Volume for each tick and candle

[morrnel]

Hi All!
I want to count the number of Bid and Ask ticks and volume for each candle. But something is not correct.
If I have a 30 tick candle, I think i would have AskTick + BidTick = 30, correct?
What am I missing?
Thanks in advance.
Morris

int AskTick = 0;
int BidTick = 0;
long AskVol = 0;
long BidVol = 0;

protected override void OnMarketData(MarketDataEventArgs e)
{
// Print some data to the Output window
if (e.MarketDataType == MarketDataType.Last) {
// Totals for each candle
Print(e.Time + " Last = " + e.Price + ", Vol = " + e.Volume);
Print("Ask " + AskTick + " " + AskVol);
AskTick=0;
AskVol=0;
Print("Bid " + BidTick + " " + BidVol);
BidTick=0;
BidVol=0;
}
else if (e.MarketDataType == MarketDataType.Ask) {
AskTick++;
AskVol+= e.Volume;
Print(e.Time + " Ask = " + e.Price + ", Vol = " + e.Volume); // For each Ask tick
}
else if (e.MarketDataType == MarketDataType.Bid) {
BidTick++;
BidVol+= e.Volume;
Print(e.Time + " Bid = " + e.Price + ", Vol = " + e.Volume); // For each Bid tick
}
}


Example of my results:
5/4/2022 12:37:31 AM Ask = 4174.5, Vol = 4
5/4/2022 12:37:31 AM Bid = 4174.25, Vol = 10
========================= Is First Tick
5/4/2022 12:37:31 AM 35
========================= Is First Tick
Ask 157 1090
Bid 157 988
5/4/2022 12:37:31 AM Last = 4174.5, Vol = 2
========================= Is First Tick
Ask 0 0
Bid 0 0
5/4/2022 12:37:31 AM Last = 4174.5, Vol = 1
5/4/2022 12:37:31 AM Ask = 4174.75, Vol = 15
5/4/2022 12:37:31 AM Ask = 4174.75, Vol = 14
5/4/2022 12:37:31 AM Ask = 4174.75, Vol = 13

[morrnel]

I tiurned on the BuySellVolume indicator and set the bar size to 30 ticks. I am observing some nice extremes which will help me better understand what is going on with volume.
The bar produced is Green (Buy) stacked on top of Red (Sell)

What must change so that I can see the Buy and Sell bars displayed side by side instead of stacked?

[NinjaTrader_Jesse]

Hello morrnel,

What you are seeing is correct, not every order is 1 volume. For a 30 tick chart you should see 30 ticks but the volume will vary a lot between bars.

The buysellvolume indicator is generally how we suggest to make a script that accumulates volume.

If you wanted to display the volume in a different way you would need to use OnRender or Plots to do that.

[morrnel]

buy sell volume indicator
See the missing bars to the left? What do I need to change so that all the bars are filled when I open ?
Thanks.

[NinjaTrader_Jesse]

Hello morrnel,

That is correct, the BuySellVolume is a realtime indicator. You can turn on tick replay for it to estimate the historical results, for it to actually calculate as it would in realtime it would need to be run in realtime or forward through playback.

[morrnel]

Kewl, thanks.

Why didn't VOL need it?

[NinjaTrader_Jesse]

Hello morrnel,

The VOL indicator uses the Volume series which is based on historical data. The BuySellVolume uses OnMarketData which is not stored in historical data, by using TickReplay it can call OnMarketData historically.