Bid/Ask data is now stored with each last trade tick data ONLY ?

[pstrusi]

Forex obviously is not a matter cause last=Bid, BUT for the rest of instruments, this could be an important matter if you needed "free and genuine" tick data Bid-Ask building. There are indicators and others tools based on this data, and if I can only see data for each trade, I'm missing action out. So, please confirm:

For Stocks, Futures..etc, Do I see tick data genuinely generated or just for each tick trade?

I'd suggest leaving the tick data loading in a free fashion, without bond to trades

Thanks

[NinjaTrader_ChrisL]

Hello pstrusi,

Thanks for the note.

This page explains much of the nuances of getting correct bid/ask data using Tick Replay.

https://ninjatrader.com/support/helpGuides/nt8/en-us/?developing_for__tick_replay.htm

Some indicators like the Volume Profile will not plot anything historically and build upon live data. If you turn on tick replay in your data series menu, you will see Volume Profile actually build from historical data.

Please let me know if I may answer any questions.

[pstrusi]

Hi ChriL,

Perhaps I didn't express myself good enough. I don't talk about how the tick data is shown according to its granularity in OnBarUpdate or OnMarketData, I'm talking about the Tick data itself .I don't want just the best Bid/Ask during a Trade, I want all Bid/Ask tick data natural series in the TickReplay. As you can read in the Notes below, perhaps it's better said:

Tick Replay ONLY replays the Last market data event, and only stores the best inside bid/ask price at the time of the last trade event. You can think of this as the equivalent of the bid/ask price at the time a trade was reported. As such, historical bid/ask market data events (i..e, bid/ask volume) DO NOT work with Tick Replay. To obtain those values, you need to use a historical bid/ask series separately from TickReplay through OnBarUpdate()

Or this:

If the data provided has no bid/ask data tied to the last tick data, NinjaTrader substitutes the bid/ask data for consistent user experience purposes (i.e., Bid = Last price, Ask = Bid + 1 tick). For a list of providers who support tick replay, please see the table from Understanding the data provided by your connectivity provider. Only bid and ask price is made available, bid and ask volume is NOT available.

So it seems that you can only have the original and genuine Tick Data Bid/Ask if you use the Bid/Ask historical Series, which it may work in real time but NOT on TickReplay as it states:

Warning: A Tick Replay indicator or strategy CANNOT use a MarketDataType.Ask or MarketDataType.Bid series. Please see Developing for Tick Replay for more information.

So, my suggestion to NT8 would be set a better way to access Bid/Ask real tick data series that could be actually used in TickReplay.

Thanks

[NinjaTrader_ChrisL]

Hello pstrusi,

Thanks for clarifying.

There exists a feature request to add access to the Bid and Ask type in Tick Replay. I will add a vote to that feature on your behalf.

Feature ID: SFT-2894

You may check the release notes upon future updates to track new features:

https://ninjatrader.com/support/helpGuides/nt8/en-us/?release_notes.htm

Please let me know if I may be of any further assistance.