get the bid ask volume inside the bar from the example

[aleeninja]

I have Ask and Bid prices in script same as in T&S. It is correct. I have no last price in script to provide comparison.
And in T&S this comparison takes place and works correct. Thus it is used another method to provide comparison in T&S.
And my question is what is that method?

[aleeninja]

In my screenshot the price in each string is so called last price. And it maybe == Bid or ==Ask as possible to see and it fact coloring.
In script always marketDataUpdate.Price == marketDataUpdate.Bid
In script marketDataUpdate.Price is analog of last price. But it really not changed.

[NinjaTrader_ChelseaB]

Hello aleeninja,

Correct, no last data is provided.

A bid market data update would mean that some order has been added or removed from the bid, an ask market data update would mean some order has been added or removed from the ask.

The actual last transaction is not provided with forex and the last updates are actually bid updates.

Remove lines 59 and 60 in the script. This is likely the issue. It's only looking for last data.

The Time & Sales window is comparing the marketDataUpdate.Price to the marketDataUpdate.Ask (best ask) and marketDataUpdate.Bid (best bid). This why in the video I have provided you, all of the updates are orange bid updates.

By adding an ask series with AddDataSeries() this would update for the ask prices separately, letting you know for sure this is ask data.

[aleeninja]

Jim script contains AddDataSeries(BarsPeriodType.Tick, 1) as additional Series [1]
And on each Tick we provide comparison and have always price <= BarsArray[1].GetBid(whatBar)

If we instead AddDataSeries(BarsPeriodType.Tick, 1) with with MarketDataType.Ask the
comparison results in price >= BarsArray[1].GetAsk(whatBar) always
Because price = BarsArray[1].GetClose(whatBar) for both cases. And we will have color green always instead orange in previous.

Pls correct me if I am wrong. Or provide example pls.

[NinjaTrader_ChelseaB]

Hello aleeninja,

By adding a 1 tick series with MarketDataType.Ask, if BarsInProgress is 1, then its updating the ask. No comparisons needed.

Jim's example would not work with forex as this focuses on the Last update, which is not available with Forex.

[aleeninja]

Yes. Adding 1 tick series with MarketDataType.Ask do not resolve problem. Because we need correct last price for comparison.
And it is impossible to do correct comparison in script because we don not have last price for forex.
BUT. In T&S window we HAVE last price because we see color change correct for comparison needed.
And again question is how to do same comparison method as in T&S because it exists. How to change Jim script?

[NinjaTrader_ChelseaB]

Hello aleeninja,

May I confirm you deleted lines 59 and 60 as advised?

Where you have mentioned:
"Because we need correct last price for comparison."

I'm not clear on your meaning. Forex does not have a last price. What comparison are you trying to do? Are you trying to compare Closes[1][0] with Closes[0][0]?

Nothing needs to be compared to know if it was ask or bid. If BarsInProgress is 0, its the bid. If BarsInProgress is 1, its the ask.

[aleeninja]

Jim script contains AddDataSeries(BarsPeriodType.Tick, 1) as additional Series [1]
All calculations are inside this series because Series[0] contains simply usial OHLC for current bar.
For Series[1] we have 3 parameters:

price_ask = BarsArray[1].GetAsk(whatBar) - really return Ask price same as in T&S for current Tick
price_bid = BarsArray[1].GetBid(whatBar) - really return Bid price same as in T&S for current Tick
price_last = BarsArray[1].GetClose(whatBar) - here the problem
it returns "last" price of current Tick in case of futures.
simply the same value as price_bid for current Tick in case of forex

How to get "correct" value in case of forex? We can see it is possible as this " correct" value presents
in T&S window in each coloring string. But maybe by another way for forex?

Having 3 valid parameters we provide comparison to decide it was "buy" Tick or "sell" Tick.
Having only 2 valid in forex data we can not.
Your script uses the same logic and Series.

[NinjaTrader_ChelseaB]

Hello aleeninja,

This would not work for forex. This requires a Last value that contains the ask and bid, which forex will not have.

