Interpreting "GetCurrentAskVolume(0)" and "BuySellVolume().Buys[0]"

[Doctor JR]

I'd like to clarify in my own language what I believe these indicators to represent. I'm looking for confirmation or correction.

Let's assume my strategy updates with each tick. My understanding is as follows:

When I get a result for "GetCurrentAskVolume(0)" it represents the exhange's reported volume of shares/contracts offered at the Ask price at the instant my computer make its 1 tick pass through the code. It's an instant snapshot. During the course of the single tick the volume figure can and does change, but the intial snapshot is what I've got because the strategy is only updated once per tick.

When I get a result for "BuySellVolume().Buys[0]" I'm no longer dealing with shares/contracts offerred. We're talking actual transactions reported AT AND ABOVE the Ask price at the instant of the snapshot. No unfilled orders are included in the "BuySellVolume().Buys[0]" result. As is the case with "GetCurrentAskVolume(0)", the figure can and does change during the course of the tick, but we don't have supercomputers scanning code every nanosecond, so our strategies work with the once-per tick snapshot.

Have I got the basic picture? If not, please set me straight. Thanks.

[NinjaTrader_BrandonH]

Hello Doctor JR,

Thanks for your post.

Your understanding seems to be correct.

To clarify, the most granular interval that a strategy can process OnBarUpdate() logic is by using Calculate.OnEachTick. This will allow the script to process OnBarUpdate() logic for each incoming tick that occurs.

Calculate: https://ninjatrader.com/support/help.../calculate.htm

GetCurrentAskVolume() would get the current real-time ask volume for each incoming tick when using Calculate.OnEachTick. Note that when accessed during State.Historical, the Volume of the evaluated bar series is substituted. To access historical Ask Volumes, please see Developing for Tick Replay.

GetCurrentAskVolume(): https://ninjatrader.com/support/help...taskvolume.htm

BuySellVolume().Buys[0] from would return the real-time buy volume from the BuySellVolume indicator's histogram for each incoming tick when using Calculate.OnEachTick. Trades are categorized in real-time as a buy (at the ask or above) or as a sell (at the bid or below). Trades in between the market are ignored.

BuySellVolume(): https://ninjatrader.com/support/help...sellvolume.htm

Please let me know if I may assist further.