Feature Request - Delta of a bar

[commodity_trader]

Hi Support,

I request you to add a feature,where in, buyvolume of a bar can be accessed like buyvolume[0],buyvolume[1],buyvolume[2],..etc

and sellvolume of a bar can be accessed like sellvolume[0],sellvolume[1],sellvolume[2],..etc

and delta ( (buyvolume - sellvolume) of a particular bar) of a bar can be accessed like,..delta[0],delta[1],delta[2]

Thanks
Commodity_trader

[NinjaTrader_Ray]

Thanks for your suggestion. We do have plans for NT7 to introduce historical bid/ask data which likely can be manipulated to get what you need.

[commodity_trader]

Thanks Ray.

In NT 6.5 version is there any simple way to get delta of a bar by coding it? I saw a few threads on this,but they weren't calculating delta of a bar accurately. Below is the code, I came up with after looking/modifying at a few threads trying to achieve similar thing. I modified it slightly to get delta directly,but still appears there are missing things or the "OnMarketData" is not working properly.


protected override void OnMarketData(MarketDataEventArgs e)
{
if (e.MarketDataType != MarketDataType.Last || e.MarketData.Ask == null || e.MarketData.Bid == null)
return;

if (e.MarketDataType == MarketDataType.Ask)
delta += e.Volume;
else if (e.MarketDataType == MarketDataType.Bid)
delta -= e.Volume;
}


Do you see any obvious thing missing here?

Thanks
Commodity_trader

[NinjaTrader_Ray]

Are you looking for a running total of +- last traded volume relative to bid/ask price? If yes, what you are doing is for sure not going to accomplish that. What you are doing is add/subtracting current ask/bid size.

If you want to do what I think you want to do -

- Create bid/ask price variables outside of OnMarketData()
- Monitor OnMarketData() to update these variables
- Monitor OnMarketData() for the last price event and compare this price to the variables to determine whether to add/subtract from delta