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Most Accurate Bid and Ask Volume

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    Most Accurate Bid and Ask Volume

    I am considering a new indicator and would like to determine how I can obtain the most accurate data for aggressive buying on the Ask, and also aggressive selling on the Bid (a.k.a Bid & Ask Volume).

    Is the most accurate and up-to-date data provided by:
    (1) BarsArray[0].GetBid and BarsArray[0].GetAsk
    (2) OnMarketData, similar to the "Buy sell volume" indicator
    (3) some other means

    #2
    Hi Goodknight777,

    I had the same question and tried a few variants (except 1) ) and 2) gives pretty accurate values which got confirmed by manually calculating from Volume and the BuySellVolume indicator.
    If there is another most accurate answer please correct me support.

    Comment


      #3
      NinjaTrader_Jim posted a very good related sample app here.

      https://ninjatrader.com/support/foru...24#post1139724


      HedgePlay


      Comment


        #4
        Hello goodknight777,

        GetCurrentAsk(), GetCurrentBid() will always provide the most up-to-date values of the ask and bid at the exact moment out of queue, directly from incoming source. However, calling this enough times per second to see a change is resource intensive. For useful real-time reaction updates, OnMarketData() will be updating (in a subscription thread) for the queued ask and bid, in the order they are received. OnBarUpdate() will be updating when the bar updates, based on the Calculate setting.
        Chelsea B.NinjaTrader Customer Service

        Comment

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