Volume indicator to plot total traded lot

[NinjaTrader_Emily]

On a similar note, does anyone know of an indicator that can plot total volume divided by total trades? Thanks in advance.

Hello oldporkchops,

Thank you for your note.

I'm not sure I understand what you are looking for; volume is the number of trades for a specific period of time. This means that the total volume should equal the total trades, so volume divided by trades would equal 1. Is there something more specific you are looking for? If so, please provide additional details and an example.

Please let us know if we may be of further assistance.

[oldporkchops]

Hello Emily,

Thank you for writing to inquire more.

Knowledge of volume by trades can be useful when large traders place multi-contract futures trades. For example, the 100 contracts bid at 4075.50 on ES might not all be 1 contract trades. It might consist of the following:

- 50 contracts x 1 trade (coming directly from one single trader)
- 5 contracts x 4 separate, distinct trades
- 1 contract x 30 individual trades
Total: 100 contracts

Sierra Chart has a page dedicate to explaining the Volume Divided by Number of Trades ratio as well as their formula for calculating this ratio. Check it out at https://www.sierrachart.com/index.ph...nce.php&ID=385

[NinjaTrader_Emily]

Hello Emily,

Thank you for writing to inquire more.

Knowledge of volume by trades can be useful when large traders place multi-contract futures trades. For example, the 100 contracts bid at 4075.50 on ES might not all be 1 contract trades. It might consist of the following:

- 50 contracts x 1 trade (coming directly from one single trader)
- 5 contracts x 4 separate, distinct trades
- 1 contract x 30 individual trades
Total: 100 contracts

Sierra Chart has a page dedicate to explaining the Volume Divided by Number of Trades ratio as well as their formula for calculating this ratio. Check it out at https://www.sierrachart.com/index.ph...nce.php&ID=385

I appreciate the clarification; I have had more coffee and now I understand what you are asking.

Volume, the total number of units traded, does not necessarily equal the number of trades considering that some trades may be for multiple units. This now makes sense and I apologize for the confusion. This sounds similar to the data presented in the Time & Sales window of the platform. I suggest reviewing the following samples my colleague created that use OnMarketData to get an idea of how you could replicate the Time & Sales behavior in NinjaScript:

https://forum.ninjatrader.com/forum/ninjatrader-8/indicator-development/97522-time-and-sales?_gl=1*19ll6jn*_gcl_au*MTcyNDg3MjU4My4xNjg2MTQ3MTc3#post785841

The MarketDataEventArg for Volume represents the volume for each update, and you could use this as the trade size to calculate the number of trades.

Please let us know if we may be of further assistance.

[oldporkchops]

Hi Emily,

Thank you for writing back. You enjoyed your coffee, I hope?

Could you please let me know if NT 8 can plot the 100 contracts divided by the 35 trades as a bar graph using Strategy Builder?

Yes, it is possible to obtain such data from T&S, but it is not possible to keep track of the volume/trades values for each bar, even with two cups of cappuccino. If not possible to use the strategy Builder to output a simple bar graph (similar to how volume is plotted) of the values, is it possible to put in an indicator request?

Thank you for considering my request.

[NinjaTrader_Emily]

Hi Emily,

Thank you for writing back. You enjoyed your coffee, I hope?

Could you please let me know if NT 8 can plot the 100 contracts divided by the 35 trades as a bar graph using Strategy Builder?

Yes, it is possible to obtain such data from T&S, but it is not possible to keep track of the volume/trades values for each bar, even with two cups of cappuccino. If not possible to use the strategy Builder to output a simple bar graph (similar to how volume is plotted) of the values, is it possible to put in an indicator request?

Thank you for considering my request.

Hello oldporkchops,

Thank you for your reply.

This would not be possible in the Strategy Builder and would require an unlocked NinjaScript file. You might even be able to use values from the VOL indicator divided by the Block Volume indicator set to trades with a size of 1 or greater. Then you could call AddPlot() in that unlocked script and assign the resulting value to that plot:

https://ninjatrader.com/support/helpGuides/nt8/addplot.htm

This thread will remain open in case any members of the forum community would like to fulfill your indicator request, otherwise, you can also contact a professional NinjaScript Consultant who would be eager to create or modify this script at your request or assist you with your script. The NinjaTrader Ecosystem has affiliate contacts who provide educational as well as consulting services. Please let me know if you would like our NinjaTrader Ecosystem team to follow up with you with a list of affiliate consultants who would be happy to create this script or any others at your request or provide one on one educational services.

Thank you for your time and patience.