Session Volume in Ninjascript

[madankumars]

How do I get/compute the session volume in ninjascript?

Please see attached for what I am referring to.

When I open the L2 window in a given session, the number does not start from 0. Where does Ninjatrader get this number and how do I access this from code.

Thanks

[NinjaTrader_PaulH]

Hello madankumars,

Thanks for your post and welcome to the NinjaTrader forums.

You can use the Volume per bar and accumulate the volume over whatever period you prefer. If you want to accumulate over an instruments session (trading hours) you can use the property Bars.IsFirstBarOfSession to reset a variable you create as the accumulator and from then on can add each bars Volume[0] to the variable.

References:

http://ninjatrader.com/support/helpGuides/nt8/en-us/?isfirstbarofsession.htm

http://ninjatrader.com/support/helpGuides/nt8/en-us/?iseries_volume.htm

[madankumars]

I tried what you said but the numbers are not adding up.

see below for sample code. I compared the output with the NQ Level 2 Window. the number is off by almost 30,000 during the middle of the session. why? the L2 window shows more than what I can get out of the code, starting from IsFirstBarOfSession.



public class SessionVolume : Indicator
{
//class member variable
private double _volume = 0;

protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Calculate = Calculate.OnBarClose;
}
}

protected override void OnBarUpdate()
{
if (Bars.IsFirstBarOfSession)
{
_volume = 0;
}

_volume += Volume[0];

Print(_volume);
}
}

[NinjaTrader_PaulH]

Hello madankumars,

Thanks for your reply.

Your code appears correct and I see about the same values. I would have expected the values to be closer to the daily volume value shown so we will look closer at this.

To answer your original question, you can access the same DailyVolume value through OnMarketData(). Here is an example:

protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{
if (marketDataUpdate.MarketDataType == Data.MarketDataType.DailyVolume)
Print ("Daily Volume: "+marketDataUpdate.Volume);
}

reference: http://ninjatrader.com/support/helpG...aeventargs.htm