How to find the 1st, 2nd, and 3rd highest volume for the day in real time

[Taddypole]

I want to create and indicator that will tell me in real time the 3 highest volumes during the trading day. i.e.- the highest, second highest and third highest.

Finding the highest wouldn't be so bad, but if there is a subsequent volume bar that is turning out to be the second or third highest, I would like to know that too. So my thought is that it's not just a simple dataseries but an array that gets sorted.

And if it runs in real time, I'm concerned about cpu load.

Can someone give me guidance on which method would be the best to pursue?

thanks,

taddypole...

[sledge]

Creating code to do this would be simple.

You are on the right path.

You could use 3 variables in this case without complicating things in arrays, etc.

If CalculateBarOnClose=TRUE - cpu load would not be of concern.
real time... maybe - but probably not, unless you are looking at 100 stocks or something.

I'm not sure where you want output or where you are viewing these 3 volumes of 1st/2nd/3rd ranking...

I want to create and indicator that will tell me in real time the 3 highest volumes during the trading day. i.e.- the highest, second highest and third highest.

Finding the highest wouldn't be so bad, but if there is a subsequent volume bar that is turning out to be the second or third highest, I would like to know that too. So my thought is that it's not just a simple dataseries but an array that gets sorted.

And if it runs in real time, I'm concerned about cpu load.

Can someone give me guidance on which method would be the best to pursue?

thanks,

taddypole...

[Taddypole]

I've had indicators to do this but it only finds the highest volume during the day. Later in the day, there might be a high volume bar but it gets "hidden" by the earlier volume bar.

So my solution would be a horizontal line on the chart that indicates the 3 highest volume bars.

I only do futures and have multiple timeframes up... maybe 4 or 5 charts so hopefully the cpu load would not be that much, but i do worry about the sorting aspect.

[sledge]

I've had indicators to do this but it only finds the highest volume during the day. Later in the day, there might be a high volume bar but it gets "hidden" by the earlier volume bar.

So my solution would be a horizontal line on the chart that indicates the 3 highest volume bars.

I only do futures and have multiple timeframes up... maybe 4 or 5 charts so hopefully the cpu load would not be that much, but i do worry about the sorting aspect.

The internet has a lot of answers:

http://stackoverflow.com/questions/13040240/the-fastest-way-to-sort-3-values-java

You would just need to control the last bar until it closes... as I am guessing you would want to know if it was the "highest" currently, or 2nd/3rd...

You wouldn't want the current bar to override all other previous bars until it closes (but can still distinguish where it is in relation)...

[Taddypole]

yes..

so in the reference post there is:

if (a > b)
swap(a,b)
if (b > c)
swap(b,c)
if (a > b)
swap(a,b)
print a,b,c


I think this is the insertion method. But not sure as I am only a self trained programmer. Would I use an array? I've heard of simple Arrays, Dictionarys, Lists, SortedDictionary's. Which one would I use and what would be the basic structure.

Thanks,
taddypole....

[koganam]

yes..

so in the reference post there is:

if (a > b)
swap(a,b)
if (b > c)
swap(b,c)
if (a > b)
swap(a,b)
print a,b,c


I think this is the insertion method. But not sure as I am only a self trained programmer. Would I use an array? I've heard of simple Arrays, Dictionarys, Lists, SortedDictionary's. Which one would I use and what would be the basic structure.

Thanks,
taddypole....

Easist to use will be an ArrayList.

[LIST=1][*]Insert the current value[*]Sort[*]Remove the smallest value.[/LIST]

[Taddypole]

Thanks koganam,

Great idea for keeping the list small.

Can you give me a hint on how to set this array up?

protected override void Initialize()

int[] highestVol = new int[4]; // highestVol array

protected override void OnBarUpdate()

Value.Set(Volume[0]);
highestVol .Add(Value)

Sorry for the feeble attempt but this is all very new to me.

[NinjaTrader_JC]

Hello Taddypole,

You may want to view the following link for an Array Tutorial.

http://msdn.microsoft.com/en-us/library/aa288453(v=vs.71).aspx

[koganam]

Thanks koganam,

Great idea for keeping the list small.

