|08-28-2012, 08:17 AM||#1|
Join Date: Aug 2012
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Block trade volume
I'm new to NT and completely out of my depth with indicator scripting so I am wondering if there is a kindly soul out there who might be interested in my thoughts below for a simple volume indicator and have a go at scripting it?
I am interested in filtering volume for block trades (with a user-definable block-size parameter). The logic being that size moves the market and small lots are essentially just noise.
I am not convinced that discriminating between hitting bid or ask would be of great value since in a key reversal bar springing at ice for example, initial blocks would be being hit at the bid as retail/specs are selling in anticipation of a break-down and then as the CM reverses the market and prices start to mark up blocks will be hit on the ask as shorts are covered - all in one bar.
While it would be fine for the indicator to be placed in it's own pane, the option to overlay the value (as a coloured portion) on the standard volume histogram would be nice and save space.
I get the impression there might be the issue of data loss/restart each time the indicator is adjusted as per the 'BuySell' series of indicators as a consequence of deriving the input data from Time and Sales, or has this issue now been resolved?
Here's hoping - with fingers crossed!
|08-28-2012, 08:46 AM||#2|
NinjaTrader Customer Service
Join Date: Aug 2011
Location: Denver, CO, USA
Thanked 387 times in 375 posts
You could discuss with a NinjaScript consultant, however hopefully someone else can help here.
Adam P.NinjaTrader Customer Service
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