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Modifying T&S to bundle ticks

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    Modifying T&S to bundle ticks

    In October 2009 CME unbundled ticks. For example, if someone buys 100 contracts at market from people who had a limit order sizes of 25,3,2,10,10,1,1,1,3,25,10,5,5 (sums to 100), the T&S window prints 25,3,2... instead of just 100. 25,3,2... can't be read and sometimes the T&S can be flushed with just one big order.

    Can NT give us the option unbundle these ticks in the T&S window? The solution is to simply see which trade occurred in the same small unit of time (e.g same centisecond), and assume that was one trade, and print that as one trade.

    And is it possible to create an object similar to onMarketData that bundles ticks and allows us to use it in ninjascript.

    Thanks!

    #2
    Thanks for the suggestion shared, I will let product management know. You could access the needed Level 1 data via OnMarketData() correct, so you could code up logic as you desire to bundle ticks seen.

    There's also an NT addon available targeted for that very task -

    http://www.jigsawtrading.com/products.html
    BertrandNinjaTrader Customer Service

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      #3
      Thanks Bertrand. I don't want to rush NT, but will this be implemented any time soon, or am I better off coding this myself? If myself, how do I access T&S's code, or create a new one?

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        #4
        This will be on our suggestion list for future consideration, but unfortunately I could not provide you with an ETA or commitment at this time. Have you checked the partner addon out? It sounds to me like this is what you would seek here. You can't really access the Time and Sales Window, but OnMarketData() gives you the Level 1 stream to work with in NinjaScript.

        http://www.ninjatrader.com/support/h...marketdata.htm
        BertrandNinjaTrader Customer Service

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