Delta Bid/ask vol

[yuvalw]

Hi,

I want to calculate the "net" volume of a bar by adding all the ticks that were on the ask minus all ticks on the bid. I think I did it ok just want someone to look at it and tell me if he sees something wrong...
Here is the relevant methods, also attaching the zip.
Thx.

[FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]protected[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]override[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]void[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] OnBarUpdate()[/SIZE][/FONT]
[SIZE=2][FONT=Courier New]{[/FONT][/SIZE]
[/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]   if[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] (Historical) [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]return[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2];[/SIZE][/FONT]
[/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]   if[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] (CurrentBar < activeBar) [/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]return[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2];[/SIZE][/FONT]
[/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]   else[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]if[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2] (CurrentBar != activeBar)[/SIZE][/FONT]
[SIZE=2][FONT=Courier New]     {[/FONT][/SIZE][/SIZE][/FONT][FONT=Courier New][SIZE=2]
[SIZE=2][FONT=Courier New]         activeBar = CurrentBar;[/FONT][/SIZE]
[SIZE=2][FONT=Courier New]         netVol = [/FONT][/SIZE][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]0[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2];[/SIZE][/FONT]
[SIZE=2][FONT=Courier New]     }[/FONT][/SIZE]
[/SIZE][/FONT]}
 
protected override void OnMarketData(MarketDataEventArgs e)
{ 
    double theAsk = 0, theBid = 0;
 
    if (e.MarketDataType != MarketDataType.Last)
    {
        return;
    }
 
    // Get the ask.
    if (e.MarketData.Ask != null) 
    {
        theAsk = e.MarketData.Ask.Price;
    }
 
    // get the bid.
    if (e.MarketData.Bid != null) 
    {
        theBid = e.MarketData.Bid.Price;
    }
 
    if(theBid <= 0 || theAsk <= 0) return;
 
    if (e.Price >= theAsk)
    {
        netVol += e.Volume; 
    }
    else if (e.Price <= theBid)
    {
        netVol -= e.Volume; 
    }
 
    Delta.Set(netVol);
}

[sefstrat]

the code looks right but why not use GomCD which has this functionality and much more

[yuvalw]

GomCD is great, but I wanted something very simple, so I took Gom indicator and stripped it from all the stuff I don't need, that way I know and understand what is inside, feels more comfy for me...
thx.

[sefstrat]

Me too, I use GomCD code for recording with the volume calculation style of jtRealStats =)

(big thanks to authors of both of those indicators by the way, they are great examples of how to use OnMarketData effectively)

GomCD is great, but I wanted something very simple, so I took Gom indicator and stripped it from all the stuff I don't need, that way I know and understand what is inside, feels more comfy for me...
thx.