PDA

View Full Version : Difference between tick and volume bars


stibflo
11-26-2009, 03:07 PM
Hello

I have looked at some picture of tick charts from a guy that post them on another forum. When I try to look at the same timeframe (1500 tick chart) in my Ninjatrader I do not get anything close to the same chart ( I have less bars than he have). I notice that I get closer to simulare when I use volume chart, but stil there is some differenses.
Since it is the same instrument and timeframe, I belived that it should be very simulare to each other.
I hope anyone can explain to me what I'm doing wrong.

Here is the picture from the other forum:
http://www.trade2win.com/boards/attachments/day-trading-scalping/64132d1253231537-futures-daytrading-method-s-r-bn7.jpg (http://www.trade2win.com/boards/attachments/day-trading-scalping/64132d1253231537-futures-daytrading-method-s-r-bn7.jpg)

The picture of my charts is attached (one 1500 tick and one 1500 volume).
I'm using Zen-fire feed from Mirus Futures

I also wounder what the differense between tick bars and volume bars in Ninjatrader is. How are they calculated?

Regards

eDanny
11-26-2009, 06:44 PM
There is something definitely wrong there. If anything I would expect more bars with the ZenFire data since there is no filtering.

NinjaTrader_Jason
11-27-2009, 04:12 AM
Hello stibflo,

Note that different data feeds and applications can have differences in their data, see the link below.
http://www.ninjatrader-support.com/HelpGuideV6/HowDoesNinjaTraderBuildChartBars.html

Your screenshot of the NinjaTrader chart displays the ES 09-09 instrument, while the link displays the December contract. Differences are as expected, since they are different expiries.

Tick bars indicate the amount of ticks, while volume bars indicate amount of contracts that have been traded.

stibflo
11-29-2009, 01:08 PM
Hello Jason.

Thank you very much for your reply.
Of course it had a simple explanation, but I did not see that before you pointed it out for me. :o

When I looked to the chart at ES 12-09 it was much more simulare. This time I had a few bars more than the picture shows, but that is more what I expect with the Zen-fire

Thank you also for the explanation of the differense between tick and volume charts.

Regards.