Instead you can add a 1 tick ask series with AddDataSeries(null, BarsPeriodType.Tick, 1, MarketDataType.Ask);

AddDataSeries(string instrumentName, BarsPeriodType periodType, int period, MarketDataType marketDataType)

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

When BarsInProgress is 1, the value is an ask market update.

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

[aleeninja]

Hello ChelseaB!

I did AddDataSeries(null, BarsPeriodType.Tick, 1, MarketDataType.Ask); as you recommended.

Then
double price = BarsArray[bser].GetClose(whatBar);
double pask = BarsArray[bser].GetAsk(whatBar);

Most of time price == pask. But sometimes price < pask by a little.
What does it mean? Can you explain the sense of value in "price" variable?

[NinjaTrader_ChelseaB]

Hello aleeninja,

I am not suggesting to use BarsArray[bser].GetAsk(whatBar); as this will not work with forex.

This works with last tick data that is ask / bid stamped. Forex data is not last data, so Bars.GetAsk() does not work.

I have suggested that when BarsInProgress is 1, then the Close[0] or Closes[1][0] is the ask.

[thetradeengine]

Hello memonolog,

Please see the modifications attached. I use two Series<Dictionary<double, double>>'s to track bid/ask volume at price for every bar.

Somethings to keep in mind:

Anything Series related should only be done in SetValues. If not, you will hit errors since the Dictionary<double, double> is synchronized to the primary data series and CalculateValues is processed in BarsInProgress 1.

To work around this, I create temporary class level dictionaries to hold what is being calculated.

I then create the Dictionaries from the Series in SetValues and then I copy KeyValuePairs from the temporary dictionary to the Series dictionaries.

Hello Jim,

With BuySellVolumeOneTickDictionaries set to OnBarClose and Tick Replay off, I added a Print statement to test the ask volume at a price level in each bar as compared to a Volumetric chart. With live market data, the correct ask volume is printed for the bar that just closed. In Playback mode however, the ask volume for one candle prior to the candle that just closed is printed instead. Is there a change that could be made to the indicator example that would fix this in Playback mode?

Thank you

[NinjaTrader_ChelseaB]

Hello thetradeengine,

The barsAgo index changes with Calculate .OnPriceChange or .OnEachTick.

When Calculate is OnBarClose, the bar closes and the most recently updated bar, bars ago 0, is the most recently fully closed bar.
When Calculate is OnEachTick, the bar is still open and the most recently updated bar, bars ago 0, is the still open currently forming bar.

Below is a link to the help guide.

https://ninjatrader.com/support/helpGuides/nt8/index.html?multi-time_frame__instruments.htm#HowBarsDataIsReferenced

[Pole123]

So yes I see a difference between the realtime and historical for the order flow data series using the function GetAskVolumeForPrice() and GetBidVolumeForPrice() from the Volumetric Bars. How could I get the historical behaviour in the realtime market?

while BuySellVolume indicator seems consistent between realtime and historical
testing on 5 min timeframe

protected override void OnMarketData(MarketDataEventArgs e)

{

if(e.MarketDataType == MarketDataType.Last)

{

if(e.Price >= e.Ask)

{

if (AskMap.ContainsKey(e.Price))

AskMap[e.Price] += e.Volume;

else

AskMap.Add(e.Price, e.Volume);





}

else if (e.Price <= e.Bid)

{

if (BidMap.ContainsKey(e.Price))

BidMap[e.Price] += e.Volume;

else

BidMap.Add(e.Price, e.Volume);


}

}

}



protected override void OnBarUpdate()

{



if (BarsInProgress==0 && CurrentBars[0]>1)

{

if (IsFirstTickOfBar || Calculate == Calculate.OnBarClose)

{

AskMap.Clear();

BidMap.Clear();

AskMap.Add(Opens[0][0], 0);

BidMap.Add(Opens[0][0], 0);

}



}

}
​

here is my indicator code for the ask/bid volume at a certain price.

And here the output of the Volumetric GetAskVolumeForPrice VS my indicator:
Volumetric GetAskVolumeForPrice seems mostly lower and does not seem to change within the ticks of the bar, as if it was pre calculated, can anyone help?

