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Using OnMarketData() on Historical data with a recording engine
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Using OnMarketData() on Historical data with a recording engine

  #1 (permalink)
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Using OnMarketData() on Historical data with a recording engine

Hi guys,

Just wanted to say if you need to be able to call OnMarketData() on historical charts, you can use the GomRecorderIndicator like a base indicator you derive your indicator from.

This base indicator includes a recording/replay engine that acts like a virtual tick data source on historical data.

Then you only have to use GomInitialize, GomOnMarketData and GomOnBarUpdate instead of NT standard ones and you have an indicator that receives historical (and real time) tick info.

It was originally developped with GomCD indicator to access historical Cumulative Delta. I finally managed to make a package out of it ; it contains a very quickly converted version of VolumeProfile that shows how you can get a historical Volume Profile.

See All GomRecorder Indicators - NinjaTrader Support Forum

Edit : Millisec version on topic 31

Edit : Correct time filter version on topic 67

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Using OnMarketData() on Historical data with a recording engine-gompackage.png  

Last edited by gomi; October 25th, 2010 at 08:04 AM.
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  #2 (permalink)
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Gomi, you rock!

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gomi,

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gomi View Post
Hi guys,

Just wanted to say if you need to be able to call OnMarketData() on historical charts, you can use the GomRecorderIndicator like a base indicator you derive your indicator from.

This base indicator includes a recording/replay engine that acts like a virtual tick data source on historical data.

Then you only have to use GomInitialize, GomOnMarketData and GomOnBarUpdate instead of NT standard ones and you have an indicator that receives historical (and real time) tick info.

It was originally developped with GomCD indicator to access historical Cumulative Delta. I finally managed to make a package out of it ; it contains a very quickly converted version of VolumeProfile that shows how you can get a historical Volume Profile.

See All GomRecorder Indicators - NinjaTrader Support Forum

Gomi: are you saying you can use some of your code in other indicators so that they too can record? If so, could you please provide a snippet example so I can understand. Or are you saying that if you run Gom Recorder in a workspace that all other indicators can access the file somehow? (Please excuse my confusion.)

Also: is there anywhere where your indicators are explained, i.e. what are they saying? Or is it just something you figure out intuitively by using them regularly. For example: I do not really understand 'delta volume' yet. Clearly I can do some study using Google etc. but perhaps you could point me to a thread where you discussed this in the context of your indicators, or perhaps you know of a good basic source for me to start with. Now that I have your tools, I want to spend some time getting into market profile type stuff. In fact, the reason I stumbled on this forum a short while ago was because of the thread about 'using volume in trading' which is what interests me most right now.

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cclsys View Post
Gomi: are you saying you can use some of your code in other indicators so that they too can record?

Yes. Basically you only have to derive your indicator from GomRecorderIndicator and use GomInitialize, GomOnMarketData and GomOnBarUpdate and you're done. That's how I converted NT's VolumeProfile into GomVolumeProfile



cclsys View Post
If so, could you please provide a snippet example so I can understand.

You can check GomVWAP, it's very basic



cclsys View Post
Or are you saying that if you run Gom Recorder in a workspace that all other indicators can access the file somehow? (Please excuse my confusion.)

All indicators derived from GomRecorder share the same files. You have to set write=true on the one that will have writing privileges, and all the others can read from the file



cclsys View Post
Also: is there anywhere where your indicators are explained, i.e. what are they saying? Or is it just something you figure out intuitively by using them regularly. For example: I do not really understand 'delta volume' yet. Clearly I can do some study using Google etc. but perhaps you could point me to a thread where you discussed this in the context of your indicators, or perhaps you know of a good basic source for me to start with. Now that I have your tools, I want to spend some time getting into market profile type stuff. In fact, the reason I stumbled on this forum a short while ago was because of the thread about 'using volume in trading' which is what interests me most right now.

All the stuff have more or less to do with the delta calculation. You can check fulcrumtrader on google for info on using cumulative delta, and of course market delta for ladder stuff.

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Gomi,

A quick question on the difference between the two onMarket methods. What is the functional difference between the two - does the first one have +/- value indicated only where as the second method has the tick timestamp? - I guess I am trying to understand the functional difference?

Dean

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  #7 (permalink)
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There is no difference in the data.

With the withtime method, you get the time of the tick with the other data .

The recorder bars are reconstructed using the close time of the bar, so the recorder engine sends all the ticks that have time stamp < time[0]. So for ninja, all ticks arrive at time[0]. You can use the withtime method if you need more detailed tick time information.

Other people have used it to implement a more-precise-than-1-second tick engine by using the Flat format and storing milliseconds information.
Delta Buy/Sell Volume - Page 4 - NinjaTrader Support Forum , message 591 and later

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Can you say your idia to calculate Ask/Bid using only ticks?

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  #9 (permalink)
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Gomi,

I am sure that I am missing something basic, but I have tried converting a indicator I use today, and it seems to function fine (it calculates, displays on charts as expected), but I get no data file created. I see "Recording Binary OK" but no file is created in the GOMFOLDER path specified in my environment settings (personal env).

What else needs to be done or looked at to evaluate?

(BTW - I implemented indicator using the GomRecorderIndicator as you describe with the associated changes to the methods).




gomi View Post
Yes. Basically you only have to derive your indicator from GomRecorderIndicator and use GomInitialize, GomOnMarketData and GomOnBarUpdate and you're done. That's how I converted NT's VolumeProfile into GomVolumeProfile



You can check GomVWAP, it's very basic




All indicators derived from GomRecorder share the same files. You have to set write=true on the one that will have writing privileges, and all the others can read from the file




All the stuff have more or less to do with the delta calculation. You can check fulcrumtrader on google for info on using cumulative delta, and of course market delta for ladder stuff.


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  #10 (permalink)
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by default the files are stored in your My Documents folder. You can use GOMFOLDER to change that location but to be effective you have to restart ninja trader.

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