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

October 25th, 2010, 10:41 AM

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

October 25th, 2010, 11:34 AM

Michael.H

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

October 25th, 2010, 02:38 PM

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.

November 1st, 2010, 01:49 PM

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<MarketDataEventArgs> tickQueue=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);
            
        }

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

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