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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

  #1 (permalink)
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Custom bar type - built based on filtered block size

I saw a few recent posts on the forum that made me create this thread. A lot of you place credence on the size of blocks of trades. I think a year ago or so, EOT had a tool (the name escapes me) that would let you plot three volume dataseries based on size of the blocks of trades (among other things).

Anyway, here is an idea for you Ninja types What about creating a custom bar type that is based on the 'block' size of trades? Let's say it's a tick Type, but instead of plotting every 1 tick, we only plot based on a filtered > block size threshold. If you guys believe size is important, then by only plotting price based on these, it may yield an interesting result. Note this is not the same as a Volume bar, although you could make it Volume type and still filter it.

It would be very interesting to then do a side-by-side comparison of unfiltered vs. filtered, and see if there is anything worthwhile.

Personally, I don't place a lot of importance on it, but I thought some of you may find it interesting.

Just a thought.

Mike

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  #2 (permalink)
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  #3 (permalink)
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Big Mike View Post
I saw a few recent posts on the forum that made me create this thread. A lot of you place credence on the size of blocks of trades. I think a year ago or so, EOT had a tool (the name escapes me) that would let you plot three volume dataseries based on size of the blocks of trades (among other things).

Anyway, here is an idea for you Ninja types What about creating a custom bar type that is based on the 'block' size of trades? Let's say it's a tick Type, but instead of plotting every 1 tick, we only plot based on a filtered > block size threshold. If you guys believe size is important, then by only plotting price based on these, it may yield an interesting result. Note this is not the same as a Volume bar, although you could make it Volume type and still filter it.

It would be very interesting to then do a side-by-side comparison of unfiltered vs. filtered, and see if there is anything worthwhile.

Personally, I don't place a lot of importance on it, but I thought some of you may find it interesting.

Just a thought.

Mike

Hey, Mike!

Maybe you would not place much importance on volume filtering of just block size, but there are a lot of ways to filter volume, or just trading activity besides time intervals passed, or total volume traded. Also, many traders have asked on forums of software developers for the ability to easily make custom bars, but the developers do not seem to listen.

Really all they have to do is: Either let chart writers, that's us, put our own numbers in the list called "Volume" which is then used to construct "Volume" bars, or let us use a list of numbers, (called an "indicator") in place of the volume to construct the bars. I would call these "event terminated bars". Now it is a certain amount of time passed which creates the event, or a certain volume of trades finished, or a certain range of price movement completed. Why not just let us write our own "something completed" as the "event" WHICH SETS THE LAST TICK OR MINUTE depending on data resolution, of our "bar", and prints or draws the open, high, low, and close between the events chosen by us?

Perhaps the writers of Multicharts, who are reputed to be technically proficient and responsive, let us address the "volume series vector" used to construct the volume-activity bars, or a field like it called "user defined activity", for which they already have written code for so-called "volume" bars.

Anyway, that is what I was looking for in Multicharts that led me to your forum in the first place. Synchronicity.

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  #4 (permalink)
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I know guys who filter out all trade sizes below XXX lots from their charts, whatever type they are (market profile, point and figure, 15m etc...). It doesn't seem to do them any harm at least.

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i had the same idea mike,

I`m interested in a filtered type of charting, is there a code for ninja yet?

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  #6 (permalink)
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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.

cheers

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.

Attached Thumbnails
Custom bar type - built based on filtered block size-volumefilter.png  
Attached Files
Register to download File Type: cs VolumeFilterBarType.cs (5.9 KB, 171 views)

Last edited by bukkan; January 3rd, 2011 at 11:27 AM.
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  #7 (permalink)
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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.

cheers

p.s. - have used the Final3 to create the bartype. if you have already some custom bartype which uses the same then edit the code accordingly.

Bukkan,

There are already 2 bar types using Final3. Custom8 and Custom9 are available. I strongly urge you to change your chart type to one of them.

RJay


Last edited by RJay; January 3rd, 2011 at 01:41 PM.
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  #8 (permalink)
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RJay View Post
Bukkan,

There are already 2 bar types using Final3. Custom8 and Custom9 are available. I strongly urge you to change your file type to one of them.

RJay

ohh, was not aware. have changed to Custom8.

thanks.

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@ 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.

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  #10 (permalink)
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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.

ya its possible. look at the BarTypes.cs file in the Type folder (<My Documents>\NinjaTrader 7\bin\Custom\Type\) and study how the bars are build etc.

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