Volume at price histogram?

[higler]

What are my choices in NT for displaying a histogram that shows the cumulative volume at different prices. Is this what VolumeProfile does? If so, on a Tick chart is the Volume Profile in ticks, number of contracts, etc? Volume profile starts anew whenever I make a change to the indicators or start it up. Is there a way to see a histogram showing the daily volume at the the various prices that continues updating real time? Better yet would be to be able to specify the time or bar that I want to start accumulating/calculating the volume at price info so that everything doesn't start over if my data feed hiccups and my charts redraw. Any recommendations? Thanks.

[Rollins]

Yes this is something I'd love to see too. The histogram that is shipped with NT is fine but a little limited. Having to have a chart open all the time and not being allowed to access the indicator dialog is a big drawback.
It should also be possible to have several histograms on the chart for different days.

The likeliness of this indicator to appear in the near future is rather slim, so I'll do my own and I'm already half way through to solving all the problem, just haven't been motivated to write the drawing part yet.
Because of NT's versatility it shouldn't be such a big deal.

[NinjaTrader_Ray]

This indicator needs historical bid/ask data which NT does not support at this time. That's why it only works in real-time. We will introduce historical bid/ask data wit NT7 later this year which will allow us to re-write this indicator to properly calcualte the plots against historical data.

[Rollins]

Thanks Ray, I'm looking forward to NT 7. I'll have evaluate then if I either keep or modify my indicator or switch to the official implementation.
Only drawback at the moment is that NT gets more hungry for RAM every minute but I suppose there is nothing I can do about that other than making the indicator that generates the historical data more efficient, I've run out of ideas though.
Just as a side note, calling the gc manually did nothing but freezing the application for a few seconds, maybe I overlooked something but the delay was bad enough to ditch the whole idea.

[NickA]

This indicator needs historical bid/ask data which NT does not support at this time. That's why it only works in real-time. We will introduce historical bid/ask data wit NT7 later this year which will allow us to re-write this indicator to properly calcualte the plots against historical data.

The way most vendors get round this is to apply the volume to the histogram split across the prices range of the bar from bar high to low. Buy choosing a small bar interval, say a minute, a pretty accurate profile can be built from historic data. If you use a 1 tick chart a completely accurate profile can be built from historic data. Some also apply a weighting function to apply more volume to the prices in the centre of the bar.

Cheers Nick.

[TAJTrades]

This indicator needs historical bid/ask data which NT does not support at this time. That's why it only works in real-time. We will introduce historical bid/ask data wit NT7 later this year which will allow us to re-write this indicator to properly calcualte the plots against historical data.

Ray, is it ready yet? Come on, you guys have been doing nothing but sitting around trimming nose hairs and plucking eye brows for the last few months. Lets go, chop, chop. LOL. This is for the VolumeProfile Indicator.

Couple Q's:

1) Any documentation available for accessing Historical bid/ask data?
2) Looking for a good tutorial on SortedDictionary. I can not seem to get that to work. I have been making extensive use of SortedList instead. Could sure use a pointer on this.

BTW, very nice Job on NT7.

Thanks.

[NinjaTrader_JoshP]

TAJTrades,

Thank you for the compliment on NT7. Past few months we have been working diligently to stabilize NT7. You can see our progress in the release notes section of the Help Guide which has nearly 700 line items listed representing bug fixes and changes.

To clarify the intent of Ray's comment. We have introduced the historical bid/ask where the ability to do such historical calculations could become feasible for VolumeProfile, but this would still require custom programming to achieve.

1. Accessing the bid/ask is as simple as accessing any other data. All you have to do is add a Bars series representing the price data you wish to access. Please see here: http://ninjatrader.com/support/helpG....html?add3.htm You want to use the overload signature with the MarketDataType parameter. From there you can choose bid and ask. Then after that it is just a matter of working with a multi-series indicator/strategy.

2. Unfortunately use of SortedDictionary is far more advanced C# than we can offer support for. I would recommend trying to find some resources on the internet or maybe a C# programming book. If you posted a specific issue/concern you had with using SortedDictionary perhaps one of the more advanced C# programmers out there would see it and be able to help you out as well.

[NickA]

This indicator needs historical bid/ask data which NT does not support at this time. That's why it only works in real-time. We will introduce historical bid/ask data wit NT7 later this year which will allow us to re-write this indicator to properly calcualte the plots against historical data.

Great news, hope you don't regret saying this later in the year!

[HNWtrader]

Even with the limitations of no historical tick data, and my limitations of terribly rusty and outdated programming experience (think FORTRAN, BASIC and a bit of 8080/Z80 assembly code if you are old enough to remember those) I have modified the VolumeProfile code to create something more useful to me. One final step I would like to take is to be able to start a new histogram on a new bar. It appears that the code already handles removing the old histogram and painting a new one on each bar update, so all I think I need is a way to reinitialize the stored price/volume data when a new bar starts. It looks like I need to reset the thing called volumeInfo, that appears to be initialized by the statement

volumeInfo = new SortedDictionary<double, VolumeInfoItem>();

but these new-fangled data structures and code syntax are a mystery to me.

I am aware of the "if (FirstTickOfBar)" condition that I think I can use, but I really don't know for sure where to put it (somewhere in OnBarUpdate()?) and how to reset the array of accumulated price/volume information in volumeInfo to start a new histogram.

Any help with my first attempt to edit this indicator would be appreciated.

[HNWtrader]

Never mind. I was on the right track. All I needed was to paste the

volumeInfo = new SortedDictionary<double, VolumeInfoItem>();

line from the "#region Variables" with the first tick condition into

OnBarUpdate()

if(FirstTickOfBar) volumeInfo = new SortedDictionary<double, VolumeInfoItem>();