Single Price Bars

[dave01]

I'd like to use a bar type that aggregates all consecutive same price ticks together, then changes to a new bar (actually just a new data point) when the price level changes, then starts aggregating all ticks at the new price level until a new price level occurs, etc.

Conceptually it's something like a 0 (zero) range bar plotted as a zigzag. Volume, trade count, and cumulative delta calculations should be possible for each bar.

I've attached a quick example of its construction mocked up in excel.

Can anyone point me in the right direction if it already exists, or suggest a resource for coding it?

Many thanks!

[nkhoi]

you describe 1 tick chart

[dave01]

thanks nkhoi for the response. here's a screenshot of a 1-tick chart in NT8. it shows multiple ticks (trades) at the same level. i want all the ticks at the same level to be contained in 1 tick. so in the case of the screenshot there would be only 3 ticks showing: one for each price level (2587.25, 2587.00, 2586.75).

[Captain Future]

What about a 1 range bar?

[dave01]

hi captain future, thanks for the suggestion. attached is a screen shot of a 1 range bar. each bar has 1 range between 2 ticks.

[NinjaTrader_Jesse]

Hello dave01,

Thank you for the post.

For what you are explaining, I believe the closest to the description would be a 1 range bar as Captain Future noted however what you have detailed is essentially a 0 range bar.

You would likely need to create a BarsType to accomplish this. The existing Range BarsType could be used as a starting point, its Range input specifically has a hard limit of 1 which you could remove as a starting point. You would likely need to go through the logic in the existing bars type to make sure it still makes sense in contrast to using 0 range to break bars. You can use the NinjaScript editor to view the existing BarsTypes code.

I look forward to being of further assistance.

[dave01]

thanks jesse, i'll give it a try!!

[kasatik]

Greetings. Did you manage to create this type of bars?