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Export volume date to excel
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Created: by Flyboy1966 Attachments:1

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Export volume date to excel

  #1 (permalink)
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Export volume date to excel

Hi, I would like to export volume data to create bar graphs etc for YM (or any instrument) in excel. Would like to be able to compare hour of day, day of week similar to what the strategy analyzer does. Thanks very much..


Last edited by Flyboy1966; November 30th, 2018 at 01:43 AM. Reason: spelling
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Flyboy1966 View Post
Hi, I would like to export volume date to create bar graphs etc for YM (or any instrument) in excel. Would like to be able to compare hour of day, day of week similar to what the strategy analyzer does. Thanks very much..

If it's for NinjaTrader, I don't know a native way to do this.

Here's a few pointers

https://ninjatrader.com/support/forum/forum/ninjatrader-7/platform-technical-sup...-data-from-chart?t=46521

https://ninjatrader.com/support/forum/forum/ninjatrader-8/platform-technical-sup...erything-i-have-on-chart

https://futures.io/ninjatrader/42689-exporting-everythging-present-chart-ninjatrader-8-a.html

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Yes it is for Nt 8

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Could you offer more details on what you want to do? From your post I can't tell. You say "similar to Strategy Analyzer." What do you mean by this? You say, "export volume data to create bar graphs." I'm confused. You need more than volume data to create a bar graph, don't you?

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Barz View Post
Could you offer more details on what you want to do? From your post I can't tell. You say "similar to Strategy Analyzer." What do you mean by this? You say, "export volume data to create bar graphs." I'm confused. You need more than volume data to create a bar graph, don't you?

Sure...

First off, I realize that Date should be Data.... fumble fingers... lol's

Mataf.net has some cool stuff for forex ( https://www.mataf.net/en/forex/tools/volatility ) which is exactly what I would like....

I think it would be relatively simple to go thru a specific time frame on one instrument and get an actual number of the volume such as what the volume indicator tells you when you click on a specific volume bar. Export these values out into excel and create my own bars.... The strategy analyzer does this as well with the day of week, or hour, or half hour etc.

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Flyboy1966 View Post
Sure...

First off, I realize that Date should be Data.... fumble fingers... lol's

Mataf.net has some cool stuff for forex ( https://www.mataf.net/en/forex/tools/volatility ) which is exactly what I would like....

I think it would be relatively simple to go thru a specific time frame on one instrument and get an actual number of the volume such as what the volume indicator tells you when you click on a specific volume bar. Export these values out into excel and create my own bars.... The strategy analyzer does this as well with the day of week, or hour, or half hour etc.

Alright, let me see if I have this straight. Sounds like there are two things you're trying to do:

1) You want to export volume data
2) You want to rescale it so you can see daily volume, weekly volume, monthly volume, etc.

If I understand correctly, you really don't want to try rescaling data in Excel unless you're an expert Excel programmer. Instead you might want to consider adding the different dataseries timescales to the same chart in NinjaTrader (hourly, daily, weekly, monthly,e tc.) and then you could create an indicator to export the volume from each series into a file. Then you might be able to import that into Excel and do something with it.

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Here you go....

I got you bro... Just try this. Run this as a strategy with whatever instrument, time frame you want in market replay.
Just open an output window and this will print to your output window.

Once you have ran this for a day or whatever, just hit control A (to select all), then control C (to copy it).
From here paste it into excel. It will hit excel all in one column, so you will need to delimit it. I have delimiter logic built in.... Just hit Data > Text to Columns > Delimited > Other > and finally type the delimiter /

If you look at the code this is what I used to separate each column

Print(
Time[0] +"/"+
Time[0].Hour +"/"+
Time[0].Minute +"/"+
Time[0].Second +"/"+
Time[0].Millisecond +"/"+
GetCurrentBid() +"/"+
GetCurrentAsk() +"/"+
GetCurrentBidVolume() +"/"+
GetCurrentAskVolume() +"/"+
cumvol);

Piece of cake, play with it, hack a way, reverse engineer it, add to it etc.

Happy analyzing!

Ian

In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
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  #9 (permalink)
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iantg View Post
I got you bro... Just try this. Run this as a strategy with whatever instrument, time frame you want in market replay.
Just open an output window and this will print to your output window.

Once you have ran this for a day or whatever, just hit control A (to select all), then control C (to copy it).
From here paste it into excel. It will hit excel all in one column, so you will need to delimit it. I have delimiter logic built in.... Just hit Data > Text to Columns > Delimited > Other > and finally type the delimiter /

If you look at the code this is what I used to separate each column

Print(
Time[0] +"/"+
Time[0].Hour +"/"+
Time[0].Minute +"/"+
Time[0].Second +"/"+
Time[0].Millisecond +"/"+
GetCurrentBid() +"/"+
GetCurrentAsk() +"/"+
GetCurrentBidVolume() +"/"+
GetCurrentAskVolume() +"/"+
cumvol);

Piece of cake, play with it, hack a way, reverse engineer it, add to it etc.

Happy analyzing!

Ian

Thank you Ian,

I will give that a shot and play with it. Just starting to get into working with ninjascript (C#) so this should be fun.

Michael

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