NT8 ASK: 40 INDI ASK: 71 AT PRICE: 14487.5 | 10/25/2023 3:29:45 PM

NT8 ASK: 40 INDI ASK: 72 AT PRICE: 14487.5 | 10/25/2023 3:29:45 PM

NT8 ASK: 36 INDI ASK: 59 AT PRICE: 14487.75 | 10/25/2023 3:29:45 PM

NT8 ASK: 36 INDI ASK: 60 AT PRICE: 14487.75 | 10/25/2023 3:29:45 PM

NT8 ASK: 36 INDI ASK: 61 AT PRICE: 14487.75 | 10/25/2023 3:29:45 PM

NT8 ASK: 36 INDI ASK: 64 AT PRICE: 14487.75 | 10/25/2023 3:29:45 PM

NT8 ASK: 36 INDI ASK: 65 AT PRICE: 14487.75 | 10/25/2023 3:29:45 PM

NT8 ASK: 25 INDI ASK: 29 AT PRICE: 14488 | 10/25/2023 3:29:45 PM

NT8 ASK: 25 INDI ASK: 30 AT PRICE: 14488 | 10/25/2023 3:29:45 PM

NT8 ASK: 19 INDI ASK: 35 AT PRICE: 14488.25 | 10/25/2023 3:29:45 PM

NT8 ASK: 29 INDI ASK: 50 AT PRICE: 14487.25 | 10/25/2023 3:29:46 PM

NT8 ASK: 29 INDI ASK: 50 AT PRICE: 14487.25 | 10/25/2023 3:29:46 PM

NT8 ASK: 29 INDI ASK: 50 AT PRICE: 14487.25 | 10/25/2023 3:29:46 PM

NT8 ASK: 29 INDI ASK: 50 AT PRICE: 14487.25 | 10/25/2023 3:29:46 PM

NT8 ASK: 29 INDI ASK: 50 AT PRICE: 14487.25 | 10/25/2023 3:29:46 PM

NT8 ASK: 44 INDI ASK: 72 AT PRICE: 14487 | 10/25/2023 3:29:46 PM

NT8 ASK: 44 INDI ASK: 72 AT PRICE: 14487 | 10/25/2023 3:29:46 PM

NT8 ASK: 53 INDI ASK: 50 AT PRICE: 14486.5 | 10/25/2023 3:29:46 PM

NT8 ASK: 54 INDI ASK: 45 AT PRICE: 14486.25 | 10/25/2023 3:29:46 PM

NT8 ASK: 54 INDI ASK: 45 AT PRICE: 14486.25 | 10/25/2023 3:29:46 PM

NT8 ASK: 54 INDI ASK: 45 AT PRICE: 14486.25 | 10/25/2023 3:29:46 PM

NT8 ASK: 54 INDI ASK: 45 AT PRICE: 14486.25 | 10/25/2023 3:29:46 PM

NT8 ASK: 53 INDI ASK: 50 AT PRICE: 14486.5 | 10/25/2023 3:29:46 PM

NT8 ASK: 54 INDI ASK: 46 AT PRICE: 14486.25 | 10/25/2023 3:29:46 PM

NT8 ASK: 46 INDI ASK: 39 AT PRICE: 14486.75 | 10/25/2023 3:29:46 PM

NT8 ASK: 53 INDI ASK: 50 AT PRICE: 14486.5 | 10/25/2023 3:29:46 PM

NT8 ASK: 54 INDI ASK: 46 AT PRICE: 14486.25 | 10/25/2023 3:29:46 PM

NT8 ASK: 54 INDI ASK: 46 AT PRICE: 14486.25 | 10/25/2023 3:29:46 PM

NT8 ASK: 54 INDI ASK: 46 AT PRICE: 14486.25 | 10/25/2023 3:29:47 PM

NT8 ASK: 51 INDI ASK: 80 AT PRICE: 14486 | 10/25/2023 3:29:47 PM

NT8 ASK: 51 INDI ASK: 80 AT PRICE: 14486 | 10/25/2023 3:29:47 PM

NT8 ASK: 51 INDI ASK: 80 AT PRICE: 14486 | 10/25/2023 3:29:47 PM

NT8 ASK: 54 INDI ASK: 47 AT PRICE: 14486.25 | 10/25/2023 3:29:47 PM

