Pulling intrabar volume data

[rbeckmann05]

Hello, I am wondering how I pull intrabar volume data at a specific price. So not the total volume of a bar, but the volume traded at say, 15,100 on a specific, single 1 minute bar. Thank you

[rbeckmann05]

I would like to be more specific here actually, how do I loop through all the prices contained in a given bar, then return the bid/ask volume traded at each level. The issue I have found is on a chart with multiple ticks per level on the bars, I'm not sure how to check it as a group of 4 ticks instead of a 1 tick price level. Let me know If I need to explain my question further, I can include pictures if necessary as well.

[NinjaTrader_Jesse]

Hello rbeckmann05,

There is not a specific method to do that. To be able to get a volume at a specific price would require that you first collected the volume information to a dictionary in realtime and then check if the dictionary has that price to see what volume you accumulated. Historical data does not have volume at price information so this would not be something you could do with historical time based data. Historical data contains a single datapoint for volume for the given bar, for example you have a total volume for each 1 minute bar. You could use a 1 tick series and then build logic to accumulate volumes at prices as it processes and save that information to a dictionary, that is similar to what the volumetric tools do. The platforms included VolumeProfile indicator uses a dictionary to accumulate bid/ask volume so that would be a good place to start learnings about collecting data.

[ctrent]

The VolumeProfile that comes with NinjaTrader is a very good starting place for this. I've done it to create a VP over last N minutes and N ticks of price movement. If you don't want to do to of your own code there are FootPrint indicators that give this data and some put into a bar by bar profile format . NinjaTraders Order Flow Volume Profile does this bar by bar but I don't think the data is accessible.

[rbeckmann05]

I appreciate the reply, I was able to figure something out. I just have a while loop that adds a tick X ticksPerLevel addition to looping price till it hits High[x]. The code is much simpler than I thought a few months back