Volume Differences between Indicators

[Bluebeep]

Hi guys,

I'm trying to pull some Volume information into my strategy and I have been checking out a couple of Indicators. When I load up Order Flow and the stock Buy Sell Volume indicators I find a bit of a difference (though they have the same period of 5 mins). Please see the attached image.

I'm guessing one of them is more accurate than the other, or at least there is some type of calculation that is being processed in one different than the other.

I guess what I'm trying to figure out is why these are different. Coz sometimes the difference isn't just 1, it maybe 3 or more. I realize it isn't much but is this normal? This is not market replay or historical data. It's from a Live feed.

[NinjaTrader_ChelseaB]

Hello Bluebeep,

The issue is that you are seeing a 1 tick difference between the total volume and the sell volume, is this correct?

I am currently looking into this. I appreciate your patience.

[Bluebeep]

Hi NInjaTrader_ChelseaB,

Maybe better if I explain what I need... I'm looking at processing Volume Delta (Percent change) of real traded Volume each tick.

It's probably simple to do the calculation in the code if I have an idea of what the most reliable source of the real traded volume is for bid/ask. I just need the %Delta assigned to a variable. Not sure if I should be using an indicator to get the values or maybe there is some built-in function I should call.

[NinjaTrader_ChelseaB]

Hello Bluebeep,

Buy Sell Volume utilizes the NinjaScript function OnMarketData(). The OnMarketData() function is called after OnBarUpdate() on realtime data. The OnMarketData() function is used in the Buy Sell Volume indicator in order to pull the volume based on the Last price at the Ask or Bid price. As such it is technically always one tick behind the bar updating.

In contrast the VOL indicator is quite literally a plot of the Bar’s Volume and therefore pulls it’s data and plots in the same function (OnBarUpdate()).

This is expected behavior for the Buy Sell Volume indicator.

[Bluebeep]

Thanks very helpful to know!