Volume Levels

[dj22522]

Greetings.
I'm posting this if anyone is able to convert it to NinjaTrader.

Attached is a Metatrader screen shot showing volume levels and histogram for day/week/previous week/month/total contract.

These are downloaded from the CME each night via this site:

http://trading-evolution.com/

The CVS files are saved into Metatrder via this eVolution indicator from this thread (as from about post # 241)
http://www.forexfactory.com/showthre...126216&page=17

You then convert them (I'm using 7-zip) from rar to cvs files and then apply the indicator to the chart.

The OP (Volume Trader) suggested posting this excel link for anyone wanting to convert this:
http://trading-evolution.com/temp/ev...xplanation.csv

Ok that's about as much as I know.
Hoping it is of interest and tht some capable person can/wants to convert it.

Many thx

[dj22522]

17th Sept Meatrade Sceen Shot

Attached is today's Metatrader screen shot of 6BZ9 to get an idea of this indi.

[NinjaTrader_Bertrand]

Have you checked already into the value area indicators posted to our sharing section?

http://www.ninjatrader-support2.com/vb/forumdisplay.php?f=37

[dj22522]

..

Have you checked already into the value area indicators posted to our sharing section?

http://www.ninjatrader-support2.com/...splay.php?f=37

Thx yes I have.
Forgive me if I'm wrong but I didn't see anything that gave this kind of volume level reading.
Namely that maximum volume levels for day/week/previous week/month/and total contract, are displayed as both a horizontal line level and in histogram, for each, on one chart, and for each CME futures contract, automatically from one download each night.
Did I miss this somewhere ?

Thx

[tradercrm]

I'm looking for the exact same, actually. PriceVolumeHistogram provides this, but I am unable to separate the volume profiles on a day by day basis. X-trader w/ X-study offers exactly what I'm looking for it seems, as a current Ninja subscriber is it possible to replicate these histograms?

[NinjaTrader_Bertrand]

Have you checked already into those addons from FinAlg? - http://www.fin-alg.com/tpoandvolumechart.html

[tradercrm]

I'll contact them, provided they can layer the volume histogram with a candlestick chart it may work for me.

[tradercrm]

Still at a dead end here. I've read that the ZF data feed may not provide all volume information during heavy trade facilitation and that they *do* provide everything. Nonetheless, still no accurate volume profile from NT's indicators thus far.

[NinjaTrader_Bertrand]

tradercrm, I'm not sure which info you refer to - ZenFire is providing unfiltered data from the exchanges. Which volume profiles are you comparing to and did you already try other feeds in NinjaTrader to compare profiles generated with those?

[tradercrm]

No, having issues with volume @ price not properly reflected. DeanV has implemented dValueArea as best he could, but I'm told it's a software limitation of calculating # of contracts traded @ price. X-Trader from TT, Market Delta, and most other packages support this and reflect accurate numbers.

[NinjaTrader_JoshP]

tradercrm,

I am not sure what software limitation you may be talking about. The data is all present if you use an unfiltered feed and with all the data you can generate whatever you need. It is just a matter of getting the code to do it.

[astra]

Guys,

The nearest available code in NT for what you are looking for is Eds Volume Price indicator:

http://www.ninjatrader-support2.com/vb/local_links.php?action=sendtofriend&catid=1&linkid=203

It allows you to select the number of bars you wish to have cumulative volume per tick. I am using this indicator and is very good. Unfortunately it works only with real time data. Ed has done a lot of work with volume and also has a blog so you may ask him if he can convert it to accept historical data as well...

[tradercrm]

I've used the indicator, since I make trading decisions based on historical volume it doesn't provide much help, perhaps it's how historical volume is reported that prevents such a indicator?

[astra]

I've used the indicator, since I make trading decisions based on historical volume it doesn't provide much help, perhaps it's how historical volume is reported that prevents such a indicator?

I am not sure what you mean. For example Eds indicator will print tradeable volume on every tick, except neutral trades unfortunately. So, yes will not be accurate because it misses the neutral trades.

But in general, if you mean that there are discrepancies between live data and historical data this is due to the data feed you have. IB, Patsystems etc do not provide full real-time data - their data are filtered (ie if there are 5 x 1 contract buys, they will perhaps print only 1x1 contract buy). On the other hand, TT and Zen Fire (but only for US data - for Deutsche Borse data are worse even from Patsystems..) do provide raw / unfiltered data.

[astra]

Just now I discovered another thread that even for the "leader" of real-time data TT the situation is not so straightforward. There is the front and back end of TT and the "coalescing" factor that varies from broker to broker! ...Check it here:

http://www.ninjatrader-support2.com/vb/showthread.php?t=4081

I admire the efforts to study volume and there are some very good indicators out there. But (...among other things...) the raw material - the data - are dubious. At least for us, the retail traders..