Executed contract Ask/Bid indicator

[NinjaTrader_DaveI]

Please take a look at the Output Window via Tools > NinjaScript Output, and then reload the script. If there is anything preventing the script from plotting, you should see a message in that window. If you do not see anything after reloading NinjaScript with the Output Window open, then there may be something else occurring.

[After]

Thanks ! Well, still nothing. I installed NT8 yesterday and uploaded a new continuum sim connection to be sure everything was okay on this side.

[NinjaTrader_DaveI]

Is there any way you can export and attach the code in its current state on your machine? I'd like to take a look and see if anything stands out to me.

[After]

Sure, here you can find it

Just tried with the new release, still the same result

[NinjaTrader_DaveI]

Can you please tell me which data provider you are connected to? In that script, we are adding two EURUSD data series, so if you are not connected to a forex data provider, then you should be able to resolve this by changing the instrument to a futures contract (or just adding Instrument.MasterInstrument.Name instead).

[After]

Oh might be the issue I'm with continuum !

AddDataSeries("FDAX 12-15", BarsPeriodType.Minute, 1, MarketDataType.Bid);
AddDataSeries("FDAX 12-15", BarsPeriodType.Minute, 1, MarketDataType.Ask);

Is this correct ?

[NinjaTrader_DaveI]

Yes, that should do the trick for you.

[After]

Well it shows something now but results are very strange, look at the screen : totale volume = 121 (seems okay), bid volume = 1139 and ask volume =679 ?

[NinjaTrader_Jesse]

Hello,

Thank you for there reply.

I just wanted to confirm, are you asking about comparing the VOL or main series Volume to the Ask and Bid volumes?

In this case based on what is in the image, the Ask and Bid plots would represent the volume of operations for ask and bid. VOL indicator or charts Volume you are looking at would reference the Executed volume. The values in this case would not add up or could be very different values.

Please let me know if I may be of further assistance.

[After]

I just wanted to confirm, are you asking about comparing the VOL or main series Volume to the Ask and Bid volumes?
.

Of course, I just want to get executed contract volume at the ask and executed volume contract at the bid. So VOL = executed contract = executed contract ASK (selling market orders volume) + executed contract BID (buying market orders volume).

So, any way to get the executed contract volume at the ask and at the bid ?

[NinjaTrader_Matthew]

Of course, I just want to get executed contract volume at the ask and executed volume contract at the bid. So VOL = executed contract = executed contract ASK (selling market orders volume) + executed contract BID (buying market orders volume).

So, any way to get the executed contract volume at the ask and at the bid ?

You will need to enable "Tick Replay" to get this sort of precision from tick data.

http://ninjatrader.com/support/helpGuides/nt8/en-us/tick_replay.htm

Once enabled, you can program a script to check if the current execution price was at the ask, or the bid, and keep track of the volume there. You can take a look at some of the system indicators which employ similar techniques such as the BuySellVolume indicator:

http://ninjatrader.com/support/helpGuides/nt8/en-us/power_volume_indicators.htm

[After]

Thanks Matthew !

[NinjaTrader_Matthew]

Just to be clear: You need to use OnMarketData and use the Last Update and compare against the current Ask/Bid price fields in that updated object. Adding a Tick Data Series of market data type ask/bid does not contain the information you're after. Here is more information on developing for tick replay: http://ninjatrader.com/support/helpG...ick_replay.htm

[After]

Oh okay so OnBarUpdate() won't work

I tried this based on the example but I don't get how to put it in work, could you tell me how plot the results and fixed the issue (replace MarketDataEventsArgs by what etc..) ? (important part in bold)

Thanks !!

#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion

//This namespace holds Indicators in this folder and is required. Do not change it. 
namespace NinjaTrader.NinjaScript.Indicators
{
	public class MarketDataBidAsk : Indicator
	{

		
		private Series<double> CumuleAsk;
		private Series<double> CumuleBid;
		
		protected override void OnStateChange()
		{
			if (State == State.SetDefaults)
			{
				Description							= @"Enter the description for your new custom Indicator here.";
				Name								= "MarketDataBidAsk";
				Calculate							= Calculate.OnEachTick;
				IsOverlay							= false;
				DisplayInDataBox					= true;
				DrawOnPricePanel					= true;
				DrawHorizontalGridLines				= true;
				DrawVerticalGridLines				= true;
				PaintPriceMarkers					= true;
				ScaleJustification					= NinjaTrader.Gui.Chart.ScaleJustification.Right;
				//Disable this property if your indicator requires custom values that cumulate with each new market data event. 
				//See Help Guide for additional information.
				IsSuspendedWhileInactive			= true;
			}
			else if (State == State.Configure)
			{
CumuleAsk = new Series<double>(this, MaximumBarsLookBack.Infinite);
CumuleBid = new Series<double>(this, MaximumBarsLookBack.Infinite);
			}
		}

		protected override void OnBarUpdate()
		{
			//Add your custom indicator logic here.
		}
		[B]
		protected override void OnMarketData(MarketDataEventsArgs marketDataUpdate)
		{
			
			if (marketDataUpdate.MarketDataType == MarketDataType.Last)
			{
				if (marketDataUpdate.Price >= marketDataUpdate.Ask)
				{
					CumuleAsk[0] = CumuleAsk[1] + 1;
				}
				
				else if (marketDataUpdate.Price <= marketDataUpdate.Bid)
				{
					CumuleBid[0]= CumuleBid[1] + 1;
				}
			}
		}
	}[/B]
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
	public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
	{
		private MarketDataBidAsk[] cacheMarketDataBidAsk;
		public MarketDataBidAsk MarketDataBidAsk()
		{
			return MarketDataBidAsk(Input);
		}

		public MarketDataBidAsk MarketDataBidAsk(ISeries<double> input)
		{
			if (cacheMarketDataBidAsk != null)
				for (int idx = 0; idx < cacheMarketDataBidAsk.Length; idx++)
					if (cacheMarketDataBidAsk[idx] != null &&  cacheMarketDataBidAsk[idx].EqualsInput(input))
						return cacheMarketDataBidAsk[idx];
			return CacheIndicator<MarketDataBidAsk>(new MarketDataBidAsk(), input, ref cacheMarketDataBidAsk);
		}
	}
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
	public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
	{
		public Indicators.MarketDataBidAsk MarketDataBidAsk()
		{
			return indicator.MarketDataBidAsk(Input);
		}

		public Indicators.MarketDataBidAsk MarketDataBidAsk(ISeries<double> input )
		{
			return indicator.MarketDataBidAsk(input);
		}
	}
}

namespace NinjaTrader.NinjaScript.Strategies
{
	public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
	{
		public Indicators.MarketDataBidAsk MarketDataBidAsk()
		{
			return indicator.MarketDataBidAsk(Input);
		}

		public Indicators.MarketDataBidAsk MarketDataBidAsk(ISeries<double> input )
		{
			return indicator.MarketDataBidAsk(input);
		}
	}
}

#endregion

[NinjaTrader_Jesse]

Hello,

Thank you for the question.

It looks like you have misspelled MarketDataEventArgs, you have Events rather than Event. After changing to:

MarketDataEventArgs

you should no longer have compile errors, this is in the Help guide if you would like to copy and paste or press F2 in the editor for a snippet.

For plotting, There are many examples in the built in indicators such as the SMA, this indicator is a simple example on plotting.

You can also find more information on plotting here:

http://ninjatrader.com/support/helpGuides/nt8/en-us/addplot.htm

http://ninjatrader.com/support/helpGuides/nt8/en-us/value.htm

I look forward to being of further assistance.