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NinjaTrader
Market Replay bid/ask size?
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Market replay data is a a proprietary file type and cannot be exported.
If you have access to a historical data provider that supplies the data you're looking for you could export that data for use elsewhere. Here are links with more information on what each data provider supplies to NinjaTrader and how to download/export historical data:
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by "size" I am referring to the amount of shares or contracts available at the price stated. For example, if the current ask price is 100.25 and size is 200, it would mean that there are 200 shares being offered at 100.25. This is different from volume, since volume would mean that 200 shares were sold at 100.25.
This info is available from CME,
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Originally posted by NinjaTrader_PatrickG View PostThis 'top of book' data otherwise referred to as level I data is provided by all supported data feeds to my knowledge.
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Replay data contains this ask/bid depth and any provider that supplies "Bid/Ask Stamped Tick Data" to NinjaTrader will have it available when downloading historical data. You'll notice that historical data will appear with 'last', 'ask' and 'bid' prices when you view it in the Tools > Historical data > Edit window:
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