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

October 12th, 2010, 10:47 AM

RJay

Posted NT 7 Beta 22 Bug Report on NT Forum.

Version 7 beta22 Dropping Ticks??? - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum

I don't understand where you see a bug?

You set volume to zero and expect it not to be a zero? You better check your logic before reporting bugs.

Code

 
protectedoverridevoid OnBarUpdate()
{
 
if (FirstTickOfBar)
{
netVolUp = 0;
}
VolumeUp.Set(netVolUp);
}

October 12th, 2010, 11:35 AM

I'm having the same problem with NT7 code. Code that works fine with NT6.5 will always show one less trade per bar in NT7. For example if VOL says 300 my indicator says 299 in NT7 and 300 in 6.5. This is a tough nut to crack.

Dan

October 14th, 2010, 08:43 AM

tarantino

I don't understand where you see a bug?

You set volume to zero and expect it not to be a zero? You better check your logic before reporting bugs.

Code

 
protectedoverridevoid OnBarUpdate()
{
 
if (FirstTickOfBar)
{
netVolUp = 0;
}
VolumeUp.Set(netVolUp);
}

Dear tarantino,

Thank you for taking the time to look at my code. You are absolutely correct. The line of code you indicated does indeed set the variable to "0".

This line of code you refer to is correct coding in NT 6.5 and hopefully will soon be in NT 7.

If you look at the other indicator I posted along with this one, you will see the code with the patch to temporarily fix the problem,

Code

if (FirstTickOfBar)
            {
                
                netVolUp = 0;
                netVolUp = netVolNewBar;

            }

In this indicator, you will see that the next line in the code, is the same variable being assigned a non zero value.

This is part of the temporary patch until NT can fix their code.

I'm sorry that you got confused.

RJay

October 14th, 2010, 10:49 AM

Once again.

protectedoverridevoid OnBarUpdate()
{

if (FirstTickOfBar)
{
netVolUp = 0;
}
VolumeUp.Set(netVolUp);
}

If you are expecting that VolumeUp[0] at this stage (if firsttickofbar) is non zero, then I am crazy perhaps.

I would report a bug if VolumeUp[0] != 0

October 14th, 2010, 12:17 PM

I can attest to the fact that I see the first tick volume being dropped at FirstTickOfBar in NT7. What I am seeing is the total volume is off by the volume of the first tick. If I add that volume back in my totals will be correct but there is another problem with plotting. If the next bar sits there with only the first tick, visible in a very slow period, the previous plot is carried forward and shows the result of the last bar with the added volume from the first tick. It is replaced with the correct plot if there is another trade during that bar period. If not the plot disappears and shows no volume when the next bar starts. This is unacceptable to me. Remember this will not be noticeable during regular hours with volume but can be seen using something like the TF on a 30 second chart during after hours when volume is very low. So, to recap.

Problem one: Volume of first tick is dropped but can be added back using additional code but should be unnecessary.

Problem two: Plotting has a problem which is only visible under the right conditions. This is not a problem with NT6.5 and I cannot find a way to fix it in NT7.

Dan

October 23rd, 2010, 02:11 PM

OK Folks,

After working with NT as well as other programmers here at futures.io (formerly BMT) this week, Here are my findings.

NT has confirmed that there may be a issue using OnMarketData data with privately constructed indicator.

Since NT does not construct any of their indicators in this way, They have stated that no changes are planned to resolve the differences between NT 6.5 and NT 7.

Here's the problem.

In NT 6.5, CurrentBar and FirstTickOfBar can be used to capture all price/volume ticks for each bar from OnMarketData in real time.

In NT 7 , CurrentBar and FirstTickOfBar can be used to capture all price/volume ticks for each bar from OnMarketData except the first tick of the bar in real time.

This means that compiling accurate data from OnMarketData in NT 7 is going to be more complicated than NT 6.5.

All data from the "Bid, Ask, and Last" need to be collected, at every tick, and temporarily saved.

At FirstTickOfBar, The previous "Last"tick and the current "Last" tick are going to both get processed at the same time and updated to the chart together.

This means Indicators from NT 6.5, just because they compile in NT 7, does not mean they are working properly.

I am putting together some working samples to show you what the new coding should look like.

Stay Tuned,

RJay

P.S. Same problem is in OnMarketDepth for all counting indicators as well. jtRealStats indicators are not affected by this problem.

October 24th, 2010, 05:57 PM

Well,

I have good news and bad news.

The good news is that these indicators work really well on every chart type I tested them on except Volume.

The bad news... reread the previous line!!!

Doubling up the first two ticks results in an equal to volume bar plus the volume of the unsplit ticks.

You may not even notice.

Attached are a Total Volume Indicator sample code and a Delta Volume Indicator sample code.

Attached image compares them with the VOL indicator.

Note, A perfect match between VOL and The Total Volume Indicator.

Let me know what you think,

RJay

Update: There is a problem with the delta indicator . I just updated to a new indicator with the same name.

October 24th, 2010, 08:09 PM

Can the indicators be coded so that they would work correctly if it IS a volume chart?

If so, you can put in a code switch since we can programatically detect whether the periodtype is Volume.

if(Bars.Period.Id == PeriodType.Volume)

... execute code suitable for volume chart

else

... execute code with FirstTickOfBar workaround

Note: My new version of BuySellVolume that includes the FirstTickOfBar fix gives perfect match so that buyvolume + sellvolume from GomRecorder equals Volume[0], on tick charts, anyway.

October 25th, 2010, 03:52 AM

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?

October 25th, 2010, 08:51 AM

Zondor

Can the indicators be coded so that they would work correctly if it IS a volume chart?

If so, you can put in a code switch since we can programatically detect whether the periodtype is Volume.

if(Bars.Period.Id == PeriodType.Volume)

... execute code suitable for volume chart

else

... execute code with FirstTickOfBar workaround

Note: My new version of BuySellVolume that includes the FirstTickOfBar fix gives perfect match so that buyvolume + sellvolume from GomRecorder equals Volume[0], on tick charts, anyway.

Hi Zondor,

There may be a way to load the first and second ticks separately but it involves altering the chart programs.

I seriously doubt that NT would even consider it.

On the bright side, The GomIndicatorRecorder might be altered to compensate.

problem could also be fixed at the Indicator for non Gom indicators. I'll have to think about it.

RJay

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

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