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How to get historical bid/ask volume per bar without enabling tick replay?

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    How to get historical bid/ask volume per bar without enabling tick replay?

    In my indicator, I would like to use the bid/ask volume for all historical bars.
    I know I can get this data by enabling tick replay in the data series and then overriding OnMarketData and calculate all buys/sells per bar.

    But enabling tick replay is pretty slow and not needed.
    I noticed some other commercial vendors have found ways around this since they sell indicators which use bid/ask volume per bar (e.g. to calculate the cumulative delta volume) and they don't require the user to enable tick replay

    So.. how can I get historical bid/ask volume per bar without enabling tick replay?
    Erwin
    EB Worx
    NinjaTrader Ecosystem Vendor - EB Worx

    #2
    Hello EB Worx,

    If the connected provider provides historical ask and bid data, you can add series with that market data type to get this data.

    AddDataSeries(null, BarsPeriodType.Minute, 1, MarketDataType.Ask)

    Below is a link to the help guide on AddDataSeries(), BarsInProgress, and Closes.
    https://ninjatrader.com/support/help...dataseries.htm
    https://ninjatrader.com/support/help...inprogress.htm
    https://ninjatrader.com/support/help...nt8/closes.htm
    Chelsea B.NinjaTrader Customer Service

    Comment


      #3
      Thx... got it working now!
      Last edited by EB Worx; 10-21-2020, 02:29 AM.
      EB Worx
      NinjaTrader Ecosystem Vendor - EB Worx

      Comment

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