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Was there less activity on the ES this week?
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Was there less activity on the ES this week?

  #1 (permalink)
Elite Member
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Posts: 44 since Apr 2010
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Was there less activity on the ES this week?

Did you guys notice less activity on the ES and CL this week? I have not actually looked at my data yet, but my log files are smaller than usual (by about 20-50%) and I changed something with my data logger last weekend. For those of you logging data, did you end up with smaller log files for this week? Not using NinjaTrader, the other threads just seemed dead so I thought I would post here.


Last edited by Big Mike; July 16th, 2010 at 11:45 PM. Reason: Moved from NT Programming to TH
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  #2 (permalink)
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  #3 (permalink)
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Crow View Post
Did you guys notice less activity on the ES and CL this week? I have not actually looked at my data yet, but my log files are smaller than usual (by about 20-50%) and I changed something with my data logger last weekend. For those of you logging data, did you end up with smaller log files for this week? Not using NinjaTrader, the other threads just seemed dead so I thought I would post here.

You could have a look at volume. Volume for ES was 8.5 million contracts last week compared to 12 million contracts the week before. That's about 29% less, so your logfile could be somewhat shorter.

Maybe some of the traders took off for holidays to spend what they earned?

For CL the difference is smaller. 1.21 million contracts compared to 1.57 contracts for the prior week. This is about 23% less.

Continued ..... please read note below

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Was there less activity on the ES this week?-es-09-10-weekly-week-28_2008-week-28_2010.jpg  

Last edited by Fat Tails; July 17th, 2010 at 11:10 AM. Reason: Correction
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  #4 (permalink)
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Correction - I got trapped by NinjaTrader

Without any bad intentions, I just gave you another example, why you should not use this f...... NinjaTrader.

It is Saturday, I pulled a weekly chart and added volume. Do not expect that this chart includes Friday's volume. So I was cheated by NinjaTrader to draw a wrong conclusion.


Here comes the explanation

NinjaTrader is event driven, so the bar of the last week will only be closed with the first tick arriving on Sunday evening. As the volume is set to "CalcOnBarClose = true" by default, the volume of the last week was not shown. So I mistook the last bar on the chart for the last week's volume, but this was wrong. The low volume bar refers to the week with the public holiday on July, 5.

So if you want to plot volume for last week on Saturday, you need to set the volume indicator to "CalcOnBarClose = false" which is a non-default setting. I have done this on my chart templates, but for this purpose, I only wanted to quickly show volume and was trapped by Ninjatrader.

NinjaTrader, by design, traps its users. You need to pay attention all the time.


Correction

Hi Crow,

this week's volume was actually higher than last week's, so you should not see a shorter logfile.

Attached Thumbnails
Was there less activity on the ES this week?-es-09-10-weekly-week-28_2008-week-28_2010.jpg  

Last edited by Fat Tails; July 17th, 2010 at 11:08 AM.
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  #5 (permalink)
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Thanks for the information...I actually don't use NinjaTrader. I log data directly from API. Maybe I messed something with my latest change to my logger...I'll review my changes...

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