volume

[FCatan]

hi ... from within an indicator, is there a way to break out volume by longs and shorts for a given bar?

[sledge]

hi ... from within an indicator, is there a way to break out volume by longs and shorts for a given bar?

Isn't that what the standard NT VolumeUpDown indicator does?

[NinjaTrader_PaulH]

Hello FCatan

Thanks for your post.

Member Sledge has offered an idea. The VolumeUpDown indicator takes the entire volume of the bar and then looks at the close relative to the open and colors the volume accordingly, so this gives a general view of the volume.

Another indicator, BuySellVolume will show the split between buying and selling volume per bar, however this is a real-time indicator only meaning that any chart refresh will clear out any BuySellVolume developed history. (Example attached)

[Harry]

Buy and sell volume.

The NinjaTrader tickfile format that comes with NinjaTrader 7 does not store any synchronized information on bid and ask traded data. Therefore it is not possible to directly display a historical chart with volume split into bid and ask traded volume.

However, there are three different solutions to this problem:

(1) You may use GOM framework indicators. However, those indicators require the installation of the GOM database and then you need to record the data required from real-time data.

(2) You may use uptick and downtick volume as a proxy for bid and ask traded volume. Uptick / downtick volume should be taken as uptick with continuation / downtick with continuation. This means that when a new tick is recorded that trades at the same price as the prior tick, it will be classified as uptick or downtick, depending on the last tick which indicated a price change. The GOM indicators also allow for display of buy and sell volume derived from historical NinjaTrader tickfile data. This also done by using the concept of uptick/downtick with continuation. The accuracy of this method is around 70%-80% depending on the instrument traded.

(3) You can simply wait for NinjaTrader 8, as it has millisecond granularity and comes with synchronized information on bid and ask traded volume.

[koganam]

hi ... from within an indicator, is there a way to break out volume by longs and shorts for a given bar?

Use a multi-timeframe indicator, additional barSeries being a Bid series and an Ask series. Then query Volumes[1] and Volumes[2].

ref: http://ninjatrader.com/support/helpGuides/nt7/add3.htm

http://ninjatrader.com/support/helpGuides/nt7/using_historical_bid_ask_serie.htm

http://ninjatrader.com/support/helpGuides/nt7/volumes.htm

[Harry]

Use a multi-timeframe indicator, additional barSeries being a Bid series and an Ask series. Then query Volumes[1] and Volumes[2].

ref: http://ninjatrader.com/support/helpGuides/nt7/add3.htm

http://ninjatrader.com/support/helpGuides/nt7/using_historical_bid_ask_serie.htm

http://ninjatrader.com/support/helpG...t7/volumes.htm

Citing from the second link above:

"The exact sequence of a mix of bid/ask/last events will not be maintained while processing the historical data from multiple series."

This means that you cannot associate the bid and ask data with the trade data. In particular it is not possible to find out, whether an actual trade occured at the bid or at the ask or in between.

In fact the bid and ask data is useless without synchronization.