BuySellVolume Indicator not working properly

[td_910]

Hi,

I used the BuySellVolume indicator, that comes with Ninja to derive my own delta indicator. Now I came across this weird thing:

I added a print command, when a buy or sell is recorded by the indicator:
{buys += tradeVol; Print("+ " + tradeVol);}
{sells += tradeVol; Print("- " + tradeVol);}

After throwing it on NQ 12-13 contract I got this:

http://screencast.com/t/2ABRQ5eViT

http://screencast.com/t/um3OvNUE81c

Buys at ask price are recorded as sells and the other way around as well, this is weird. Red arrows show whats wrong imho.

this is my setup for the T&S window:

http://screencast.com/t/kS7SSBM9wV

[NinjaTrader_PatrickH]

Hello td_910,

Thank you for your post.

Please add Time[0] to your prints to show the timestamps of these items:

Print(Time[0] + " + " + tradeVol);
Print(Time[0] + " - " + tradeVol);

Please let me know if this clears up the item or if the same behavior is seen from the Output compared to the Time And Sales window.

[td_910]

Hi Patrick,

I reverted back to original colors for T&S window.
have a look here: http://screencast.com/t/Qj0Tvr84bet
I marked a trade at the ask. Shouldn't this be recorded as a buy?

I attached indicator.

Cheers

Thomas

[NinjaTrader_PatrickH]

Hello td_910,

Thank you for your response.

I have tested your indicator and found that it works perfectly on my end. I added the Close[0] to the prints as well to be certain the price is correct:

 				if (Close[0] >= GetCurrentAsk())
					{buys += tradeVol;	Print(Time[0] + " " + Close[0] + " + " + tradeVol);}
				else if (Close[0] <= GetCurrentBid())
					{sells += tradeVol;	Print(Time[0] + " " + Close[0] + " - " + tradeVol);}

Who is your data feed provider? Does this only occur on the NQ 12-13?

I look forward to your response.

[td_910]

Hi Patrick,

this is NQ output and T&S from tonight http://screencast.com/t/UNfbFJl52X
the indicator seems to record much less ticks, than incoming
I marked 1st price in that time period

ES seems to have same number of ticks, but completely out of line ratio B/S

http://screencast.com/t/xV2NyUGQ

I have Rithmic data feed, Broker is Optimus

My workspace for this test has one chart open only

I have I5 CPU with 4G RAM

added from this morning - CL current contract

http://screencast.com/t/3q9GrHF1F

the 1st two ticks of the minute bar were recorded properly, but the rest is missing

NQ this morning - recording sells as buys and vice versa

http://screencast.com/t/ncRolfTIh0SB

[NinjaTrader_PatrickH]

Hello td_910,

Thank you for your response.

The BuySellVolume indicator is called when the bar updates with the method OnBarUpdate(), where as Time and Sales is called when OnMarketData() called.

If you wish to compare to the Time and Sales window you can print information using the OnMarketData() method: http://www.ninjatrader.com/support/h...marketdata.htm

[td_910]

Hi Patrick
I found this in an indicator on the download section, that the current BuySellVolume indicator looks like it was derived from.

http://www.ninjatrader.com/support/forum/local_links.php?action=jump&catid=1&id=53

I guess this should do the trick?

protected override void OnMarketData(MarketDataEventArgs e)
        {
            if (e.MarketDataType != MarketDataType.Last || e.MarketData.Ask == null || e.MarketData.Bid == null)
                return;

            if (e.Price >= e.MarketData.Ask.Price)
                buys += e.Volume;
            else if (e.Price <= e.MarketData.Bid.Price)
                sells += e.Volume;
        }

The indicator seems to work better than the one from NT7. It looks like it came with NT6.x.

Funny thing with this indicator though is, that it "reliably" seems to skip the 1st tick of a bar?

[NinjaTrader_PatrickH]

Hello td_910,

Thank you for your response.

That should produce the results based on OnMarketData().

[td_910]

Hi Patrick,
I updated my last post. There is one problem left ;-).

One other question is, what version of the code should I use in market replay?

Thanks

Thomas

[NinjaTrader_CalH]

Hi Td_910,

There may be some coding in the 6.5 version that would need to be updated for the 7 version if it is not working as expected.

Additionally, it is recommended that you use indicators that have been created to work with the version you are currently on. I.E. 6.5 with 6.5 and 7 with 7

[td_910]

Oh, many thanks for the valuable information.... I didn't know that

Lets put it different then:

The BuySellVolume indicator, that comes with NT7 is useless, as its losing ticks because its not started, when level one data is changing (OnBarUpdate instead of OnMarketData)

I thought there might be someone here to help/fix this and have a indicator, that could be used/shared for other NT users

best regards

Thomas

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