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Using NT Volume Indicators??? Better Read This !!!!
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Created: by RJay Attachments:7

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Using NT Volume Indicators??? Better Read This !!!!

  #21 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
Hartford, CT. USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: AMP/CQG, Kinetick
Favorite Futures: TF
 
RJay's Avatar
 
Posts: 677 since Jun 2009
Thanks: 726 given, 740 received

Hi All,

I just posted the new version of the sample delta indicator in post 17.

I gave it the same name, so just overwrite that other piece of crap!!!

This new one's much simpler, cleaner and accurate.

Ticks 1 and 2 now load separately. Volume Chart Problem remains.

RJay


Last edited by RJay; October 25th, 2010 at 12:02 PM.
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  #22 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
Hartford, CT. USA
 
Futures Experience: Intermediate
Platform: NinjaTrader
Broker/Data: AMP/CQG, Kinetick
Favorite Futures: TF
 
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Posts: 677 since Jun 2009
Thanks: 726 given, 740 received


Michael.H View Post
Ok.. so if i have GOMcd indicator loaded up on a volume chqrt, i'm gonna have problems? You saying that volume charts are not correct to begin with? or is it the indicators loaded up on volume charts?

Hi Michael,

Its been my experience that a lot of volume indicators go a little spastic when put on a volume chart.

GomCD may have issues, But testing it in market replay on a TF 10 volume chart, it does seem to be behaving it self.

RJay

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  #23 (permalink)
Elite Member
Portland Oregon, United States
 
Futures Experience: Beginner
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Gom Indicators on Volume based charts


This is what happens when we put Gom indicators on a volume based chart. In Panel 2 we have buyvolume plus sellvolume from the BuySellVolume indicator (my latest version with the FirstTickOfBar workaround) In Panel 3 we have the total volume as reported by Volume[0], Ninjatrader real time volume.

It looks like the discrepancies may be due to the GomRecorder not "splitting" trades that cause the sum of buy and sell volume to be unequal to the volume interval of the chart.

Overall the errors probably mostly cancel out, but on a bar by bar basis there are errors. Best to use tick interval charts with Gom stuff, because each record in the Gom data file is a tick, ie a trade.

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  #24 (permalink)
Elite Member
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Futures Experience: None
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Basically what happens is that now in NT7 OnMarketData fires before OnBarUpdate. In my opinion this is more logical but it has its side effects.

Here is how you could implement a correct tick logic using a queue to uncouple OMD from OBU.
This works with CalculateOnBarClose true and false

The idea is to queue ticks in OMD, and unqueue them when needed in OBU.

One of the advantage of this kind of solution is that all your logic is kept only in one place: in the OnBarUpdate method.


Caution : you need to add
 
Code
                            
using System.Collections.Generic
in the indicator header

 
Code
                            
        #region Variables
        
Queue<MarketDataEventArgstickQueue=new Queue<MarketDataEventArgs>();
        
int totalvolume=0;
        
#endregion

        
protected override void Initialize()
        {
            
Overlay                false;
            
Add(new Plot(Color.DarkRed,PlotStyle.Bar,"Vol"));
        }
        
        protected 
override void OnBarUpdate()
           {
            
MarketDataEventArgs e;
            
            if (
FirstTickOfBar)
                 
totalvolume=0;
            
            
int nbTicks=tickQueue.Count;
            
            
// if COBC=true then last ticks belongs to next bar
            
if (CalculateOnBarClose)
                
nbTicks--;
            
            
            for (
int i=0;i<nbTicks;i++)
            {
                
e=tickQueue.Dequeue();
                
totalvolume += (int)e.Volume;
            }
            
            
Value.Set(totalvolume);
            
        }
        
        protected 
override void OnMarketData(MarketDataEventArgs e)
        {
            if (
e.MarketDataType==MarketDataType.Last)
                
tickQueue.Enqueue(e);
            
        } 


Last edited by gomi; November 1st, 2010 at 03:25 PM.
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