NT8 ASK: 51 INDI ASK: 80 AT PRICE: 14486 | 10/25/2023 3:29:47 PM

NT8 ASK: 51 INDI ASK: 80 AT PRICE: 14486 | 10/25/2023 3:29:47 PM

NT8 ASK: 51 INDI ASK: 81 AT PRICE: 14486 | 10/25/2023 3:29:47 PM

NT8 ASK: 53 INDI ASK: 52 AT PRICE: 14486.5 | 10/25/2023 3:29:47 PM

NT8 ASK: 53 INDI ASK: 53 AT PRICE: 14486.5 | 10/25/2023 3:29:47 PM

NT8 ASK: 53 INDI ASK: 56 AT PRICE: 14486.5 | 10/25/2023 3:29:47 PM

NT8 ASK: 53 INDI ASK: 57 AT PRICE: 14486.5 | 10/25/2023 3:29:47 PM

NT8 ASK: 53 INDI ASK: 59 AT PRICE: 14486.5 | 10/25/2023 3:29:47 PM

NT8 ASK: 46 INDI ASK: 41 AT PRICE: 14486.75 | 10/25/2023 3:29:47 PM

NT8 ASK: 46 INDI ASK: 42 AT PRICE: 14486.75 | 10/25/2023 3:29:47 PM

NT8 ASK: 53 INDI ASK: 60 AT PRICE: 14486.5 | 10/25/2023 3:29:47 PM

NT8 ASK: 53 INDI ASK: 60 AT PRICE: 14486.5 | 10/25/2023 3:29:47 PM

NT8 ASK: 46 INDI ASK: 45 AT PRICE: 14486.75 | 10/25/2023 3:29:47 PM

NT8 ASK: 46 INDI ASK: 46 AT PRICE: 14486.75 | 10/25/2023 3:29:47 PM

NT8 ASK: 46 INDI ASK: 47 AT PRICE: 14486.75 | 10/25/2023 3:29:47 PM

NT8 ASK: 53 INDI ASK: 61 AT PRICE: 14486.5 | 10/25/2023 3:29:47 PM

NT8 ASK: 53 INDI ASK: 62 AT PRICE: 14486.5 | 10/25/2023 3:29:47 PM

NT8 ASK: 46 INDI ASK: 49 AT PRICE: 14486.75 | 10/25/2023 3:29:48 PM

NT8 ASK: 53 INDI ASK: 62 AT PRICE: 14486.5 | 10/25/2023 3:29:48 PM

NT8 ASK: 54 INDI ASK: 48 AT PRICE: 14486.25 | 10/25/2023 3:29:48 PM

NT8 ASK: 54 INDI ASK: 48 AT PRICE: 14486.25 | 10/25/2023 3:29:48 PM

NT8 ASK: 54 INDI ASK: 48 AT PRICE: 14486.25 | 10/25/2023 3:29:48 PM

NT8 ASK: 54 INDI ASK: 48 AT PRICE: 14486.25 | 10/25/2023 3:29:48 PM

NT8 ASK: 54 INDI ASK: 48 AT PRICE: 14486.25 | 10/25/2023 3:29:48 PM

NT8 ASK: 51 INDI ASK: 82 AT PRICE: 14486 | 10/25/2023 3:29:48 PM

NT8 ASK: 46 INDI ASK: 53 AT PRICE: 14486.75 | 10/25/2023 3:29:48 PM

NT8 ASK: 46 INDI ASK: 54 AT PRICE: 14486.75 | 10/25/2023 3:29:48 PM

NT8 ASK: 46 INDI ASK: 55 AT PRICE: 14486.75 | 10/25/2023 3:29:48 PM

NT8 ASK: 44 INDI ASK: 73 AT PRICE: 14487 | 10/25/2023 3:29:48 PM

NT8 ASK: 53 INDI ASK: 62 AT PRICE: 14486.5 | 10/25/2023 3:29:49 PM

NT8 ASK: 54 INDI ASK: 48 AT PRICE: 14486.25 | 10/25/2023 3:29:49 PM

NT8 ASK: 54 INDI ASK: 48 AT PRICE: 14486.25 | 10/25/2023 3:29:49 PM

