Multicharts.Net access footprint bar data elements via api

June 2nd, 2016, 11:33 PM

Dear Readers

I'm using Multicharts.Net special edition and am trying to access the footprint information. MC has a Volumedelta chart type which shows the volume at bid/ask information but I haven't found a way to access this information via indicator code. I'm trying to figure out which data structure to use.

It's surprising, to me at least, that this isn't available easily. Any help would be appreciated, code snippet would be great. I can understand VB and C# so either would be helpful.

Thanks in advance.

S

ABCTG · June 3rd, 2016, 03:29 AM

shark505,

you might want to check the Programming Guide, it shows information on how to access the Volume Profile information. This should get you going as it provides the data you are looking for.

Regards,

ABCTG

June 3rd, 2016, 12:42 PM

ABCTG,

I have looked at the guide and haven't been able to figure it out, I'll go through it again. And I'm looking for footprint information that I see on the volume delta bar chart not the volume profile. Do you know where I can find a working example?

Thanks

S

ABCTG · June 3rd, 2016, 12:50 PM

shark505,

I understand that. The name Volume Profile might be confusing in this term, too, but the IProfilesCollection interface provides you with all the values that you are looking for. You will just have to enable the volume profile on the particular chart (otherwise the interface is not accessible) and set it 1 bar resolution.

Regards,

ABCTG

June 4th, 2016, 04:01 AM

ABCDTG,

I used VolumeProfile as you suggested and was able to access the data, thank you for your help

S

// Code
int bn = Bars.FullSymbolData.Current-1;
var vp = VolumeProfile.ItemForBar(bn);
if (vp != null)
{
var levels = vp.Values;
for (int i=0; i<levels.Count; i++) {
var level = levels.ElementAt(i);
double p = level.Price.Dbl;
decimal vAsk = level.AskTradedValue;
decimal vBid = level.BidTradedValue;
Output.WriteLine("{0} : {1} | {2}", p, vBid, vAsk);
}
}

ABCTG · June 4th, 2016, 06:37 AM

Shark505,

you are welcome, I am glad that it works for you.
By the way you can show your appreciation for a post here on Futures.io using the "Thanks" button under it.

Regards,

ABCTG

shark505

ABCDTG,

I used VolumeProfile as you suggested and was able to access the data, thank you for your help

S

// Code
int bn = Bars.FullSymbolData.Current-1;
var vp = VolumeProfile.ItemForBar(bn);
if (vp != null)
{
var levels = vp.Values;
for (int i=0; i<levels.Count; i++) {
var level = levels.ElementAt(i);
double p = level.Price.Dbl;
decimal vAsk = level.AskTradedValue;
decimal vBid = level.BidTradedValue;
Output.WriteLine("{0} : {1} | {2}", p, vBid, vAsk);
}
}

June 24th, 2016, 10:34 AM

Hi,

VP code works in real time but when I add an indicator, the historical VP calculation seems to happen at intervals. Whats happening is, the profile gets populated every say 10ticks, then I get those 10 ticks individually in the CalcBar function but the VP remains fixed until all are processed and so on. And its not 10 ticks but some random value.

I tried to build the profile by myself using the tick data, but if i match (say) bidprice with last tick price for sell, it doesnt match with the VP (im using StatusLine for bid/ask, it could be that the Status line doesn't update on time and throws off my calculation).

So I'm not sure if there is any real way to access VP or build indicators on it. Any suggestions?

ABCTG · June 24th, 2016, 10:58 AM

shark505,

how do you do historical intrabar (i.e. tick by tick) calculations on an indicator?

Regards,

ABCTG

June 24th, 2016, 11:25 AM

On each call to CalcBar, I use the Status Line BidPx, AsxPx and last price.

This last price is used to get side, buy or sell, last>=Ask means Buy for the trade

I use Bars.TickValue for the total bar volume upto current tick, subtract from previous total volume, so that's the volume traded on this tick

This is then TradePrice/Volume key/value pair.

Multicharts.Net access footprint bar data elements via api

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Multicharts.Net access footprint bar data elements via api