This seems like something that should already exist, but I can't find it - so, naturally, I expect someone to point out that it's been hiding right under my nose.
Everyone's familiar with the 2nd-level DOM information: the "ladder" that shows the current volume at the bid, and at the ask. In NinjaTrader, it's fairly simple to access this information with the GetCurrentBidVolume() and GetCurrentAskVolume() indicators. I'm looking for an indicator that shows the change in bid/ask volume over the course of the trading day. Optionally, it could apply a moving average to the bid/ask volume.
I'm doing some time-of-day research, and wanted a visual way to observe the change in liquidity over time. For example, In the first two hours of the NYSE trading day, Bid/Ask Volume for the ES would be very high, maybe in excess of 1000 contracts at the bid/ask. Right after the session close, around 5 or 6 pm ET, the volume probably reaches its low for the day.
I could write this indicator myself, but I'm lazy. Plus, I'm just curious as to whether or not somebody's already written it, and it's simply got a name that I'm not anticipating.
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