Cumulative volume at price in the DOM

[SodyTexas]

Bid Ask Cumulative total

First let me start by saying I am a newbie to C#; so, I apologize in advance for the simplicity of my question.

What I am trying to accomplish is a cumulative total of the Current Ask Volume - Current Bib Volume for this bar.

		protected override void OnBarUpdate()
       
         {
			double x1 = 0.0;
			double x2 = x1 + (GetCurrentAskVolume()-GetCurrentBidVolume());
			set
			{
				x1=x2;
			}
			
			TBTF.Set(x1);
		}

Am I way off base here?

Thanks in Advance! Cheers,

Sody

[NinjaTrader_ChelseaB]

Hello SodyTexas,

Thanks for your post.

By cumulative, are you asking for the accumulated difference of ask volume minus bid volume for all previous bars?

Please try:

double x2 = 0;
protected override void OnBarUpdate()
{
x2 += (GetCurrentAskVolume()-GetCurrentBidVolume());
TBTF.Set(x1);
}

Also, please notice I am declaring x2 outside of OnBarUpdate().

Let me know if this is not what you were after.

[NinjaTrader_ChelseaB]

Hello SodyTexas,

I made a tiny mistake with that last post and am not able to edit my previous post.

double x2 = 0;
protected override void OnBarUpdate()
{
x2 += (GetCurrentAskVolume()-GetCurrentBidVolume());
TBTF.Set([B]x2[/B]);
}

The TBTF.Set should be set to x2 and not x1.

[SodyTexas]

Hello SodyTexas,

I made a tiny mistake with that last post and am not able to edit my previous post.

double x2 = 0;
protected override void OnBarUpdate()
{
x2 += (GetCurrentAskVolume()-GetCurrentBidVolume());
TBTF.Set([B]x2[/B]);
}

The TBTF.Set should be set to x2 and not x1.

Awesomeness, you where very quick and accurate. What a great experience for a first time poster!

Thanks a million.

Sody

[bdfranca]

Hi there.
I´m looking for something similar. Is it possible to see the volume delta (difference between traded buyers volume - traded sellers volume) on the price axis? Like volume profile / zones?

[NinjaTrader_ChelseaB]

Hello bdfranca,

Something like what you are trying to build may be possible.

The Market Data volume can be captured in OnMarketData.

https://ninjatraderplatform.helpspot.com/admin.php?pg=request&reqid=1618392

The e.MarketDataType will let you know if this is bid or ask data.

You could store the volume, and then subtract one from the other, and plot this in a plot.

Below is a link to a script that is similar to the Time & Sales window you may find helpful.

http://ninjatrader.com/support/forum/showthread.php?p=414250#post414250