Mismatch Between Volume Bars and Volume Based on Tick Bars

[Zeos6]

Hi,

I have run into a somewhat unusual situation, and would appreciate some insight and understanding. Thank you.

The situation is as follows:
1. I create a volume chart, 10V chart. This is my primary bar chart.
2. I create a 1 tick chart.
3. At every first tick of the primary bar series I begin to add up the volume from the 1 tick chart.

So I expected the bar volume total based off of the 1 tick chart to add up to 10 for every primary series bar but the actual volume sum based on the 1 tick chart varies-sometimes its 8, sometimes 10 and sometimes it is 9.

This is strange behaviour and likely an error on my part. (I am working on a multiseries indicator.) I am, however, not sure what I am missing here. Any suggestions would be greatly appreciated. Thank you.

[NinjaTrader_PatrickH]

Hello Zeos6,

Thank you for your post.

Are you making the comparison through a custom script?

Are you setting any specific Bars To Load for the secondary series (1 Tick)?

I look forward to your response.

[Zeos6]

Hi PatrickH,

Yes, the comparison is being made via a custom script.

I am not sure what you mean by your second question, however, in
State == State.Configure I use

// Add a 1 tick bar series of the primary instrument
AddDataSeries(BarsPeriodType.Tick, 1);

I wonder if this issue is related in any way to the 1 bar lag due to the way secondary bar series are processed (i.e. after the primary bar series) in NT.

[NinjaTrader_PatrickH]

I wonder if this issue is related in any way to the 1 bar lag due to the way secondary bar series are processed (i.e. after the primary bar series) in NT.

Hello Zeos6,

Thank you for your response.

This could be the case. Can you provide the full code in OnBarUpdate() used for the Print()s to the Output window?

I look forward to your response.

[Zeos6]

Hi PatrickH

Still trying to decipher this. The code is below:

protected override void OnBarUpdate()
{
     if (CurrentBars[0] < 0 || CurrentBars[1] < 0)
         return;
     if (CurrentBars[0] > 4) return;
     Print("------------------------------");
     Print("Primary Time = "+Times[0][0]);
     Print("CurrentBars[0] = "+CurrentBars[0]);

     // Check if OnBarUpdate() is called from an update on the primary instrument data
     if (BarsInProgress == 0)
     {
         if (sessionIterator.IsNewSession(DateTime.Now, true) && Bars.IsFirstBarOfSession && IsFirstTickOfBar)
             this.lastPrice    = 0.0;
         else if (IsFirstTickOfBar)
         {
             Print("===================================");
             this.tickVolume    = 0.0;
             this.upTicks    = 0.0;
             this.downTicks    = 0.0;
             this.ticks        = 0.0;
             this.upVolume    = 0.0;
             this.downVolume    = 0.0;
             this.barVolume    = 0.0;
         }

         Print("--- Primary Bars Series ---");
         Print("upTicks = "+upTicks);
         Print("downTicks = "+downTicks);
         Print("ticks = "+ticks);
         Print("upVolume = "+upVolume);
         Print("downVolume = "+downVolume);
         Print("barVolume = "+barVolume);
     }
            
     if (BarsInProgress == 1)
     {
         Print("--- 1 Tick Bars Series ---");
         Print("1 Tick Time = "+Times[1][0]);
         Print("CurrentBars[1] = "+CurrentBars[1]);
         Print("Closes[1][0] = "+Closes[1][0]);
         Print("Volumes[1][0] = "+Volumes[1][0]);
         Print("this.lastPrice = "+this.lastPrice);
         this.tickVolume = Volumes[1][0];

                if (this.lastPrice > 0.0)
                    UpdateTickInformation(Closes[1][0], Volumes[1][0]);
                
                this.lastPrice = Closes[1][0];
                this.ticks++;
                this.barVolume += this.tickVolume;

                Print("upTicks = "+upTicks);
                Print("downTicks = "+downTicks);
                Print("ticks = "+ticks);
                Print("upVolume = "+upVolume);
                Print("downVolume = "+downVolume);
                Print("barVolume = "+barVolume);
     }
}

[Zeos6]

Hi PatrickH,

So I have been digging a bit more into this issue and things are getting really weird. I have put up a 10V chart, a 1 tick chart and a 1V chart for the custom date range July 5 to July 12 using 24/7 trading hours.

I have used up triangles to show the first six bars from the 10V chart on the 1 tick and the 1V chart.

If you look at the 1V chart the first bar shows a vol of 9, bar 2 a volume of 10, bar 3 a volume of 10, bar 4 a volume of 8, and bar 5 a volume of 13. I expected all volume values to be 10.

Incidentally, these volumes match the volumes calculated from the 1 tick chart.

Now what in the world is happening here? Any insight would be greatly appreciated. I have attached a pic.

[NinjaTrader_PatrickH]

Hello Zeos6,

Thank you for your patience.

Can you send me the full indicator code at platformsupport[at]ninjatrader[dot]com with 'ATTN: Patrick H' in the subject line and a reference to this thread in the body of the email?

You can export your indicator by going to Tools > Export > NinjaScript Add On > Add > select your indicator > OK > Export > name the file 'NTsupport' > Save.

The file will be located under Documents\NinjaTrader 8\bin\Custom\ExportNinjaScript. Please attach the file to your response.

I look forward to your response.

[Zeos6]

Will do Patrick. Thank you.

[NinjaTrader_PatrickH]

Hello Zeos6,

Thank you for your patience.

The Ticks can come in with varying volume. This volume can exceed the 10 Volume bar type you are using or be well under the 10 Volume.

There is no guarantee that you would get the volume needed from the 1 Tick bars before the 10 Volume bar closed. It may exceed the Volume or the closing tick for the 10 Volume would the next tick of the 1 Tick bar series.

Essentially there is no means to ensure that the 1 Tick series will always match the 10 Volume bar chart on the close of the 10 Volume (or any interval) bar.

Please let me know if you have any questions.

[cls71]

Hello,
I have found the same problem for example in bars of 30 seconds and 1 tick. (There is no problem of matching ticks and volume bars here, since it is a temporary timeframe).

Sometimes the cumulative volume of the 1-tick bars coincides with the bar volume of 30 seconds, and sometimes not.

If two or more DataSeries coincide in the same time to close their currentbar, which one executes your OnBarUpdate before ?. Is there a guaranteed order? (Eg first primary timeframe, then secondary, then tertiary, etc.).

(I am forced to work with Calculate = OnBarClose.)

Attach the code and a snapshot (FDAX 09-17 30-sec). With historical works fine, the issue is only in real time.

Thanks in advance

[NinjaTrader_PatrickH]

Hello cls71,

Thank you for your response.

The Primary Bar should process first for the timestamp that matches the Secondary Bar. I would recommend printing out the Times[0][0] and Times[1][0] to see why this is occurring.

Please let me know if you have any questions.

[cls71]

Thanks Patrick,

But then, why does this happen ? (The secondary timeframe 30-sec is run before than primary timeframe 1-tick). Attach ninjascript.




In addition, in historical bars the behavior is different.




Thanks

[NinjaTrader_PatrickH]

Hello cls71,

Thank you for your patience.

My colleague is following up with you on this on the following thread: http://ninjatrader.com/support/forum...85&postcount=3