Indicator: Using Forex Futures Volume

[oracle]

Hi NJ Support,

I am creating an indicator that relies on volume and prices and would like to apply on forex. However, I intend to use the forex futures volume instead. Briefly, here is what I would like to do, employing the concept of multi-series:


Chart setup:

• Add a data series $EURUSD (3min).
• Add a futures data series "6E 09-10" (3 min).
• Add a VolumeUpDown indicator using 6E as the input series.

My indicator, lets call it FXVOL:

• Use the method Add("6E 09-10",PeriodType.Minute,3).
• Access the volume, for example, using Volumes[1][0].

Here are my questions:

• Many instances of FXVOL will be added to the above chart. Since FXVOL adds the futures series in code, how will that impact memory consumption? Will each instance of FXVOL contain an independent separate copy of that same "6E" instrument which takes up memory?
• Is it possible to visualize VolumeUpDown without the futures data series being added to the chart?
• The FXVOL with hardcoded "6E 09-10" will still remain on the chart even after "6E 09-10" expires and "6E 12-10" takes over. Since I intend to use Volumes[1][0] to access the current bar in FXVOL, will FXVOL crash if the current bar is not from 6E 09-10 but from 6E 12-10?
• After "6E 09-10" expires and "6E 12-10" takes over, is it possible for me to Add("6E 12-10") in FXVOL, but I access volumes that are way back in the past even before "6E 12-10" comes into existence?

Thanks for your help!

[NinjaTrader_Bertrand]

oracle, if you're calling your indicator with the exact same parameters it would be cached by NT, so no duplicate instance would be generated.

You could move both data series to the same panel and set the unneeded series then to transparent colors, however if you're adding the needed series for calcs in the indicator programmatically there should be no need to add it separately to the chart.

Easiest is to always Add() the current fronth month, that way you can take advantage of the inbuild continuous contracts feature in NT7, hence 09-10 data would be available for your calcs on the 12-10 chart if you loaded enough days back to reach into this contract.

[oracle]

Hi Bertrand,

Thanks!

oracle, if you're calling your indicator with the exact same parameters it would be cached by NT, so no duplicate instance would be generated.

For my case, each of the FXVOL indicator instances on the chart has a different set of parameters. But all of them will have an Add() statement to add a futures data series, and the futures data series could have expired. For example, I could have 3 instances on the chart, the chart has a secondary data series containing the front month futures 6E 09-10:

• FXVOL instance 1 with Add("6E 09-10",PeriodType.Minute,3).
• FXVOL instance 2 with Add("6E 09-10",PeriodType.Minute,3).
• FXVOL instance 3 with Add("6E 06-10",PeriodType.Minute,3). (This one has a series that expired)

How will this impact on memory usage, since each of the instance add the futures series, in addition to the chart?

Thanks.

[NinjaTrader_Bertrand]

Hi oracle, correct unfortunately all ADD()-ed series would be loaded into memory.

[oracle]

Hi,

Thanks for the help. I would like to offer the following suggestions which could be useful:

Visualizing the volume of the futures on the chart can already be done by adding the futures as the secondary dataseries. However, I could not access the futures volume from the chart in my indicator. I could only access the primary dataseries volume. The only supported way of doing this is to Add() the dataseries in code. This takes up valuable resources (as discussed in the messages earlier in the thread), and slows down NT quite a fair bit whenever I reload the chart. Though the multi-series is a fantastic idea, I would think it could be more complete if an indicator could access the multi-dataseries created on the chart without having to add them in code. In my opinion, I believe that it is reasonable to expect that in most situations, when someone intends to add a series in code, I would also want to visualize it...

Thanks!

[NinjaTrader_Bertrand]

Hi oracle, thanks for the kind feedback provided - much appreciated.