhak, I am not entirely sure of the specifics, but the dll adapter drops ticks every so often. If you need 100% tick accuracy, you'll either have to slow down sending the ticks or use a supported data provider.

[aviat72]

If I can take a guess, a bid event with no change in price or size will not be treated as a new event because nothing has changed. So the OnMsrketData call is skipped since it is redundant

[NinjaTrader_Austin]

aviat72, you are correct here. If the bid price or volume hasn't changed, then there wouldn't even be L1 update.