The calculation of BlockVolume

[seykool]

Wao, this really astonishes me! Thanks anyways.

Seykool

[NeoTraderBot]

Hi there!

I was just using the Block Volume indicator and did a quick check on the value of indicator. If the indicator counts how much trades traded above a threshold (block size), I imagined that multiplying the count from the indicator by the Block volume size would give me a volume less than the Volume indicator.

But to my surprise I got some cases where this simple math yield to almost twice the total volume of the bar.
Is there something that I am missing?

Thanks in advance,
John

[NinjaTrader_Emily]

Hi there!

I was just using the Block Volume indicator and did a quick check on the value of indicator. If the indicator counts how much trades traded above a threshold (block size), I imagined that multiplying the count from the indicator by the Block volume size would give me a volume less than the Volume indicator.

But to my surprise I got some cases where this simple math yield to almost twice the total volume of the bar.
Is there something that I am missing?

Thanks in advance,
John

Hello John,

Thank you for your note.

What were the parameters you used for the Block Volume indicator? The countType determines whether the value is the number of trades or the block trade volume; I'd like to make sure of which value you were using. Please provide an example or snippet so we may see how you performed your calculation and better assist you.

• To send a screenshot with Windows 10 or newer I would recommend using the Windows Snipping Tool.
  • Click here for instructions
• Alternatively to send a screenshot press Alt + PRINT SCREEN to take a screenshot of the selected window. Then go to Start--> Accessories--> Paint, and press CTRL + V to paste the image. Lastly, save it as a jpeg file and send the file as an attachment.
  • Click here for detailed instruction

I look forward to your reply.

[NeoTraderBot]

Hi Emily!

Sure. Let's do a step-by-step on the printscreen I attached.
Let's take the bar of 11th March, 2024 on MNQ 06-2024 [Timeframe 1 min]. I included the block volume using a block size of 30 and trade volume. From the Data box, we can see that was counted 58 trades above the block size of 30. This would be 58*30 = 1740 micro-contracts.But looking at the VOL indicator we can see just 513 micro-contracts traded in that bar.
So, I believed that Block volume count multiplied by the block size (using volume) would always be less or equal to the volume traded.
Is there a detail that I'm not taking into consideration about the calculation or the future market?

Thank you in advance for your support.

[NinjaTrader_Emily]

Hi Emily!

Sure. Let's do a step-by-step on the printscreen I attached.
Let's take the bar of 11th March, 2024 on MNQ 06-2024 [Timeframe 1 min]. I included the block volume using a block size of 30 and trade volume. From the Data box, we can see that was counted 58 trades above the block size of 30. This would be 58*30 = 1740 micro-contracts.But looking at the VOL indicator we can see just 513 micro-contracts traded in that bar.
So, I believed that Block volume count multiplied by the block size (using volume) would always be less or equal to the volume traded.
Is there a detail that I'm not taking into consideration about the calculation or the future market?

Thank you in advance for your support.

Thank you for that example. I see now what you are trying to multiply, though that doesn't make logical sense with how the indicator is calculated when set to Volume. When the Block Volume indicator is set to "Volume" for the Count property, the value displayed by the indicator is the total volume for trades that had a quantity equal or greater than the Block trade size. Your screenshot is showing that there was at least one trade of 30 or more contracts, and the total volume of trades equal to or greater than 30 contracts was 58 on that bar.

Here is another example I created in my platform focusing on a single bar that had 1 trade at the Block trade size of 30. I added the Block Volume indicator with a Block trade size of 30 and plotted it both as Trades and as Volume to show the difference between each setting:

• https://www.screencast.com/t/uU03rvRgG

For more information regarding the Block Volume indicator, please see the help guide page here:

• https://ninjatrader.com/support/help...ock_volume.htm

If you'd like to review the source code and logic for how the indicator is calculated, you could open up the script in the NinjaScript Editor.

I hope this helps to clarify. Please let us know if we may be of further assistance.

[NeoTraderBot]

Thank you for that example. I see now what you are trying to multiply, though that doesn't make logical sense with how the indicator is calculated when set to Volume. When the Block Volume indicator is set to "Volume" for the Count property, the value displayed by the indicator is the total volume for trades that had a quantity equal or greater than the Block trade size. Your screenshot is showing that there was at least one trade of 30 or more contracts, and the total volume of trades equal to or greater than 30 contracts was 58 on that bar.

Here is another example I created in my platform focusing on a single bar that had 1 trade at the Block trade size of 30. I added the Block Volume indicator with a Block trade size of 30 and plotted it both as Trades and as Volume to show the difference between each setting:

• https://www.screencast.com/t/uU03rvRgG

For more information regarding the Block Volume indicator, please see the help guide page here:

• https://ninjatrader.com/support/help...ock_volume.htm

If you'd like to review the source code and logic for how the indicator is calculated, you could open up the script in the NinjaScript Editor.

I hope this helps to clarify. Please let us know if we may be of further assistance.

It really doesn't make sense to multiply like I did. I saw in indicator's source code that when using the CountType parameter set to "Tick" that would return the number of trades above the block volume.

Thank you for your explanation, Emily!