collecting volume traded at bid / at ask

[andre.adamov]

I need bid and sell volume at bars separatedly, so i am writing an indicator to do that.
I does not seems to work yet, so tried something easier: collecting volume together.

Basically collect all trades no matter it was bid or ask.

		protected override void OnBarUpdate()
			{
				totalvol = totalvol + eVol;
				totalvolplot.Set(totalvol);	
				
                                if(FirstTickOfBar)
				{
				totalvol = eVol;
				}
			}
	

		protected override void OnMarketData(MarketDataEventArgs e)
                   {
			
			//Set AskPrice
			if(e.MarketDataType == MarketDataType.Ask)
			{
				AskPrice = e.Price;
			}
			
			//Set BidPrice
			if(e.MarketDataType == MarketDataType.Bid)
			{
				BidPrice = e.Price;
			}
			
			//Trade calculations done on incoming trade data
			if (e.MarketDataType == MarketDataType.Last)
			{
						
			//Buys calculations
				if(e.Price >= AskPrice)
				{
					eVol = e.Volume;
				}
		
				//Sells calculations
				if(e.Price <= BidPrice)
				{
					eVol = e.Volume;
				}
			}
		    }
		#endregion

The problem is that (compared to VOL indicator): sometimes it disregard the FirstTickOfBar part, and adds the volume of previous bar to the current bar.

Why is that?
Are there any other solution to achieve this?

[NinjaTrader_ZacharyG]

Hello andre.adamov,

Thank you for writing in.

You can Add() both a bid and ask series and check the volume of each series once their respective bars have closed.

More information about Add() can be found here: http://ninjatrader.com/support/helpGuides/nt7/?add3.htm

To reference the volume of each object, you'll want to utilize Volumes: http://ninjatrader.com/support/helpG...7/?volumes.htm

Additionally, as we're now working with multiple series, I would suggest taking a look at this help guide link as well that details further about working with multiple series: http://ninjatrader.com/support/helpG...nstruments.htm

Please, let us know if we may be of further assistance.