Data Stream differences between Calculate.OnEachTick and OnMarketData?

[vantojo]

In both NT7 and NT8

Is there any difference in the input data stream when Calculate.OnEachTick / CalculateOnBarClose = false

and the data stream in OnMarketData?

(in terms of volume of tick data?)

Thanks

[NinjaTrader_Kate]

Hello vantojo,

Thank you for your reply.

It's not the same because OnMarketData() updates for every market data change, bid, ask, and last, as well as other market data like Opening, whereas ticks updating in OnBarUpdate will be only last, or only bid, or only ask, depending on what is selected for the AddDataSeries call. OnBarUpdate would not be triggered for something like Opening. Keep in mind OnMarketData is a real-time data stream and can be CPU intensive if your program code is not as optimized as possible.

Please let us know if we may be of further assistance to you.

[vantojo]

Then, are Bid and Ask only Orders, and Last is the last sell/buy transaction?

Where does Time and Sales get its data stream from?

Is this also found in OnMarketData?

[NinjaTrader_Kate]

Hello vantojo,

Thank you for your reply.

Time and Sales gets the bulk of its data from OnMarketData, yes. Last is the last buy/sell transaction, yes, then the bid/asks coming in are the bids and asks from either just the current bid/ask if you only get Level 1 data, but can also be from the whole price ladder. I'd suggest taking a look at this example from our help guide that allows you to print the Level 2 order book to a NinjaScript Output window - we get all the data from this from OnMarketData.

https://ninjatrader.com/support/helpGuides/nt8/using_custom_events_to_output_.htm

Please let us know if we may be of further assistance to you.

[vantojo]

The Order data I don't really care about....I would like to get the data that is in the Time and Sales window for real time analysis....is there a way to do this? Thanks

[NinjaTrader_Kate]

Hello vantojo,

Thank you for your reply.

Here's some examples my colleague created from an earlier forum post that give examples of getting Time and Sales information from OnMarketData:

https://ninjatrader.com/it/support/forum/forum/ninjatrader-8/add-on-development/97522-time-and-sales#post785841

Please let us know if we may be of further assistance to you.