GetCurrentBidVolume & GetCurrentAskVolume

[Thomas79]

Hello,

I have a fairly simple question: does the function GetCurrentBidVolume return the volume at the current bid price (Level I), or the total bid volume from Level II?

If it returns only the current bid volume, how can I add up the volume at the current bid + the volume at bid tick-1 + the volume at bid tick-2, and so on?

I would like to get the total bid volume or the 5 bid volume

Thx
Thomas

[NinjaTrader_Jesse]

Hello Thomas79,

That is correct, it returns the level 1 current bid volume.

To add up volume at each price level you would need to use level 2 data, you can do that from the OnMarketDepth override. There is a sample in the following link that goes over making an orderbook so you can access the values at each price level.

https://developer.ninjatrader.com/docs/desktop/creating_your_own_level_ii_data_book_accessing_market_depth

[Thomas79]

Hello Jesse,
Thank you for your reply. I’ve been working on creating a new indicator based on the sample you shared in your previous message.

The idea behind my indicator is to display on the chart the total bid and total ask from Level II data (i.e., the sum of the orders within a 10-tick range above and below the current price).

Here is the script I wrote — the text displays correctly on the chart, but the volume values are missing, as shown in the attached image.

Could you help me with this?


here the script :

region Using declarations
using System;
using System.Collections.Generic;
using System.Windows.Media;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Gui.Tools;
using NinjaTrader.NinjaScript;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion

namespace NinjaTrader.NinjaScript.Indicators
{
public class BidAskDepthSnapshot : Indicator
{
private List<LadderRow> askRows = new List<LadderRow>(10);
private List<LadderRow> bidRows = new List<LadderRow>(10);

private bool firstAskEvent = true;
private bool firstBidEvent = true;

private class LadderRow
{
public double Price;
public long Volume;
}

protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Name = "BidAskDepthSnapshot";
Calculate = Calculate.OnEachTick;
IsOverlay = true;
}

else if (State == State.Historical)
{
// Pas de DOM sur les données historiques
return;
}
}

protected override void OnMarketDepth(MarketDepthEventArgs e)
{
lock (e.Instrument.SyncMarketDepth)
{
List<LadderRow> rows = (e.MarketDataType == MarketDataType.Ask ? askRows : bidRows);
LadderRow row = new LadderRow { Price = e.Price, Volume = e.Volume };

// Ajouter ou mettre à jour
if (e.Operation == Operation.Add || (e.Operation == Operation.Update && (rows.Count == 0 || rows.Count <= e.Position)))
{
if (rows.Count <= e.Position)
rows.Add(row);
else
rows.Insert(e.Position, row);
}
else if (e.Operation == Operation.Remove && rows.Count > e.Position)
{
rows.RemoveAt(e.Position);
}
else if (e.Operation == Operation.Update)
{
if (rows[e.Position] == null)
{
rows[e.Position] = row;
}

else
{
rows[e.Position].Price = e.Price;
rows[e.Position].Volume = e.Volume;
}
}
}
}

protected override void OnBarUpdate()
{
if (CurrentBar < 1 || bidRows.Count == 0 || askRows.Count == 0)
return;

long totalBid = 0;
long totalAsk = 0;

for (int idx = 0; idx < askRows.Count; idx++)
totalBid += bidRows[idx].Volume;

for (int idx = 0; idx < bidRows.Count; idx++)
totalAsk += askRows[idx].Volume;

// Ne pas dessiner si aucune donnée
if (totalBid == 0 && totalAsk == 0)
return;

string label = "Bid: {totalBid} / Ask: {totalAsk}";

// Remplacer l'ancien texte s’il existe (utiliser un ID fixe)
Draw.Text(this, "DepthVol", false, label, 0, High[0] + TickSize * 3, 0, Brushes.LightGreen,
new SimpleFont("Arial", 12), System.Windows.TextAlignment.Left, Brushes.Transparent, Brushes.Transparent, 0);

}
}
}

[NinjaTrader_Jesse]

Hello Thomas79,

You need to use a dollar sign for strings that use curly braces as variable input, that is called String interpolation in C#.

string label = "Bid: {totalBid} / Ask: {totalAsk}";

to

string label = $"Bid: {totalBid} / Ask: {totalAsk}";

https://learn.microsoft.com/en-us/dotnet/csharp/language-reference/tokens/interpolated