GetMaximumVolume not matching with Order Flow Volume Profile

[tarikmedjber]

Hi there,

I've just wrote a small scipt that logs the maximum volume in the VolumetricBars series which is set like :

else if (State == State.Configure)
{
      // adding volumetric series to the script
      AddVolumetric(null, Data.BarsPeriodType.Month, 1, Data.VolumetricDeltaType.BidAsk, 1);
 }

I am then logging this and matching the logged values to the Order Flow Volume Profile POC which is a monthly volume profile and the numbers are slightly off by a few prices?

Here is the code for logging and identifying the max volume of the monthly bar:

protected override void OnBarUpdate()
{

             IdentifyHighestVolumePrice();

}

private void IdentifyHighestVolumePrice()
{

             NinjaTrader.NinjaScript.BarsTypes.VolumetricBarsTy pe barsType = BarsArray[1].BarsType as BarsTypes.VolumetricBarsType;
             try
             {
                       // identifies the highest volume of the current bar
                       double priceOfHighestVolume;
                      barsType.Volumes[CurrentBars[1]].GetMaximumVolume(null, out priceOfHighestVolume);

                     Log("priceOfHighestVolume at month " + CurrentBars[1]);
                     Log(priceOfHighestVolume);

               }
              catch
               {
               }
}

Ive attached screenshots of the chart and logs. There are logs for the first monthly bar (october which because i only have 75 days loaded is only the partial month), november and december.

Im calculating OnBarClose. And tick replay is off.

Thanks a lot,

Tarik

[NinjaTrader_Kate]

Hello tarikmedjber,

Thank you for your post.

I'm using what looks to be the same chart settings but I'm not seeing it print as I'd expect for all the months. Could you provide an exported copy of the script so I can be sure we're testing the same code? You can export the script from Tools > Export > NinjaScript Addon. Do not check the box to export as a compiled assembly or I will not be able to review the logic. Please attach the resulting .Zip file to your reply.

Thanks in advance; I look forward to assisting you further.

[tarikmedjber]

Hi Kat,

Thanks for getting back to me.

I've attached the script.

I have it on a 60 minute es chart. I've attached a screenshot of that configuration as well.

Thanks again,

Tarik

[NinjaTrader_Kate]

Hello tarikmedjber,

Thank you for your reply.

I'm not seeing the script attached, can you try again to attach that?

Thanks in advance; I look forward to assisting you further.

[tarikmedjber]

Hi sorry about that,

Is it not showing there for you? (Ive attached a screenshot)

Thanks

[tarikmedjber]

Hi,

i don't know what happened there, it has disappeared for me as well.

Trying again here...

Thanks !

[tarikmedjber]

Hello,

Can someone help?

Thanks

[NinjaTrader_Kate]

Hello tarikmedjber,

Thank you for your replies.

Our volume of inquiries is quite high in the mornings and I have not had time yet today to review your code as it was posted during the night last night for me. As soon as I have had the chance to review I will let you know my findings.

Thanks in advance for your patience.

[tarikmedjber]

Hi Kate, ahh no problem, understandable! Thanks

[NinjaTrader_Kate]

Hello tarikmedjber,

Thank you for your reply.

I think you're comparing apples to oranges here, so to speak.

I'm seeing this match the POC when the Volume Profile is set up like so:



Keep in mind that because you're referencing a secondary series that's 1 month long, you won't be able to retrieve values before that series has at least 1 bar to check. So you should add a check for the number of bars in that series to the top of OnBarUpdate:

protected override void OnBarUpdate()
{
if(CurrentBars[1] < 1)
return;

IdentifyHighestVolumePrice(1);

}

Also keep in mind that you can't retrieve those values for that month until that monthly bar closes since you're running OnBarClose, so during the current month you would see the POC for the prior month returned.

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

[tarikmedjber]

Hey Kate,

Good news!

The Apple and Orange were definitely not the same haha!

The Display mode I had was set as "Standard" rather then Buy Sell.

Everything is in order now and thanks for the tips!

Super help, thank you and have a great rest of your day

Tarik