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Custom bar type - built based on filtered block size
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Custom bar type - built based on filtered block size

  #11 (permalink)
Hartford, CT. USA
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: AMP/CQG, Kinetick
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RJay's Avatar
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devdas View Post
@ bukkan or any other bar type coder,

I had some time in mind that a custom bar type would be possible to code say with OR or AND conditions on other basic bar type. Most common i dreamed it of like

1) A new bar initiated if "specified Range completed" OR "specified time elapsed". ( e.g 7Range OR 5Min )

2) A new bar initiated only if "specified Range completed AND "specified time elapsed" ( e.g 3Range AND 2Min)

other variants like "50Ticks OR 4Range", etc etc....would be interesting.


A vendor did something similar with renko bars back in 6.5 where the chart updated at fixed time intervals in addition to each bar close. It was a dll so no code to share.

Your idea sound entirely doable. Just add a second criteria for new bar creation.


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  #12 (permalink)
Elite Member
Ann Arbor, Michigan USA
Futures Experience: Advanced
Platform: TradeStation, Biocomp
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Posts: 19 since Aug 2010
Thanks: 61 given, 21 received

Personally, I would want to see a "normalized" COMPARISON by volume size.
That means "decomposing" each of the bars into partial bars which if added together would "perfectly reconstruct" the "normal" original total volume bar. This method would show the effect of large versus small size trades in each bar with zero lag time of the comparison, and without error caused by fluctuation of overall trade sizes distorting the view of the relationship of largest versus smallest trades regardless of how big or small the average trade size is.

For example, you could make one set of bars from "VolumeA completed", and another from "VolumeB completed".

To make the bars comparable (normalized) , make VolumeA + VolumeB be total "Volume" to complete the bars, but VolumeA be the smallest blocksize HALF of the total volume, and VolumeB the largest blocksize HALF. Accumulate the price "deltas" ATTRIBUTABLE to each equal "tile" of the volume in each volume bar to generate the open-to close changes, save the excursions from open-to high and open to low attributable to their own volume tile, and you will get two synchronized charts with different shapes representing the activity of the two "tiles" of volume size. Both will add up to give the total-volume bars' open-to-close price change exactly, while the tick movements belonging with their own tile of the trade sizes will be allocated to their own special bars or candlesticks. Trade both charts, and call it trade size diversification. Or just see if the differences make a useful indicator.

Since I do not use Ninja, I hope someone can try this soon and post the result. I'm curious what the result would show!

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  #13 (permalink)
Banned: trolling
Futures Experience: Beginner
Platform: NT
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Posts: 407 since Feb 2014
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bukkan View Post
heres one i created on the fly. set the FilterValue to filter the ticks in the parameter box.

how to install,

make sure NT is closed

download and copy the cs file (attached) in the Type folder (<My Documents>\NinjaTrader 7\bin\Custom\Type\)

start NT and compile any custom indicator or strategy.

restart NT.

havent tested much. so let me know if things are ok or not.


p.s. - have used the Custom 8 to create the bartype. if you have already some custom bartype which uses the same then edit the code accordingly.


Hey guys,how do i upload the bar type indicator?I put it in the Type folde but it doesnt appear in the Type drop box.

Thanks a lot in advance!

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