Exchange Volume

[bigboy]

Hello,

I'm wondering if I can access exchange volume (not the trade volume) but the daily volume transmitted by the exchange which changes per tick. I got Market Delta working correctly on IB when doing this (tick by tick trade volume was quite a bit off especially on very large size trades which of course are the ones everyone is REALLY interested in), now I'd like to take my dll and port it to the Zen-fire feed but didn't see exchange volume in the NTdirect.dll. Oh and by the way, the Ninjascript MarketDelta examples I've tried are WAY OFF and are untradeable.

Please advise if there is any way to get this or if Zenfire is not collecting this field. If not, PLEASE DO!!!!!!!

Thanks,
bigboy

[NinjaTrader_JoshP]

http://fin-alg.com/volumefootprint_gallery.html

You will just need to aggregate volume on ticks to get a daily total volume. Or grab the volume from a daily chart.