Volmetric

[shildebrand324]

Hi, I'm capturing this information on each bar. I'm looking for a way to see where most of the volume occurred. Does one of these values tell me this?

double price;
Print("======================================== =================================");
Print("Bar: " + CurrentBar);
Print("Trades: " + barsType.Volumes[CurrentBar].Trades);
Print("Total Volume: " + barsType.Volumes[CurrentBar].TotalVolume);
Print("Total Buying Volume: " + barsType.Volumes[CurrentBar].TotalBuyingVolume);
Print("Total Selling Volume: " + barsType.Volumes[CurrentBar].TotalSellingVolume);
Print("Delta for bar: " + barsType.Volumes[CurrentBar].BarDelta);
Print("Delta for bar (%): " + barsType.Volumes[CurrentBar].GetDeltaPercent());
Print("Delta for Close: " + barsType.Volumes[CurrentBar].GetDeltaForPrice(Close[0]));
Print("Ask for Close: " + barsType.Volumes[CurrentBar].GetAskVolumeForPrice(Close[0]));
Print("Bid for Close: " + barsType.Volumes[CurrentBar].GetBidVolumeForPrice(Close[0]));
Print("Volume for Close: " + barsType.Volumes[CurrentBar].GetTotalVolumeForPrice(Close[0]));
Print("Maximum Ask: " + barsType.Volumes[CurrentBar].GetMaximumVolume(true, out price) + " at price: " + price);
Print("Maximum Bid: " + barsType.Volumes[CurrentBar].GetMaximumVolume(false, out price) + " at price: " + price);
Print("Maximum Combined: " + barsType.Volumes[CurrentBar].GetMaximumVolume(null, out price) + " at price: " + price);
Print("Maximum Positive Delta: " + barsType.Volumes[CurrentBar].GetMaximumPositiveDelta());
Print("Maximum Negative Delta: " + barsType.Volumes[CurrentBar].GetMaximumNegativeDelta());
Print("Max seen delta (bar): " + barsType.Volumes[CurrentBar].MaxSeenDelta);
Print("Min seen delta (bar): " + barsType.Volumes[CurrentBar].MinSeenDelta);
Print("Cumulative delta (bar): " + barsType.Volumes[CurrentBar].CumulativeDelta);

[NinjaTrader_ChrisL]

Hi, thanks for posting.

The GetMaximumVolume will return the price level where the max volume occurred.
double price;
Print("Maximum Combined: " + barsType.Volumes[CurrentBar].GetMaximumVolume(null, out price) + " at price: " + price);

Best regards,
-ChrisL

[shildebrand324]

Thank you!

I guess I'm really trying to figure out by reading this data how I can see exhaustion, aggression, or reversals.

Looking for things like low/reducing volume at extreme, POC at extreme, delta divergence, unfinished business, delta strength, bid/ask imbalances, etc.

[shildebrand324]

Hi, is there a way to capture imbalances with the above API?

[NinjaTrader_ChrisL]

Hi shildebrand, We can calculate any value since we have the bid/ask volume at each level, but there is no values like imbalance, divergence, delta strength, etc that are pre-calculated or available through NinjaScript. One would need to calculate this manually based on their own formulas (since the source code for the OrderFlow+ tools is not publicly available).

Best regards,
-ChrisL

[shildebrand324]

Understood, but how would a diagonal value be captured?

[NinjaTrader_ChrisL]

Hi, thanks for your reply.

I will need you to provide an exact formula or definition of what you want to calculate. Please also read carefully every data point you can acess from the Volumetric bars here:

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?order_flow_volumetric_bars2.htm

Best regards.

[shildebrand324]

It’s basically the way the chart identifies imbalances and makes the a different color. I want to have the ability to find those programmatically.

[NinjaTrader_ChrisL]

Hi, thanks for your reply.

All data points from the volumetric bars are available through Ninjascript, please look at the documentation I have given to find all the atomic data points of the volumetric bars. These points can be used for custom calculations in an Indicator or Strategy.

Best regards,
-ChrisL

[shildebrand324]

Yeah, I’ve got all that, but nothing I there talks about diagonal comparisons

[NinjaTrader_ChrisL]

Hi, thanks for your reply.

There is a feature request for exposing imbalance data, SFT-3586. I will add a vote to this for you. The source code for the volumetric bars is not open source, so we must devise our own calculations for imbalances, diagonals, etc. To check if a feature has been added, check the release notes on future updates:

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?release_notes.htm

Best regards,
-ChrisL

[shildebrand324]

Is there a way to get order size from the volumetric api?

[NinjaTrader_ChrisL]

Hi, thanks for your reply.

In the volumetric bars there are the methods:
GetAskVolumeForPrice(double price)
GetBidVolumeForPrice(double price)

Best regards,
-ChrisL

[shildebrand324]

I’m trying to find the largest contract size order in each side for the bid and ask. Does this give me that?

[NinjaTrader_ChrisL]

Hi shildebrand324 , thanks for your reply.

You will need to use more C# logic in your script to find the maximum value. Iterate each tick of each bar, calling GetAskVolumeForPrice(double price) or GetBidVolumeForPrice(double price) for each tick e.g.

var maxValue = -1;
var iValue;
for(double i = Low[0]; i <= High[0]; i+= TickSize)
{
    if(GetAskVolumeForPrice(i) > maxValue)
    {
        maxValue = GetAskVolumeForPrice(i);
        iValue = i;
    }

}

Print(maxValue);
Print(iValue);

Kind regards,
-ChrisL