Historical Data BID/ASK Volume and Best aproach to Order Managament via Add-on

[MaryQST]

Hello and good day to all,

We are developing a Addon and have a couple of questions at the moment.

1. We require Bid/Ask Volume in our Addon. We did some research and just want Ninjatrader Support to confirm. We have attached a screenshot of the question. This regards the volume column of for Bid/Ask historical data. As we understand not all data providers provide this information but in our case, we do have this information. Does this information regard the volume present at the Bid/Ask similar to position 0 for each side in MarketDepth? What is the proper way to request this historical data via the Add-On? Via https://ninjatrader.com/support/help...eventargs.htm?

2. We would like for Ninjatrader Support to comment on the proper way to manage orders with the Add-On framework. Would it be with the Account class (https://ninjatrader.com/support/help...ount_class.htm in conjunction with https://ninjatrader.com/support/help...tmstrategy.htm) or via the ATI (https://ninjatrader.com/support/help...rface_at.htm)?

Last and final question,

3. If we want to access the Session templates, we would access them via https://ninjatrader.com/support/help...oniterator.htm and https://ninjatrader.com/support/help...adinghours.htm correct?

Thank You,

We wish you a happy new year.

Kind Regards,

Mary

[NinjaTrader_Jesse]

Hello,

Thank you for the post.

The volume you have shown in the image would be what was reported from the data provider for that type of data. That would be similar to the level2 row 0 data. As for requesting data from an addon, I would highlight suggest reviewing the Addon sample here: https://ninjatrader.com/support/help...t_overview.htm
(AddOn Framework NinjaScript Basic)

This sample demonstrates requesting data in addition to using the various NinjaTrader controls.

Regarding orders, again the sample listed above demonstrates this as well. The Account class would be the recommended item to use, you can also use ATM strategies which is shown in the sample.

You are correct for the session templates as well, the SessionIterator can be used in an addon with the BarsRequest Bars object.


I look forward to being of further assistance.

[MaryQST]

Hello Jesse,

Thank You for your reply.

We have a follow-up question pertaining to the synchronization of those particular events regarding question 1.

Are those events synced in NT8? We ask this because there were some issues regarding the synchronization of bid/ask volumes and the last trade volume.

Does the current time granularity allow for this synchronization?
If we have tables with last, bid, ask can we synchronize based on the time stamp? and furthermore, would this be accurate? Would this be similar to recording real-time events?

Thank You
Regards

[NinjaTrader_Jesse]

Hello,

Thank you for the reply.

I wanted to clarify your question, are you asking if the Ask Last and Bid are synced in the sense that they should all occur at the same time?

If this is what you are asking, that is not the case. The events would be dependant on the market and what is currently happening in the market.

I look forward to being of further assistance.

[MaryQST]

Hello Jesse,

"are you asking if the Ask Last and Bid are synced in the sense that they should all occur at the same time?"

No, not in that sense. We know that those series are independent.
We also know that OnMarketData() provides this synchronous behavior. Between Last Price and Volume with the change in Ask or Bid volume.

"OnMarketData() is guaranteed to be called in the correct sequence for all level I market data events received from the underlying data source (no data is ever dropped)" - Ray

This assumes that we can get the correct sequence if we record live data based on OnMarketData.


What we are asking is in terms of access to the historical data that might be present :

Is the data present in historical Bid/Ask tables synchronizable with the events of Last. Meaning if we create a join based on the millisecond could this provide the exact match between the volume at the bid or ask and the last traded volume?

Thank You, Jesse, hopefully, we were clear.

Regards

[NinjaTrader_Jesse]

Hello,

Thank you for the reply.

The events would be synced as they are sent from the data provider this way. As the Volume at those levels is what was recorded at those times it should match the last for that time.

I look forward to being of further assistance.