Measuring volume traded above and below the open

[ralett]

I am interested in gathering data on how much volume is traded above the open in a particular session vs. how much volume is traded below the open. It would also be interesting to track volume traded above/below an indictor level, VWAP or session Mid, for example.

Does anyone know of a tool or indicator for doing this?

Thanks!

[Lancer]

As to Volume relative to time of day, without a custom script, the only option that I know of in NinjaTrader is to take manual readings of the Volume column in the Market Analyzer, or Export (Ctrl+M) a snapshot to an Excel worksheet at desired times. A feature request from 2019 here proposes that Scheduled Task functionality be added to the Export function so it could be automated, but who knows when that might happen. As to Volume relative to indicator levels, etc., that would be a custom script as well, and I've never seen anything that does that.

[NinjaTrader_Manfred]

Hello ralett,

Thank you very much for your post.

This would indeed not be natively possible in NinjaTrader. However, it should be possible to create a custom indicator that accomplishes this.

If you're interested in learning more about creating a custom script or would like our NinjaScript Team's input on this, please let us know!