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

  #1 (permalink)
 Vendor: www.innovative-trading-solutions-online.com 
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Using NT Volume Indicators??? Better Read This !!!!

Thanks for stopping by!!!!

I was just doing my favorite thing, Volume Research !!!

Here is what I just found. If you are using volume indicators that employ volume counters in

protected override void OnMarketData(MarketDataEventArgs e) section of code,

If you are using if (FirstTickOfBar) or a CurrentBar comparator like if (CurrentBar < activeBar)

to reset the volume totals from the prior bar to 0, you may be loosing the volume from the first tick of the current bar.


The first attached chart is a two tick chart with three volume indicators.

Top indicator uses Volume[0]. My version of NT's VOL indicator.

Middle indicator is a corrected indicator that collects data from OnMarketData(MarketDataEventArgs e).

Bottom indicator has not been corrected using old if (FirstTickOfBar) / if (CurrentBar < activeBar) code.

Note: the bottom indicator always lags behind the other two indicators.


Second chart is on a one tick chart. As you can see, It shows no volume at all for bottom indicator.

First tick of bar is not being counted at all.

Also attached is a sample indicator with code showing how to overcome this problem. Just drop this indicator directly into the indicator folder.

Enjoy,

RJay


P.S. NT 7 Beta 22 Bug report has been posted on NT Forum.

Attached Thumbnails
Using NT Volume Indicators??? Better Read This !!!!-tf-12-10-2-tick-10_11_2010.jpg   Using NT Volume Indicators??? Better Read This !!!!-tf-12-10-1-tick-10_11_2010.jpg  
Attached Files
Register to download File Type: cs AAA_Total_Market_Volume.cs (8.2 KB, 46 views)

Last edited by RJay; October 12th, 2010 at 10:05 AM.
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  #3 (permalink)
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If anyone is concerned that their indicators may have this problem, you can test them by putting them on a 1 tick chart.

No indicator display means your indicator may need updating.


If your counting ticks in your indicators, test those indicators as well.

RJay

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What does NT say about this? Bug? Design-flaw? Working as intended, no problem, cannot reproduce, ... ?

If you use a Volume bar, at set the volume bar to 'xxx' vol, does your indicator match what NT is showing as the volume on the bar?

Mike

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  #5 (permalink)
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Big Mike View Post
What does NT say about this? Bug? Design-flaw? Working as intended, no problem, cannot reproduce, ... ?

If you use a Volume bar, at set the volume bar to 'xxx' vol, does your indicator match what NT is showing as the volume on the bar?

Mike

Since NT's VOL indicator as well as any indicator using only the Volume[0] series in the OnBarUpdate section are not having a problem, the problem only shows up when collecting data from the market feed in the OnMarketData section.

The problem is stark on a 1 tick chart. Match indicator to be tested with VOL. See pic in prior post.

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Big Mike View Post
What does NT say about this? Bug? Design-flaw? Working as intended, no problem, cannot reproduce, ... ?

If you use a Volume bar, at set the volume bar to 'xxx' vol, does your indicator match what NT is showing as the volume on the bar?

Mike

Each tick fires OnMarketData and OnBarUpdate(if COBC = false) as well.

OnMarketData is fired before OnBarUpdate.
if you are using same variables in both event handlers - be careful - you might set it in one and reset in another.

I would not use CurrentBar in OnMarketData

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Update: This fix is for NT 7.0 .

eDanny says fix is acting funny in NT 6.5.


Second Update:

Further investigation shows problem is in NT7 only.


Last edited by RJay; October 12th, 2010 at 10:02 AM.
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are perry indicators affected ?

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MetalTrade View Post
are perry indicators affected ?

NO, cos they not use OnMarketData(), this is only for real time indicators that don't plot historical data.
(Since I'm not an expert, someone correct me if I'm wrong).

Take your Pips, go out and Live.
Luke.
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Posted NT 7 Beta 22 Bug Report on NT Forum.

Version 7 beta22 Dropping Ticks??? - NinjaTrader Support Forum

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