NT8 ASK: 54 INDI ASK: 48 AT PRICE: 14486.25 | 10/25/2023 3:29:49 PM

NT8 ASK: 54 INDI ASK: 48 AT PRICE: 14486.25 | 10/25/2023 3:29:49 PM

NT8 ASK: 46 INDI ASK: 57 AT PRICE: 14486.75 | 10/25/2023 3:29:49 PM

NT8 ASK: 46 INDI ASK: 60 AT PRICE: 14486.75 | 10/25/2023 3:29:49 PM

NT8 ASK: 46 INDI ASK: 61 AT PRICE: 14486.75 | 10/25/2023 3:29:49 PM

NT8 ASK: 44 INDI ASK: 75 AT PRICE: 14487 | 10/25/2023 3:29:49 PM

NT8 ASK: 44 INDI ASK: 77 AT PRICE: 14487 | 10/25/2023 3:29:49 PM

NT8 ASK: 54 INDI ASK: 49 AT PRICE: 14486.25 | 10/25/2023 3:29:49 PM

NT8 ASK: 53 INDI ASK: 64 AT PRICE: 14486.5 | 10/25/2023 3:29:49 PM

NT8 ASK: 53 INDI ASK: 65 AT PRICE: 14486.5 | 10/25/2023 3:29:49 PM

NT8 ASK: 54 INDI ASK: 50 AT PRICE: 14486.25 | 10/25/2023 3:29:50 PM

NT8 ASK: 51 INDI ASK: 82 AT PRICE: 14486 | 10/25/2023 3:29:50 PM

NT8 ASK: 30 INDI ASK: 54 AT PRICE: 14485.5 | 10/25/2023 3:29:50 PM

NT8 ASK: 45 INDI ASK: 90 AT PRICE: 14485.25 | 10/25/2023 3:29:50 PM

NT8 ASK: 45 INDI ASK: 90 AT PRICE: 14485.25 | 10/25/2023 3:29:50 PM

NT8 ASK: 30 INDI ASK: 55 AT PRICE: 14485.5 | 10/25/2023 3:29:50 PM

NT8 ASK: 30 INDI ASK: 58 AT PRICE: 14485.5 | 10/25/2023 3:29:50 PM

NT8 ASK: 30 INDI ASK: 59 AT PRICE: 14485.5 | 10/25/2023 3:29:50 PM

NT8 ASK: 38 INDI ASK: 68 AT PRICE: 14485.75 | 10/25/2023 3:29:50 PM

NT8 ASK: 38 INDI ASK: 72 AT PRICE: 14485.75 | 10/25/2023 3:29:50 PM

NT8 ASK: 38 INDI ASK: 73 AT PRICE: 14485.75 | 10/25/2023 3:29:50 PM

NT8 ASK: 38 INDI ASK: 74 AT PRICE: 14485.75 | 10/25/2023 3:29:50 PM

NT8 ASK: 38 INDI ASK: 75 AT PRICE: 14485.75 | 10/25/2023 3:29:50 PM

NT8 ASK: 38 INDI ASK: 76 AT PRICE: 14485.75 | 10/25/2023 3:29:50 PM

NT8 ASK: 51 INDI ASK: 86 AT PRICE: 14486 | 10/25/2023 3:29:50 PM

NT8 ASK: 51 INDI ASK: 87 AT PRICE: 14486 | 10/25/2023 3:29:50 PM

NT8 ASK: 51 INDI ASK: 88 AT PRICE: 14486 | 10/25/2023 3:29:50 PM

NT8 ASK: 51 INDI ASK: 89 AT PRICE: 14486 | 10/25/2023 3:29:50 PM

NT8 ASK: 54 INDI ASK: 50 AT PRICE: 14486.25 | 10/25/2023 3:29:50 PM

NT8 ASK: 54 INDI ASK: 50 AT PRICE: 14486.25 | 10/25/2023 3:29:50 PM

NT8 ASK: 54 INDI ASK: 50 AT PRICE: 14486.25 | 10/25/2023 3:29:50 PM

NT8 ASK: 54 INDI ASK: 51 AT PRICE: 14486.25 | 10/25/2023 3:29:50 PM

NT8 ASK: 53 INDI ASK: 67 AT PRICE: 14486.5 | 10/25/2023 3:29:50 PM