Can you give me a hint on how to set this array up?

protected override void Initialize()

int[] highestVol = new int[4]; // highestVol array

protected override void OnBarUpdate()

Value.Set(Volume[0]);
highestVol .Add(Value)

Sorry for the feeble attempt but this is all very new to me.

If you want to use an Array, rather than an ArrayList, it might be simpler if you just assigned the current value to the last index, then sorted, knowing that the first 3 indices then contain the values of interest.

You want to declare your Array first, as a Class variable, in the Variables section, not in the Initialize() method.

long[] highestVol = new long[4]{0, 0, 0, 0}; // highestVol array

Then in OBU:

[FONT=Courier New][COLOR=#0000ff][FONT=Courier New][COLOR=#0000ff]
if[/COLOR][/FONT][/COLOR][/FONT][FONT=Courier New][COLOR=#000000] (Volume[[/COLOR][/FONT][FONT=Courier New][COLOR=#800080][FONT=Courier New][COLOR=#800080]0[/COLOR][/FONT][/COLOR][/FONT][FONT=Courier New][COLOR=#000000]] > highestVol[[/COLOR][/FONT][FONT=Courier New][COLOR=#800080][FONT=Courier New][COLOR=#800080]0[/COLOR][/FONT][/COLOR][/FONT][FONT=Courier New][COLOR=#000000]])[/COLOR]
{
highestVol[[/FONT][FONT=Courier New][COLOR=#800080][FONT=Courier New][COLOR=#800080]3[/COLOR][/FONT][/COLOR][/FONT][FONT=Courier New]] = ([/FONT][FONT=Courier New][COLOR=#0000ff][FONT=Courier New][COLOR=#0000ff]long[/COLOR][/FONT][/COLOR][/FONT][FONT=Courier New])Volume[[/FONT][FONT=Courier New][COLOR=#800080][FONT=Courier New][COLOR=#800080]0[/COLOR][/FONT][/COLOR][/FONT][FONT=Courier New]];
Array.Sort(highestVol);
Array.Reverse(highestVol);
[/FONT][FONT=Courier New][COLOR=#008000][FONT=Courier New][COLOR=#008000]//Let us be sure this is doing what we want. Print to output window
[/COLOR][/FONT][/COLOR][/FONT][FONT=Courier New][COLOR=#0000ff][FONT=Courier New][COLOR=#0000ff]for[/COLOR][/FONT][/COLOR][/FONT][FONT=Courier New][COLOR=#000000] ( [/COLOR][/FONT][FONT=Courier New][COLOR=#0000ff][FONT=Courier New][COLOR=#0000ff]int[/COLOR][/FONT][/COLOR][/FONT][FONT=Courier New][COLOR=#000000] i = highestVol.GetLowerBound([/COLOR][/FONT][FONT=Courier New][COLOR=#800080][FONT=Courier New][COLOR=#800080]0[/COLOR][/FONT][/COLOR][/FONT][FONT=Courier New][COLOR=#000000]); i <= highestVol.GetUpperBound([/COLOR][/FONT][FONT=Courier New][COLOR=#800080][FONT=Courier New][COLOR=#800080]0[/COLOR][/FONT][/COLOR][/FONT][FONT=Courier New][COLOR=#000000]); i++ )[/COLOR]
Print( String.Format([/FONT][FONT=Courier New][COLOR=#800000][FONT=Courier New][COLOR=#800000]"\t[{0}]:\t{1}"[/COLOR][/FONT][/COLOR][/FONT][FONT=Courier New], i, highestVol.GetValue( i )));
Print([/FONT][FONT=Courier New][COLOR=#0000ff][FONT=Courier New][COLOR=#0000ff]null[/COLOR][/FONT][/COLOR][/FONT][FONT=Courier New]);
}
[/FONT]

[Taddypole]

Thanks koganam,

And sorry for the delayed response. The house is undergoing remodeling and have been down for most of the week.

What I've come to realize are two additional requirements:

1. I need to record the bar number the volume occurred on.
2. I need to handle duplicate volumes.


So I've been searching and have found some code that i think will do the job. It uses a simple list and collects both volume and bar number. As each new volume bar is added, it searches for a duplicate. If none is found, it adds the new one. Even this code needs to be modified as I want to delete the previous duplicate before adding the new duplicate.

