It is very good that NinjaTrader currently has API support for "Time and Sales" data, allowing for indirect calculations such as "volume at bid", and "volume at ask". Currently, it seems that any attempt to access "Time and Sales" data may be limited to what can be collected in realtime unless the user implements his or her own database, but it would be much easier if the incoming data could simply be stored in the existing NT symbol database and reloaded like any other historical data. If I am not mistaken, "Market Replay" data cannot be used for backfill, right? In the future, I would like to see NinjaTrader include the option to write "Time and Sales" data for trades to the symbol database along with the currently supported OHLCV data for the symbol. I would envision the possible need to implement new fields such as "symbol.bid", and "symbol.ask", etc. to determine whether historical trade volume occured at the bid or at the ask, or in between, etc.
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