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Most Accurate Bid and Ask Volume

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  • NinjaTrader_ChelseaB
    replied
    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.

    Leave a comment:


  • hedgeplay
    replied
    NinjaTrader_Jim posted a very good related sample app here.

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


    HedgePlay


    Leave a comment:


  • seykool
    replied
    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.

    Leave a comment:


  • goodknight777
    started a topic Most Accurate Bid and Ask Volume

    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

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