Again, this code is just conceptual as this is way out of my league.


Here is the conceptual code:


Using declarations
Using System.Collections.Generic;

#region Variables
Private List<int> posVolumeList = new List<int>();
Private int volume;
Private int VolumeBarNumber;
#endregion

Initialize()

posVolumeList = new List<int>();

OnBarUpdate

posVolumeList.Add(208 , 1594); // add volume bar value and VolumeBarNumber

var ordered = posVolumeList.OrderBy(posVolumeList.Volume)
List<Item> uniqueItems = new List<Item>();
Foreach (Item result in ordered)
{
If(!unique.Any(posVolumeList.Volume.Equals(result. Volume)))
{
Unique.Add(result);
}


}

note: I haven't even tried to complie this code as it needs a lot of work. Any help? Thanks... taddypole...

[Taddypole]

So, to carry this discussion further, I have some specific questions below:


If I want to create a list to store my positive volume values, do i declare them in the Variables section as below?

#region Variables
Private List<int> posVolumeList = new List<int>();

If I want to store the volume and the bar number of the volume bar as integers, would I declare them as below?

Private int volume;
Private int VolumeBarNumber;

#endregion

Do I need to initialize my posVolumeList as below?

Initialize()

posVolumeList = new List<int>(); //

[koganam]

So, to carry this discussion further, I have some specific questions below:


If I want to create a list to store my positive volume values, do i declare them in the Variables section as below?

#region Variables
Private List<int> posVolumeList = new List<int>();

If I want to store the volume and the bar number of the volume bar as integers, would I declare them as below?

Private int volume;
Private int VolumeBarNumber;

#endregion

Do I need to initialize my posVolumeList as below?

Initialize()

posVolumeList = new List<int>(); //

You are looking for a SortedList. The example on the page is pretty comprehensive, and demonstrates all of the methods that you will need to use.

ref: http://msdn.microsoft.com/en-us/library/ms132319.aspx

[Taddypole]

I looked at SortedList but the problem I was having is the volume I'm recording is the "key" and is what I want to sort on. Occasionally the latest volume bar will be a duplicate of a previously recorded volume and keys can't be duplicates. So it seems I first need to check to see if the latest volume bar being added is a duplicate, if it is, delete the old one and add the new one into the sorted list.

So i'm trying to figure out what code i need to handle the duplicate issue.

edit: I'm assuming that sortedList sorts on the "Key" and that Keys can't have duplicates. And since the value i'm interested in sorting is the volume; volume needs to be the key.

[koganam]

I looked at SortedList but the problem I was having is the volume I'm recording is the "key" and is what I want to sort on. Occasionally the latest volume bar will be a duplicate of a previously recorded volume and keys can't be duplicates. So it seems I first need to check to see if the latest volume bar being added is a duplicate, if it is, delete the old one and add the new one into the sorted list.

So i'm trying to figure out what code i need to handle the duplicate issue.

edit: I'm assuming that sortedList sorts on the "Key" and that Keys can't have duplicates. And since the value i'm interested in sorting is the volume; volume needs to be the key.

 
        // ContainsKey can be used to test keys before inserting  
        // them. 
        if (!highestVolume.ContainsKey(Volume[0]))
        {
            highestVolume.Add(Volume[0], CurrentBar);
        }

On the other hand, if you want to insert the most current value, then you have to test, remove and add.

        if (highestVolume.ContainsKey(Volume[0]))
         {
             highestVolume.Remove(Volume[0]);
         }
            highestVolume.Add(Volume[0], CurrentBar);

As the list is sorted by default, I would probably compare the Volume[0] to the current value in index position 2, and only insert or replace the key/value pair if the indexed value is exceeded.

[Taddypole]

Thanks koganam, I really appreciate your help!

Can you help me with the declaration and Initialization sections for a SortedList. I've been trying but get compile errors.

Variables:
private int VolumeValue;
private int VolumeBar;

private SortedList<VolumeValue,VolumeBar> MySlVolume = new SortedList<VolumeValue,VolumeBar>();

Initialize: ???

I was reading this thread

http://www.ninjatrader.com/support/forum/showthread.php?t=38325&highlight=SortedList

and someone was having problems with initialization the SortedList. So not which way to go.