OnMarketData ,Historical prints.

[Ramon]

About OnmarketData ,Help Guide Says: This method is not called on historical data.

i'm codifying an indicator about deltas , actually is quite simple but enough to my needs. It use OnMarketData but only gets data for the last bar, even that are lost when reload ninjascript.

I can see as indicators like Volume Foot prints has different behavior from NT 6,5 to 7. Now a days can fill whole the chart from several bars ago and I am wondering if there is a new way in NT 7 to get historical prints as well as the bid/ask positions

Thanks

[NinjaTrader_Bertrand]

Hi Ramon, the OnMarketData() workings in NT7 would still be for realtime use only - what we've added in NT7 is multiseries indicator support, so you could for example add a bid / last series and then access their historical values in your code.

http://www.ninjatrader.com/support/helpGuides/nt7/add3.htm

http://www.ninjatrader.com/support/helpGuides/nt7/historical_data.htm

[Ramon]

It sounds fantastic. I'll try it (if i know how to)

[Ramon]

I don't know if i understand the correct use of multiseries.

I'm trying something like the next:

       protected override void Initialize()
        {
        CalculateOnBarClose    = false;  
        Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Last);
        Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Bid);
        Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Ask);
           BarsRequired = 2;
        }
        protected override void OnBarUpdate()
        {
            if (BarsInProgress == 0)
            {
                if (FirstTickOfBar)
                {
                    dLastPrice = 0;
                    dAskPrice = 0;
                    dBidPrice = 0;
                    lBidVolume=0;
                    lAskVolume=0;
                    lDeltas=0;
                }
            }
             if (Historical)
             {
                HistoricalBranch();
            }

        }
        protected override void OnMarketData(MarketDataEventArgs e) 
        {
        if (BarsInProgress == 0)
        {    
            CalcDeltas( e.MarketDataType,  e.Price, e.Volume);
        }    

        private void HistoricalBranch()
        {
        if (CurrentBars[0] <= BarsRequired)       return;
            if (BarsInProgress == 0)
            {
            }
            else if (BarsInProgress == 1)
            {
            DataType=MarketDataType.Last;
            }
            else if (BarsInProgress ==2)
            {
            DataType=MarketDataType.Bid;
            }
            else if (BarsInProgress == 3)
            {
             DataType=MarketDataType.Ask;
            }
            CalcDeltas( DataType,  Close[0], (long) Volume[0]);

        }
        private void CalcDeltas(MarketDataType DataType, double dPrice, long lVolume)
        {    
        if (DataType == MarketDataType.Last)
        {
            if ((dPrice > dBidPrice ) && (dPrice >= dAskPrice))
                //  ASK  => BUY
                {
                    lAskVolume +=  lVolume;
                    lDeltas += lVolume;
                }
             else
                //  BID  => SELL
                {
                     lBidVolume +=  lVolume;
                    lDeltas -= lVolume;
                }

             // Do things like draw text , diamonds, etc.
                DrawThings(dPrice,lAskVolume,lBidVolume,lDeltas);
         }
           else if (DataType == MarketDataType.Ask)
                dAskPrice = dPrice;
            
        else if (DataType == MarketDataType.Bid)
                dBidPrice = dPrice;
    
        }

]Historical data doesn't bear any resemblance with online data and when ONMARKETDATA starts , data are exactly correct but multiply by four.

After uncountable variations i've got into a deep rut
Any suggestion?

[NinjaTrader_Bertrand]

Could you please contact me at support at ninjatrader dot com Attn Bertrand with a script I could run here to understand better?

The BIP call is OnMarketData() is meant for distinguishing between different instruments, it would return BIP0 for all series if you only deal with one instrument.

[Ramon]

done.

Thanks in advance
Ramon

[NinjaTrader_Bertrand]

Thanks, I received the script and will take a look shortly.

[kujista]

Hello I am facing same issue, could please provide piece of code, that solves this on historical data?

[NinjaTrader_ChrisL]

Hello kujista, thanks for your post.

My test script is not multiplying anything by 4. If you do this it will give you a stream of bid, ask, and last prices in the style of the T&S window:

        protected override void Initialize()
        {
            CalculateOnBarClose    = false;  
            Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Last);
            Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Bid);
            Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Ask);
            BarsRequired = 2;
            Overlay                = true;
        }

        protected override void OnBarUpdate()
        {
            if(BarsInProgress == 1)
            {
                Print("DataType.Last " + Close[0]);
            }
            if(BarsInProgress == 2)
            {
                Print("DataType.Bid " + Close[0]);
            }
            if(BarsInProgress == 3)
            {
                Print("DataType.Ask " + Close[0]);
            }

        }

If there is a specific problem you would like to look into, please provide details on that.

Kind regards.