Cumulating Bid Volume and Ask Volume

[blar58]

Hi

I have to code an indicator for a client that wants to have accumulated Bid and Ask Volume at specific time during the day.

I get weird result.

Here is how I get my bid and ask data and cumulate them :

protected override void OnMarketData(MarketDataEventArgs e)    
        {
            if(e.MarketDataType == MarketDataType.Ask)
                    accumulatedAsk += e.Volume;
            else    
            if(e.MarketDataType == MarketDataType.Bid)
                    accumulatedBid += e.Volume;    
        }

Is there something wrong ?

the data I get is way too high !

Thanks

[Dexter]

Hi blar,

Do you need to know how much the market volume has increased since a date? e.Volume is current volume, not the difference I believe so += e.Volume will just add current volume repeatedly. The best way would be to capture e.Volume at the the time you would like to start comparison by copying it to a new variable. Then later, you can see how much it moved by comparing it to the current e.Volume

[NinjaTrader_RyanM1]

Hi blar58,

Biggest challenge here is identifying what you're looking for conceptually. Bid / ask volume can change without seeing orders filled, and the volume you're checking changes with each change in price level. Unfortunately we can't advise a specific implementation, but can refer to this sample for help working with market depth and seeing the bigger picture of bid / ask volume at different price levels.

http://www.ninjatrader.com/support/forum/showthread.php?t=3478

[RJay]

Hi

I have to code an indicator for a client that wants to have accumulated Bid and Ask Volume at specific time during the day.

I get weird result.

Here is how I get my bid and ask data and cumulate them :

protected override void OnMarketData(MarketDataEventArgs e)    
        {
            if(e.MarketDataType == MarketDataType.Ask)
                    accumulatedAsk += e.Volume;
            else    
            if(e.MarketDataType == MarketDataType.Bid)
                    accumulatedBid += e.Volume;    
        }

Is there something wrong ?

the data I get is way too high !

Thanks

blar58,

What you are doing here is measuring the supply @ask and supply @bid every time there is a change to these supply levels your add supply totals together.

I f you are looking at measuring traded volume that occurs @ask and @bid, you need to do something like this.

--------------------------------------------------------------------------------------------------------------------------
protected override void OnMarketData(MarketDataEventArgs e)
{

if(Bars.Count != activeBar)

{
CurrentAskVolumeTotal = 0;
CurrentBidVolumeTotal = 0;
activeBar = Bars.Count;
}


if (e.MarketDataType == MarketDataType.Ask)AskPrice = e.Price;

if (e.MarketDataType == MarketDataType.Bid)BidPrice = e.Price;

if (e.MarketDataType == MarketDataType.Last)LastPrice = e.Price;

if (e.MarketDataType == MarketDataType.Last)LastVolume = e.Volume;

if (e.MarketDataType != MarketDataType.Last)return;


if((LastPrice >= AskPrice) && (AskPrice!=0)) CurrentAskVolumeTotal += LastVolume;
else if((LastPrice <= BidPrice) && (BidPrice!=0)) CurrentBidVolumeTotal += LastVolume;


VolumeDown.Set(CurrentBidVolumeTotal);

VolumeUp.Set(CurrentAskVolumeTotal);

}

----------------------------------------------------------------------------------------------------------------------------

RJay

[blar58]

Ok guys

Thank you. I found a way to get what I WANTED...


blar

[blar58]

Oh thanks RT

I didn't saw your post but this is exactly what I did


Thanks


blar