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Old 03-30-2012, 12:25 PM   #1
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Default Range Bar Volume

Since I've started using Ninja for stock data I've noticed an issue with the way Range bars report their volume. You rarely if ever see this with futures data, but on stocks it's common to have a tick now and then which is far removed from the current action. When this happens, Ninja has to build a string of range bars leading to the new location. So far so good, but the problem is that Ninja puts the volume from this trade on the _first_ bar it builds, instead of the last one. It's the last bar it has to build where the trading volume took place.

The logic in @BarTypes picks the volume for AddBar() like so:
isFirstNewBar ? volume : 1,

... and I guess using 1 for all the empty bars is to avoid poorly-written indicators crashing on 0-volume bars? I don't really care about that part... but "volume" should really not go to the firstNewBar, and I think the logic should change so that it goes to the last bar Ninja has to build.

The screenshot shows an example of the issue if the description above is not clear. Let me know if there's any other information you need. As you can see in my example, the misplaced volume can be sizeable, so people that track volume by price on range bars would appreciate it if this were addressed.


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File Type: png priceVolume.PNG (56.0 KB, 27 views)
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Old 03-30-2012, 02:14 PM   #2
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Thanks for the detailed report.

I will need to write this into development for the expected and defined behavior.

Please let us know if you have anything else you wish to add.
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Old 04-03-2012, 10:03 AM   #3
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Thank you for bringing this to our attention. As it currently exists, the volume will be associated with the first bar, however we understand how it would be expected for this to show up on the last bar.

We highly value feedback from users like you and genuinely appreciate you spending the time to provide us the details you contributed in this thread and this will be considered in our feature discussion for a future NinjaTrader release. Your input has been entered into our tracking system and assigned ID # 1676

Please let me know if there is anything we can do for you.
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