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
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