need help converting volatility indicator

[maestrom]

i'm new to ninjatrader and was looking to convert an indicator i use in my options trading. what the indicator does is track the total number of ticks or deltas traded. there are tons of ways to look at realized volatilty...
log of daily returns, ATR, Parkinson, Garman-Klass, etc.

from my experience a big problem they all have is that by only looking at one time slice (ie, daily data) they miss much of the the back and forth movement. what i had created in excel to calculate this was a indicator to tell me the total number of ticks traded over a given time period.

on any given bar price can only take 2 paths to the close.

open->high->low->close or open->low->high->close

below is the vba code i use in excel to track the tics traded

it first checks the open->high->low->close path

hedgeTick is a variable i can set. it can be set to the minimum tick increment or a larger value to see count the number or moves of a given size (say if i want to hedge s&ps every 10 points).

it then checks the open->low->high->close path. since even on 1 minute data you can't be sure which path price took i then take the minimum of the 2.

i have found this indicator to be of much greater value in my options trading as it gives you a real sense of the number of tics (or deltas) that a security trades over the course of a day.

i started trying to code this in ninjatrader but am still at the early part of the learning curve. i think since it requires a data history to check against it would require me to set up variables using
new DataSeries(this);
in the
protectedoverridevoid Initialize() section
but im a bit lost at how to proceed. if someone had an idea how to get this started any help would be greatly appreciated.

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

refCheckOHLC = prevClose
refCheckOLHC = prevClose
ohlcSum = 0
olhcSum = 0


If (check = 1) Then
'Check O->H->L->C First
' PREV CLOSE -> OPEN
If (cOpen - TickSize) > refCheckOHLC Then
If ( ((cOpen - TickSize) - refCheckOHLC) / hedgeTick) >= 1 Then
ohlcSum = ohlcSum + Int( ((cOpen - TickSize) - refCheckOHLC) / hedgeTick)
refCheckOHLC = refCheckOHLC + Int( (((cOpen - TickSize) - refCheckOHLC) / hedgeTick))
End If
ElseIf (cOpen + TickSize) <= refCheckOHLC Then
If ( (refCheckOHLC - (cOpen + TickSize)) / hedgeTick) >= 1 Then
ohlcSum = ohlcSum + Int( (refCheckOHLC - (cOpen + TickSize)) / hedgeTick)
refCheckOHLC = refCheckOHLC - Int( (refCheckOHLC - (cOpen + TickSize)) / hedgeTick)
End If
End If
' OPEN -> HIGH
If (cHigh - TickSize) > refCheckOHLC Then
If ( ((cHigh - TickSize) - refCheckOHLC) / hedgeTick) >= 1 Then
ohlcSum = ohlcSum + Int( ((cHigh - TickSize) - refCheckOHLC) / hedgeTick )
refCheckOHLC = refCheckOHLC + Int( ((cHigh - TickSize) - refCheckOHLC) / hedgeTick )
End If
End If
' HIGH-> LOW
If (cLow + TickSize) < refCheckOHLC Then
If ( (refCheckOHLC - (cLow + TickSize)) / hedgeTick) >= 1 Then
ohlcSum = ohlcSum + Int( (refCheckOHLC - (cLow + TickSize)) / hedgeTick)
refCheckOHLC = refCheckOHLC - Int( (refCheckOHLC - (cLow + TickSize)) / hedgeTick)
End If
End If
' LOW -> CLOSE
If (cClose - TickSize) > refCheckOHLC Then
If ( ((cClose - TickSize) - refCheckOHLC) / hedgeTick) >= 1 Then
ohlcSum = ohlcSum + Int( ((cClose - TickSize) - refCheckOHLC) / hedgeTick )
refCheckOHLC = refCheckOHLC + Int( ((cClose - TickSize) - refCheckOHLC) / hedgeTick )
End If
End If
check = 2
End If

If (check = 2) Then
'Check O->L->H->C Second
' PREV CLOSE -> OPEN
If (cOpen - TickSize) > refCheckOLHC Then
If ( ((cOpen - TickSize) - refCheckOLHC) / hedgeTick) >= 1 Then
olhcSum = olhcSum + Int( ((cOpen - TickSize) - refCheckOLHC) / hedgeTick )
refCheckOLHC = refCheckOLHC + Int( ((cOpen - TickSize) - refCheckOLHC) / hedgeTick )
End If
ElseIf (cOpen + TickSize) <= refCheckOLHC Then
If ( (refCheckOLHC - (cOpen + TickSize)) / hedgeTick) >=1 Then
olhcSum = olhcSum + Int( (refCheckOLHC - (cOpen + TickSize)) / hedgeTick)
refCheckOLHC = refCheckOLHC - Int( (refCheckOLHC - (cOpen + TickSize)) / hedgeTick)
End If
End If
' OPEN -> LOW
If (cLow + TickSize) < refCheckOLHC Then
If ( (refCheckOLHC - (cLow + TickSize)) / hedgeTick) >= 1 Then
olhcSum = olhcSum + Int( (refCheckOLHC - (cLow + TickSize)) / hedgeTick)
refCheckOLHC = refCheckOLHC - Int( (refCheckOLHC - (cLow + TickSize)) / hedgeTick)
End If
End If
' LOW-> HIGH
If (cHigh - TickSize) > refCheckOLHC Then
If ( ((cHigh - TickSize) - refCheckOLHC) / hedgeTick) >= 1 Then
olhcSum = olhcSum + Int( ((cHigh - TickSize) - refCheckOLHC) / hedgeTick)
refCheckOLHC = refCheckOLHC + Int( ((cHigh - TickSize) - refCheckOLHC) / hedgeTick)
End If
End If
' HIGH -> CLOSE
If (cClose + TickSize) < refCheckOLHC Then
If ( (refCheckOLHC - (cClose + TickSize)) / hedgeTick) >= 1 Then
olhcSum = olhcSum + Int( (refCheckOLHC - (cClose + TickSize)) / hedgeTick)
refCheckOLHC = refCheckOLHC - Int( (refCheckOLHC - (cClose + TickSize)) / hedgeTick)
End If
End If
check = 1
End If

If (ohlcSum < olhcSum) Then
tics = tics + ohlcSum
refCheckOLHC = refCheckOHLC
Else:
tics = tics + olhcSum
refCheckOHLC = refCheckOLHC
End If
olhcSum = 0
olhcSum = 0

[NinjaTrader_JoshP]

Hi maestrom,

To use DataSeries you want to check this article: http://www.ninjatrader-support.com/H...iesObject.html

You first create your DataSeries in the Variables region of your code. Then you use the new DataSeries(this); in the Initialize(). Then you can finally use it in the OnBarUpdate(). To give it values you want to use .Set(). To retrieve values you want to use myDataSeries[0] for the current bar and myDataSeries[1] for the previous bar, etc.

Unfortunately we do not offer conversion services, but you could try one of the 3rd party NinjaScript Consultants here: http://www.ninjatrader.com/webnew/pa...injaScript.htm