NT8 ASK: 51 INDI ASK: 90 AT PRICE: 14486 | 10/25/2023 3:29:51 PM

NT8 ASK: 54 INDI ASK: 54 AT PRICE: 14486.25 | 10/25/2023 3:29:51 PM

NT8 ASK: 46 INDI ASK: 63 AT PRICE: 14486.75 | 10/25/2023 3:29:51 PM

NT8 ASK: 53 INDI ASK: 70 AT PRICE: 14486.5 | 10/25/2023 3:29:51 PM

NT8 ASK: 53 INDI ASK: 71 AT PRICE: 14486.5 | 10/25/2023 3:29:51 PM

NT8 ASK: 46 INDI ASK: 65 AT PRICE: 14486.75 | 10/25/2023 3:29:51 PM

NT8 ASK: 54 INDI ASK: 56 AT PRICE: 14486.25 | 10/25/2023 3:29:51 PM

NT8 ASK: 53 INDI ASK: 74 AT PRICE: 14486.5 | 10/25/2023 3:29:51 PM

NT8 ASK: 53 INDI ASK: 75 AT PRICE: 14486.5 | 10/25/2023 3:29:51 PM

NT8 ASK: 51 INDI ASK: 90 AT PRICE: 14486 | 10/25/2023 3:29:51 PM

NT8 ASK: 51 INDI ASK: 90 AT PRICE: 14486 | 10/25/2023 3:29:51 PM

NT8 ASK: 51 INDI ASK: 93 AT PRICE: 14486 | 10/25/2023 3:29:52 PM

NT8 ASK: 51 INDI ASK: 94 AT PRICE: 14486 | 10/25/2023 3:29:52 PM

NT8 ASK: 51 INDI ASK: 95 AT PRICE: 14486 | 10/25/2023 3:29:52 PM

NT8 ASK: 51 INDI ASK: 97 AT PRICE: 14486 | 10/25/2023 3:29:52 PM

NT8 ASK: 54 INDI ASK: 62 AT PRICE: 14486.25 | 10/25/2023 3:29:52 PM

NT8 ASK: 54 INDI ASK: 63 AT PRICE: 14486.25 | 10/25/2023 3:29:52 PM

NT8 ASK: 54 INDI ASK: 64 AT PRICE: 14486.25 | 10/25/2023 3:29:52 PM

NT8 ASK: 54 INDI ASK: 65 AT PRICE: 14486.25 | 10/25/2023 3:29:52 PM

NT8 ASK: 54 INDI ASK: 66 AT PRICE: 14486.25 | 10/25/2023 3:29:52 PM

NT8 ASK: 54 INDI ASK: 67 AT PRICE: 14486.25 | 10/25/2023 3:29:52 PM

NT8 ASK: 51 INDI ASK: 98 AT PRICE: 14486 | 10/25/2023 3:29:52 PM

NT8 ASK: 53 INDI ASK: 77 AT PRICE: 14486.5 | 10/25/2023 3:29:52 PM

NT8 ASK: 46 INDI ASK: 67 AT PRICE: 14486.75 | 10/25/2023 3:29:53 PM

NT8 ASK: 54 INDI ASK: 69 AT PRICE: 14486.25 | 10/25/2023 3:29:53 PM

NT8 ASK: 51 INDI ASK: 98 AT PRICE: 14486 | 10/25/2023 3:29:53 PM

NT8 ASK: 53 INDI ASK: 79 AT PRICE: 14486.5 | 10/25/2023 3:29:53 PM




​

[NinjaTrader_ChelseaB]

Hello Pole123,

The code you have for collecting the ask and bid volume appears correct.

Are the output prints for each ask and bid update different than what you are seeing in the Time & Sales window?

Note, the Volumetric bar type is going to using ask/bid stamped last ticks which are less frequent than ask bid updates (which can update without a last tick).