Building an independent Bid-Ask series

[pstrusi]

Hi Ninjas,

I participate in another post with a doubt regarding Bid-Ask series, but this issue is so important that I think it could be valuable to dedicate an special post for this doubt.

I know that NinjaTrader builds its database from your DataProvider/Exchange once you have a chart active. Apparently it builds a three different and independent series: Bid-Ask-Last. But doing some comprobations and searching, I´ve read in this forum as it follows:

"However Bid/Ask data series are not constructed the way last or any data series are referenced. For example, Bid/ask series are build only if there is a corresponding last series. These internal logic's makes it different from the normal logic."

So, I have this reasonable doubt:

How can I build an independent Bid-Ask series (just for Bid-Ask events) and not just whenever a Last trade occurs?

[NinjaTrader_Lance]

You can do this using OnMarketDepth()

Also note, this will only work in real time.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?onmarketdepth.htm

Please see this as an example of creating your own level 2 book which would then allow you to store these values as needed: http://www.ninjatrader.com/support/f...ead.php?t=5965

Let me know if this is not what you're looking for.

[NinjaTrader_Lance]

You may want to look into using the Gomi Framework as this should achieve what you're looking to do along with some other features as well.

http://www.bigmiketrading.com/wiki/trading-wiki/Gomi

[pstrusi]

I appreciate your help regarding this issue.

Let me ask you this before continuing to explain my great doubt:

When I have my NT connected to my data provider, and a char active, DO BID, ASK, LAST PRICES COME FROM THE PROVIDER-EXCHANGE INTO MY NT DATABASE ASYNCHRONOUSLY ?

This doubt comes something that I´ve read here from someone from support team, as it follows:
"However Bid/Ask data series are not constructed the way last or any data series are referenced. For example, Bid/ask series are build only if there is a corresponding last series. These internal logic's makes it different from the normal logic."

NT is a powerfull software that allows to evaluate for Bid, Ask, Last series, so as you can imagine, all info coming for Bid, Ask and Last prices should come unfiltered and asynchronously, if it´s otherwise, related to Trades, those series would be useless for evaluation purposes.

So did I explain myself clearly?

[NinjaTrader_Matthew]

In real-time, it will come as you expect - the limitations currently are in the way the historical data is stored as it is only stamped down to the second. Should you receive multiple prints in the same exact second, the sequence may not be maintined.

To work around this currently, you can use the GOMI framework which will allow you to store data in the correct sequence.

Moving forward, we are planning to store the data at a much higher resolution however this will not be available until the next major release of NinjaTrader.

[pstrusi]

As always NinjaTrader Support Team does an excellent job. I appreciate it highly.

Regards

[ccl3093]

I want to see bid, ask and last on one chart. Which data vendor is the best to provide bid, ask, and last series simultaneously?

Thanks.

[sledge]

I want to see bid, ask and last on one chart. Which data vendor is the best to provide bid, ask, and last series simultaneously?

Thanks.

That'll be really messy on 1 chart..

What is your poison? Futures, stocks or forex?

[ccl3093]

stocks and options. If one chart is too tight, I can use 3 charts.

[NinjaTrader_Matthew]

When creating your chart, from the data series menu, you have the option to set the "price based on" from last, ask or bid.

I would agree that having all this informatio on one chart may be a bit confusing, so with this in mind, the 3 seperate charts would be the suggested route.

Please note that Options are not supported, however you can obtain stock data from various providers. Also notice that not all providers offer historical bid/ask data on both minute and tick intervals, so please review the following link on historical data by provider to ensure that you are choosing a provider who will offer all the information you need:

Understanding the data provided by your connectivity provider