How are Ticks and Volumetric bars calculated?

[fx.practic]

Hello,

I'm trying to understand how Volumetric bars calculate volume for both VolumetricDeltaType.BidAsk and VolumetricDeltaType.UpDownTick.

While comparing two Volumetric 5-tick charts (one using UpDownTick, the other using BidAsk) with a 1-tick data series overlay, I noticed that two consecutive bars were composed of only 4 ticks each.

Why are there only 4 ticks in Volumetric 5-tick bars?

Please refer to the attached screenshot for reference.

Thank you!

[NinjaTrader_ChelseaB]

Hello fx.practic,

There is only one screenshot here, and it is not specified if this is using BidAsk or UpDownTick.

That said, the help guide defines this parameter:

BidAsk - Accumulates the volume of orders filled at the bid or less vs ask or more. Orders filled at the ask or more price are considered buying pressure. Orders filled at the bid or less price are considered selling pressure. If the current tick price is between ask and bid, the volume will be recorded to the same pressure as the previous tick.

UpDownTick - Accumulates the volume of up ticks vs down ticks. Up ticks are considered buying pressure. Down ticks are considered selling pressure. If the current tick price is the same as the previous tick price, the volume will be recorded to the same pressure as the previous tick.

https://ninjatrader.com/support/helpGuides/nt8/index.html?order_flow_volumetric_bars.htm#OrderFlowVolumetricBarsDataSeries

Note, the ask and bid volume may be greater than the last volume.

[fx.practic]

Thank you for the clarification!

My question is more about how Tick bars are built on their own.
I'm trying to figure out why a 5-tick bar made of only 4 ticks.

[NinjaTrader_ChelseaB]

Hello fx.practic,

I would expect this would be due to ticks that have the same timestamp being included in the same bar.

The help guide provides information about this.

https://ninjatrader.com/support/helpGuides/nt8/index.html?multi-time_frame__instruments.htm#WorkingWithMultiTimeFrameObjects

With this you might see two 5-tick bars next to each other followed by eight 1-ticks in-between the next 5-tick bar.

I'll double check with our development and if they say anything different I'll update this post.

[fx.practic]

Here’s an improved version of your post:

---

Thank you, Chelsea.

It would be helpful to understand if the algorithm behind this.

Regarding the data used for volume delta calculations: Am I correct in understanding that historical Ask and Bid prices are stored alongside each historical tick?

Additionally, there seem to be two ways to access these Ask and Bid prices:

• By using TickReplay and handling them via OnMarketData().
• By adding a 1-tick data series, and then using BarsArray[1TickDataSeriesIndex].GetAsk(BarsIndex).

Could you please confirm if this is accurate?

[NinjaTrader_ChelseaB]

Hello fx.practic,

Yes, that is the case with some (not all) data providers, the data can be ask/bid stamped.

Below is a link to the help guide on which ones provides ask/bid stamped historical data.

https://ninjatrader.com/support/helpGuides/nt8/data_by_provider.htm

And yes, you are correct those are the two ways of accessing the ask/bid stamp.

https://ninjatrader.com/support/helpGuides/nt8/developing_for__tick_replay.htm

https://ninjatrader.com/support/helpGuides/nt8/getask.htm

[fx.practic]

Clear Chelsea,
Thank you.

[NinjaTrader_ChelseaB]

Hello fx.practic,

Our development got back to me and confirmed this is the behavior with ticks that have the same timestamp.

Unfortunately, this is a limitation and there isn't a way to resolve the behavior.

[fx.practic]

Clear Chelsea,
Thank you.

I just wish to have a confirmation this is the expected behaviour.
I’m not looking to change or resolve anything
I like NT.
As is.
And as upcoming )))