DMvolume indicator demonstration

[FREEN]

This post demonstrates the use of the DMvolume indicator found in the file sharing section. The dynamically modulated volume indicator aims to neutralize the parabolic behaviour of trading activity in the course of a trading session. The effect is most obious on high volume securities and indices. In this example TNA traded on NYSE is used.

Unmodulated volume

High volume at start and end of trading sessions hides volume peaks.

Modulated volume

The parabolics are neutralized and relevant peaks more easily distinquished.

Modulated volume with 20 day avg zeroline

Visualizing volume as percentage from a 20 day avg zeroline reveals peaks more clearly.

Modulated colored volume with 20 day avg zeroline

With the "Price" colorscheme bars are colored green for pos pricemoves, red for neg pricemoves.

Happy trading and thanks to everyone contributing to the NT forum knowledgebase!

//FREEN

[NinjaTrader_Joydeep]

Hello FREEN,
Thanks for your contribution.

I have added the link for the indicator

Link to the indicator

Direct download link to the indicator

[FREEN]

Thanks Joydeep. Would you mind adding a link from the indicator to this demo as well?! The indicator slipped away before i did : )

Have a nice weekend!

[stockgoblin]

hmmm, I can't seem to get this indicator to display. I see the label but no info or price markers. Any clue why this would be?

I have live intraday data but no level II.

[draime]

I have the same issue. Nothing shows in the indicator panel, is just empty, (except indicator label).

I tried to add it on 5 minute 6E futures hart, and i do have level 2 data if that is even needed (as i understand it is not, is just volume based not bid/ask).

Any ideas? Do we need to play with the numbers in settings?

[FREEN]

The two most likely reasons are:

1) Less than 20 day are loaded
2) The stock/data provider doesn´t hold volume data

To check if there is Volume data for the stock try the "VOL" indicator provided with NinjaTrader. If you don´t get data, that´s the cause. If you do get data, I will look for bugs in the DM volume indicator.

Kindly let me know when you´ve tried.

Have a nice weekend!

[draime]

The two most likely reasons are:

1) Less than 20 day are loaded
2) The stock/data provider doesn´t hold volume data

To check if there is Volume data for the stock try the "VOL" indicator provided with NinjaTrader. If you don´t get data, that´s the cause. If you do get data, I will look for bugs in the DM volume indicator.

Kindly let me know when you´ve tried.

Have a nice weekend!

Hi

Thanks for the reply.

I am testing this on futures, not stocks. I have data from CQG. It should not make a difference though because all the points you mentioned are valid. I have 30 days of 5 minute bars loaded, and there is volume available. I attached an image.

Edit: I just tried with stocks (AAPL) , using MB Trading for data and same issue. I loaded more then 30 days of history and i tried more timeframes and settings, all charts looks like the one i posted.

[FREEN]

If the NT "VOL" indicator shows data there´s probably an issue with the DMvolume indicator. It might be because of the template beeing used. I don´t subscribe to a data stream at the moment, so unfortunately I can´t replicate.

-What happends if you load TNA on a "US Equities RTH" template as per the example?
-Are you loading the AAPL as provided by default in NT? If not, what happens if you do?

[koganam]

Hi

Thanks for the reply.

I am testing this on futures, not stocks. I have data from CQG. It should not make a difference though because all the points you mentioned are valid. I have 30 days of 5 minute bars loaded, and there is volume available. I attached an image.

Edit: I just tried with stocks (AAPL) , using MB Trading for data and same issue. I loaded more then 30 days of history and i tried more timeframes and settings, all charts looks like the one i posted.

Any errors in your log?

[draime]

Same thing happens with any chart template or instrument. I tried US RTH, Default 24/7, Instrument default, etc with both stocks and futures.

Actually there is an error on the log:

"Error on calling 'OnBarUpdate' method for indicator 'DMvolume' on bar 1402: You are accessing an index with a value that is invalid since its out of range. I.E. accessing a series [barsAgo] with a value of 5 when there are only 4 bars on the chart."

The bar number can vary, it is different based on chart loaded. I assume is the last bar on the chart.. can't really count them all

[FREEN]

Well that´s classic error by now. I need to get a data stream going to replicate it before a can narrow down on the problem. Thanks for pointing it out. I´ll be back once it´s resolved.

Meanwhile you might ask yourself if this indicator is of much use for the ES contracts that are traded 23 h 25 min 5/7 and where the bulk of volume still is traded day hours?! Is the parabolic behaviour with high volume at start and end of session really that much of a problem?! It´s definitely a problem in the 6˝ hour NYSE/NASDAQ sessions where the first and last minutes can exceed mid day trading by 10-20 fold. You might concider monitoring SP500 volume instead as an ES trader. Just a reflection.

[FREEN]

Ok, found the problem. The indicator uses the first loaded day as a "template". If any of the subsequent loaded days holds more bars (for whatever reason) the indicator will crash. Also the indicator might crash on low volumes. This makes the indicator picky. Changing "days to load" (another start day is used as a template) might solve the issue. If there´s interest I´ll recode to dodge that. In high volume stocks traded at NYSE/NASDAQ it shouldn´t be a problem since these seem to be more consistent in the number of loaded bars per day. Personally I never had the problem when using it on TNA.

Usually it´s better to monitor a stocks mother index volume (like VIRT.Z for the Russell 2000´s). I´ll try to release such an indicator where index volumes are secondary series.

If anyone would like to contribute on the code feel free to drop me a PM. There´s lot´s of ideas for secondary indicators on marketvolume.com

Sorry for the inconvenience to those having banged their heads getting this thing going.

[FREEN]

Code to indicator

Here´s the code for anyone interested. The one in the download section is the dll version. Please let me know if you continue the work.

//FREEN

[mase2005]

I am very interested in this DMvolume indicator. Can anyone convert to NT8?

[NinjaTrader_Kate]

Hello mase2005,

Thank you for your reply.

As a general rule, we in the support department cannot convert an indicator on your behalf. I will leave this open in case one of our forum members or the original author would like to assist.

As a note, the version up on the User App Share has been removed as it was distributed as a DLL. FREEN , I have sent you an email regarding this removal, and you are welcome to reupload an open source version.

Please let us know if we may be of further assistance.