Indicator that gets the cumulative volume of the previous day until the current time

[datlayzard]

Hi,

I'm trying to calculate the cumulative volume of the previous day until the current time.
Let's say its Monday at 9:05am, and I'd like to have the cumulative volume of the Friday session until 9:05am (so from Thursday 6pm until Friday 09:05am). Below is the code I'm using that is not working (giving me a fixed value for the volume). I struggle to navigate through the bars even though I read the documentation.

I appreciate your help.


DateTime currentDate = Bars.GetTime(CurrentBar);
TimeSpan currentTime = Bars.GetTime(CurrentBar).TimeOfDay;

DateTime startDate = currentDate.AddDays(-1);
//Print("Current Date: " + Bars.GetTime(CurrentBar) + " || Current Time: " + currentTime + " || Prev. Day: " + startDate);

int barsAgo = CurrentBar - Bars.GetBar(currentDate);

int countSession = 0;
double totalVolumePrevSession = 0;
// loop through all of the viewable range of the chart
for (int barIndex = barsAgo; barIndex <= ChartBars.ToIndex; barIndex++)
{
// print the High value for each index within the viewable range
//Print(barIndex);
if (Bars.IsFirstBarOfSession)
Print(Bars.GetTime(barIndex) + " _ " + Bars.GetOpen(barIndex));
countSession += 1;

totalVolumePrevSession += Bars.GetVolume(barIndex);

if (countSession > 1)
break;
}
Print("Total cumulative volume in previous session: " + totalVolumePrevSession);

[NinjaTrader_ChelseaB]

Hello datlayzard,

To get the previous session start time I would recommend using a SessionIterator.

sessionIterator.GetNextSession(Time[0], true);
sessionIterator.GetNextSession(Bars.GetTime(Bars.GetBar(sessionIterator.ActualSessionBegin) - 1), true);
Print(string.Format("Current bar: {0} | Get next session -1 bar ActualSessionBegin: {1}, ActualSessionBegin bar number: {2}", Time[0], sessionIterator.ActualSessionBegin, Bars.GetBar(sessionIterator.ActualSessionBegin)));

[datlayzard]

Thank you, Chelsea; it helped a lot. I can now get the previous day's cumulative volume up to a certain point, but it's a flat line (cf. attached email). I think it's because of the way I compare the time of the previous day's bars to the current ToTime[0], but I don't know what's the best way to fix it. Any idea on how to proceed? I attached a screenshot of what is being plotted on the chart. Many thanks.


protected override void OnBarUpdate()
{
if (Bars.IsFirstBarOfSession)
sessionVolume = 0;


sessionVolume += Bars.GetVolume(CurrentBar);
//Print("Session Volume: " + sessionVolume);

sessionIterator.GetNextSession(Time[0], true);
sessionIterator.GetNextSession(Bars.GetTime(Bars.G etBar(sessionIterator.ActualSessionBegin) - 1), true);
Print(string.Format("Current bar: {0} | Get next session -1 bar ActualSessionBegin: {1}, ActualSessionBegin bar number: {2}", Time[0], sessionIterator.ActualSessionBegin, Bars.GetBar(sessionIterator.ActualSessionBegin)));

int lastSessionStartIndex = Bars.GetBar(sessionIterator.ActualSessionBegin);
for (int i = lastSessionStartIndex; i < CurrentBar; i++)
{

priorSessionVolume += Bars.GetVolume(i);
Print(Bars.GetTime(i) + " - " + ToTime(Bars.GetTime(i)) + " - " + Bars.GetClose(i) + " - Current Time: " + ToTime(Time[0]) + " - length: " + ToTime(Time[0]).ToString().Length);
Print("Cumulative Volume Prior Day: " + priorSessionVolume + " - " + sessionVolume);
Print(ToTime(Bars.GetTime(i)) + " - " + ToTime(Time[0]));
if (ToTime(Bars.GetTime(i)) >= ToTime(Time[0]) && (ToTime(Bars.GetTime(i)).ToString().Length == ToTime(Time[0]).ToString().Length))
Print("BREAK: " + ToTime(Bars.GetTime(i)).ToString().Length + " - " + ToTime(Time[0]).ToString().Length);
break;
}
// Plot the cumulative volume
MyPlot2[0] = sessionVolume;
MyPlot3[0] = priorSessionVolume;
priorSessionVolume = 0;

}

[NinjaTrader_ChelseaB]

Hello datlayzard,

I'm seeing this value is increasing on every new bar.

Attached is an exported test script.