Accessing the Bid and Ask Contracts at specific price levels

General Discussions
1

I am researching a NinjaScript project and would like to confirm what is possible before starting development.

My primary chart uses a custom Renko BarsType.

I am considering adding a secondary 1-tick volumetric data series using AddVolumetric().

My goal is to determine whether I can access bid volume and ask volume at a specific price level from NinjaScript, independent of the primary bar type.

Example:

  1. A custom Renko bar forms a swing high at a price of 45250.

  2. I want to query the volumetric data and retrieve:

    • Bid volume at 45250

    • Ask volume at 45250

Specifically, I would like to know:

  1. Can a custom NinjaScript indicator or strategy access bid/ask volume at an individual price level through a secondary volumetric series?

  2. Can GetBidVolumeForPrice() and GetAskVolumeForPrice() be used when the primary series is a custom Renko BarsType and the volumetric series is added as a secondary data series?

  3. Is there a recommended way to locate which volumetric bar contains a given price/time event from the primary series?

  4. Are there any limitations when using a custom BarsType together with a secondary volumetric series?

  5. Is Tick Replay required for this type of access, or can volumetric price-level data be accessed without Tick Replay?

I am not looking to calculate volume profiles or footprints. I only need to query bid and ask volume at specific prices from NinjaScript.

Any guidance on the recommended architecture would be appreciated.

1 Like
2

Yes you can access bid volume and ask volume at a specific price level from NinjaScript. Search for this in the ninjatrader documentation. I’ve built numerous types of this in custom bar types like ninzarenko.

image
image1284×2501 224 KB

These are ninzarenko bars (custom bar type)

2 Likes
3

Thank you for your quick reply. I’m looking to use a custom Renko bar, as in your screenshot. Did you use a 1 tick volumetric data series? And if so, is this reliable for pulling the bid/ask volume? Thanks again for your time.

4

Maybe have a look at OnMarketDepth(MarketDepthEventArgs e)?
Provides depth information for all price levels independently of what bars type is on the chart.

5

the 1-tick series can pull bid/ask stamps, but on custom Renko bars it did not produce identical results to the OnMarketData tick replay path, I want absolute accuracy with historicals so I opt for this method.

Now it all depends on your accuracy requirements, but for a footprint where every price level counts, tick replay and onMarketData was more reliable and accurate.

Might be a help: onMarketData() vs OnBarUpdate() - NinjaTrader Support Forum

Also, you can use one of the AI tools to search the whole of the past forum and sort things out real quick.

6

Another person here @ fc77 built something like you’re looking for without the need for tick replay, you might want to give that person a shout

7

Thank you guys this helps tremendously