Tick volume

[lsubeano]

Hi there. Is anyone one aware of an indicator that measures the tick volume. Not a tick chart, but a volume of ticks indicator.

Regards!

[e-man]

@Vol plots the volume of each bar (comprised of ticks)

can you elaborate on what you're trying to accomplish?

cheers,
-e

[NinjaTrader_JC]

Hello Isubeano,

Welcome to the NinjaTrader Support Forums!

I believe what you are looking for is a indicator that displays the number of ticks in a bar. To my knowledge I do not know of an indicator that does that, but there are a few that you could try or use as references.

The following link is to an indicator that displays the real-time level II tick volume at specific prices.
http://www.ninjatrader.com/support/f...d=4&linkid=336

This next one displays the time, tick count, volume, and many other items on the chart.
http://www.ninjatrader.com/support/f...d=1&linkid=320

Let us know if we can be of further assistance.

[e-man]

one more link to add to JC's list:

if you're looking for the prints/ticks/orders per bar, use Bars.TickCount:
http://www.ninjatrader.com/support/h...?tickcount.htm

cheers,
-e

[lsubeano]

E-man,

Yes, what I'm looking for is a way to measure the number of trades per bar.

ie. If I have a 1min chart up...to be able to see for each 1min bar the number of trades that occurred during that 1min interval....not the volume of contracts, but number of trades.

thank you JC for those links....

[e-man]

right-on, i think Bars.TickCount is what you're after then.

cheers,
-e

[lsubeano]

thanks eman,

It appears that will not work unless there's a tweak I'm unaware of. It
seems it counts only using tick charts

[NinjaTrader_JC]

Hello Isubeano,

You would want to use CalculateOnBarClose (COBC) set to false to be able to get a the Bars.TickCount to be able to get the TickCount of a bar. Note that the, COBC can vastly effect how a indicators/strategy functions. If CalculateOnBarClose is true, then the strategy/indicator will be calculated at the close of each bar. If your strategy/indicator is set to COBC is false, then it will be calculated on each tick of data. See the following link for more info on COBC.

http://www.ninjatrader.com/support/h...onbarclose.htm

Let us know if we can be of further assistance.

[e-man]

interesting, b/c this page makes no mention of the COBC requirement:
http://www.ninjatrader.com/support/h...?tickcount.htm

found this thread that has a bit more info (incl a mention of a future consideration for development team):
http://www.ninjatrader.com/support/f...ad.php?t=49902

bottom line is this is a real-time property, not an historical property like volume.

cheers,
-e

[HiTrade1208]

Hi Guys

Is there an Indicator in NT7 that will plot the Volume of Ticks in a bar? This is the closest thread I could find.
I have little programming experience so if I need to do that I would appreciate all the advice or instruction that I can get.

Thanks

[NinjaTrader_Joydeep]

Hello HiTrade1208,
Are you referring to volume profile?

If so then NinjaTrader comes with a volume profile indicator. You can apply it on the chart by following the below steps:

• Right click on the chart,
• In the context menu click on Indicators
• Select "VolumeProfile" and click on the New button

Please note it is a realtime only indicator.

Besides this you can also use the various member submitted indicators based on volume/market profile. You can download a few from the below links

• http://www.ninjatrader.com/support/f...tid=-1&lpage=1
• http://www.ninjatrader.com/support/f...tid=-1&lpage=1
• http://www.ninjatrader.com/support/f...04&postcount=1

Besides the free indicator few of our 3rd party partners provides a comprehensive package on volume/market profile. You can refer then from their websites

• http://www.fin-alg.com/
• http://www.ranchodinero.com/acme-stu...olume-profile/

[tornadoatc]

The original poster of this thread was asking how to get a tick count for each bar to use in an indicator calculation.

For instance, in another strategy development platform (not to be mentioned) I was able to write an indicator that calculated On Balance Volume where the "volume" (used for calculation) was either the trade volume or number of ticks. Number of Ticks would be used in calculation when BarType were "Volume Bars".

The system @OBV calculates only with Trade Volume based on following:

		        if (Close[0] > Close[1])
					Value.Set(Value[1]+ Volume[0]);
				else if (Close[0]  < Close[1])
					Value.Set(Value[1] - Volume[0]);
				else
					Value.Set(Value[1]);

I would like to calculate something like:

             if (BarsPeriod.BasePeriodType == PeriodType.Volume)
                        {
				if (Close[0] > Close[1])
					Value.Set(Value[1]+ Bars.TickCount);
				else if (Close[0]  < Close[1])
					Value.Set(Value[1] - Bars.TickCount);
				else
					Value.Set(Value[1]);
                          }

Essentially calculating OBV based on Tick Count of each Bar.

I have tried this with COBC = false as suggested but the indicator is plotting the same value as OBV() .

Using a Print() statement on CurrentBar ==1 the BarsPeriod.BasePeriodType evaluates to "Minute". Even though my chart is a 10000 vol ES chart.

As for the dataprovider I am using an External Tradestation Connection with the NTExternalFeed Strategy on a Delayed 10000 Volume ES Chart. The connection seems to be working fine. NT 10000 Vol chart gets updated when TS Chart is updated.