volumetrics or volume

ballboy11

Senior Member

Join Date: Jan 2016

Posts: 642
#1

volumetrics or volume

07-10-2023, 11:57 AM

I created a simple order flow for myself but Is there a way to get historical order flow for my bars. I have it for live trading but not historical. Do i use volumetrics and go tick by tick to get the contracts bought or sold? All I want is the highest volume bought and or sold per bar on the tick price
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NinjaTrader_ChelseaB

NinjaTrader Customer Service

Join Date: Dec 2012

Posts: 25065
#2

07-10-2023, 12:03 PM

Hello ballboy11,

It may be possible to calculate this if you have ask/bid stamped historical tick data from the connected provider (such as NinjaTrader or Kinetick connections).

Below is a link to a forum post with sample code.

get the bid ask volume inside the bar from the example - NinjaTrader Support Forum

https://ninjatrader.com/support/forum/forum/ninjatrader-8/indicator-development/1133359-get-the-bid-ask-volume-inside-the-bar-from-the-example#post1133429

Hello everyone I am trying to get the bid ask volume inside the bar from the example the problem is that I need a method to get the bid and ask volume without tick replay. I am trying to create this indicator on my own - from the example of the developers But the result is without successfully Below is my code I ask for

Chelsea B.NinjaTrader Customer Service
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