10-28-2007, 08:02 AM
I know there's rumour of being able to access the time and sales data from ninjascript coming soon, however, what is the best way to breakdown the volume on a per tick basis. ie: on a 3 minute bar, the price is fluctuating back and forth between say 100 and 99. How would I determine how many buys vs sells are actually transacted at those numbers? Price hits 100 and sell order comes in for 50 contracts, and price moves down to 99, a buy order comes in for 20 contracts, etc. That kind of breakdown.