Buying/selling volume

[Genegavi]

Hello,

How is allocated the buying/selling volume by Ninja Trader when using:

- Bar charts

- Candlesticks charts (with and without Haiken Ashi)

- Ranko charts

Thanks.

[NinjaTrader_Kyle]

Hello,

Thank you for your post.

I don't totally understand what your question is. Can you please elaborate?

[Genegavi]

buying/selling volume

Hi Kyle,

Many indicators related to volume analysis (not necessary NT indicators), some momentum indicators, etc are using a buying/selling volume split type calciulation.

I need to find out if various types of charts on NT (bar, candlestick, ticks, ranko, ...) are having a different way of allocating the buying/selling pressure. It is true that for Ranko you are using a different method of allocation than for tick charts? Please explain.

Thanks a lot.

[NinjaTrader_Kyle]

Hello,

My question boils down to what you mean by 'allocating'.

If you're working with a chart based on last price data, bid and ask don't come in to the picture of the price data on the charts as only Last price is used.

[Genegavi]

Allocation - according to any dictionary- means distributing, splitting.
How NT splits the buying and the selling volume? It is the same for bar charts, tick charts, Ranko? Obviously I'm talking about using real time data.
If you are not sure, please ask Raymond or Dierk.
Thanks.

[NinjaTrader_Kyle]

Hello,

There is no allocation of bid/ask data in standard price data. Last price bars consist of Last price data, Bid price bars use Bid price data and Ask price bars use only ask price data.

[eplum]

Volume bar count discrepancy with Time & Sales Volume

Hi,

I have a slightly more generic question about the volume bar and it's count. I create a chart with volume bars of 1000, and also include the "volume counter" indicator (showing remaining volume in the current bar).
At the same time I watch the time and sales window and its count of total session volume (at top).
So for example let's say the T&S volume is @ 50k exactly when my next volume bar begins to form. I would then expect the T&S volume to count @ 51k as soon as that volume bar completes (the volume counter indicator in the lower right of the chart counted down from 1000 to 0).
However, what I see is that the T&S volume is much higher than 51k, maybe more like 53k or 57k (seemingly uncorrelated).

Can you please explain how each volume is calculated, and thus why they are different?

Thanks,
Edmund

[NinjaTrader_JC]

Hello Edmund,

This is going to be due to the types of trades that are going on. Basically, Last trades are going to be calculated in your volume chart in real-time when the T&S window is going to use Fundamental Data that is going to come from your data provider which can account for more types of trades.

Here is a good post that you may read for more detail.

http://www.ninjatrader.com/support/forum/showpost.php?p=247145&postcount=7

Let us know if we can be of further assistance.

[eplum]

Thanks. The two sources of data that you are referring to; "real time" vs. data provider I don't think apply in my case. I am only comparing real-time data. I am only using one data feed, which is Zen Fire.
In my situation, all the data should be real-time, or so I understand it to be.
The volume chart of 1000 contracts (by the way I'm looking at futures here) renders each bar in real-time simultaneously, while the T&S window updates it's volume.
I could understand a discrepancy if I were pulling historical data from yesterday, but I am not clear on why the volume bar and T&S volume counts are different - when both are in real-time.
The non-qualifying trades is not something I was aware of, but again not sure I see how that would cause the discrepancy either.
What am I missing?

Thanks,
Edmund

[NinjaTrader_JC]

Hello Edmund,

You would still see this using one data provider, like Zen-Fire.

The discrepancy is due to the fact that using Real-Time data is not going to report any non-qualifying trades, that Zen-Fire is accounting for in the T&S Volume.

So when you first start data from Zen-Fire, they will all be in sync since all of the Data is going to be from Historical that are going to match, but once real-time data is coming in, you will not be able to compare the T&S Volume or Cumulative Volume and the real-time volume that is coming in on your chart since the data is not going to be the same.

Please let me know if you have any questions about this.