historical volume at price levels

[ballboy11]

Can one get historical volume at price levels or only during live and collect the data?

[NinjaTrader_Jim]

Hello ballboy11,

Thanks for opening the thread.

OnMarketData can be used with Tick Replay to collect and count volume data historically at different price levels. The BuySellPressure and BuySellVolume indicators can be used as example for using this approach to collect volume. The code would need to be modified to collect volume for price levels.

You may also wish to reference the VolumeProfile indicator for a TickReplay approach to collecting volume at price.

Developing for Tick Replay documentation is publicly available here - https://ninjatrader.com/support/help...ick_replay.htm

OnMarketData is publicly documented here - https://ninjatrader.com/support/help...marketdata.htm

Please let us know if you have any questions.