Hi all. I’ve always noticed that my time-and-sales on ninjatrader didn’t match my tradestation time-and-sales when I hooked up the TS datafeed. Now that I’m beta-testing our advanced volume indicators, I need all the data! So, I did a little debugging and changed the NTExternalFeed code that came with ninja. Now, I get a perfect datafeed, as far as I can tell. Finally, my volume charts match, and my volume indicators do the right thing!
So, if you use Ninja with a TS datafeed, I’d open the NTExternalFeed easylanguage script and make it look like this:
{ Copyright (c) 2005, NinjaTrader LLC
ninjatrader@ninjatrader.com }
[IntrabarOrderGeneration = TRUE]
DefineDLLFunc: "NtDirect.dll",
int, "Ask", lpstr, double, int;
DefineDLLFunc: "NtDirect.dll",
int, "Bid", lpstr, double, int;
DefineDLLFunc: "NtDirect.dll",
int, "Last", lpstr, double, int;
DefineDLLFunc: "NtDirect.dll",
int, "SetUp", lpstr, int;
vars: intrabarpersist lastCurrentBar(-1),
intrabarpersist lastVolume(0),
vol(0);
if LastBarOnChart then begin
if lastCurrentBar <> CurrentBar then begin
vol = ticks;
lastVolume = 0;
end else begin
vol = ticks - lastVolume;
end;
lastCurrentBar = CurrentBar;
lastVolume = ticks;
Ask(GetSymbolName, CurrentAsk, AskSize);
Bid(GetSymbolName, CurrentBid, BidSize);
Last(GetSymbolName, Close, vol);
end;
This entry was posted
on Wednesday, October 1st, 2008 at 2:09 pm and is filed under Trading.
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