Simple Total FootPrint Bid x Ask

[ketron82]

I'm coming.back from work...sorry for delay. I have used a.wizard creator of ninja and I added only the function OnMarketData. At Home I will add other screen and more details

[ketron82]

Ketron82,

The screenshot you sent shows compile errors but not for the indicator in question. The errors are actually point towards another indicator called ASKBIDPRICE.CS

I would open that file and compile that code.

I would use this function

	protected override void OnMarketData(MarketDataEventArgs e)
{
    // Print some data to the Output window
    if (e.MarketDataType == MarketDataType.Last) 
          Print("Last = " + e.Price + " " + e.Volume);
 
    else if (e.MarketDataType == MarketDataType.Ask)
         Print("Ask = " + e.Price + " " + e.Volume);
    else if (e.MarketDataType == MarketDataType.Bid)
         Print("Bid = " + e.Price + " " + e.Volume);
}

and I have made a Wizard Indicator (ASKBIDPRICE : Indicator) to set a basical setting and next I added this function in the code.

in C++ I have a main program and the subfunction and I recall subfunction from the main......in c# for ninja should be the same...or not?

[NinjaTrader_CalH]

Ketron82,

Just to clarify, are you still receiving an error for the OnMarketData() for the ASKBIDPRICE?

[ketron82]

I think that I made conceptual error becuase I simply follow the WIZARD and at the end I click GENERATE but I get error. Could I have some settings wrong in NinjaCompiler?
I post all my simply step:

1) http://clip2net.com/s/5V9KFp
2) http://clip2net.com/s/5V9M4H
3) http://clip2net.com/s/5V9Obd
4) http://clip2net.com/s/5V9RTM
5) http://clip2net.com/s/5V9SOu
6) http://clip2net.com/s/5V9Yug

P.s. If I solve It....like I do in C++ or MQL....I will add the funcrtion OnMarketData() with only a print command (for begin) to put some value in the OutputWindow.

Many Many thanks and sorry for my elementary english

[NinjaTrader_CalH]

Ketron82,

Can you please send me a ticket to support[at]ninjatrader[dot]com with ATTN Cal in the subject line and a reference to this post in the body.

[ketron82]

The compiling problem was that Ninja compile all the file not compilet yet. With NinjaTrader_Cal that helped me...I removed the other incomplete indicator and the problem has disappeared.

Many thanks again to NinjaTrader_Cal

Now....I will continue experiment and I will post news on this thread

[ketron82]

Well...I started test
For now....I would simply cumulate ask volume and bid vol.
I simply have to compare last price with ask or bid price...and so:
if Last Price==Ask Price --> Volume of last price is ASK
if Last Price==Bid Price --> Volume of last price is BID

and I made this code that working but have some problem yet.

#region Using declarations
using System;
using System.ComponentModel;
using System.Diagnostics;
using System.Drawing;
using System.Drawing.Drawing2D;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Data;
using NinjaTrader.Gui.Chart;
#endregion

// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
    /// <summary>
    /// Enter the description of your new custom indicator here
    /// </summary>
    [Description("Enter the description of your new custom indicator here")]
    public class TEST : Indicator
    {
        #region Variables
        // Wizard generated variables
        // User defined variables (add any user defined variables below)
        public DataSeries price;
		public DataSeries volume;
		public long volask;
		public long volbid;
		public long vol;
		public double prezzo;
		public int count;
		
		#endregion

        /// <summary>
        /// This method is used to configure the indicator and is called once before any bar data is loaded.
        /// </summary>
        protected override void Initialize()
        {
            Overlay				= false;
			double[] price;
			int[] volume;
			volask=0;
			volbid=0;
			prezzo=0;
        }

        /// <summary>
        /// Called on each bar update event (incoming tick)
        /// </summary>
        protected override void OnBarUpdate()
        {
            // Use this method for calculating your indicator values. Assign a value to each
            // plot below by replacing 'Close[0]' with your own formula.

		  
			
		}
        
			protected override void OnMarketData(MarketDataEventArgs e)
{
    // Print some data to the Output window
    if (e.MarketDataType == MarketDataType.Last) 
         { Print("Last = " + e.Price + " " + e.Volume /*+ "// current ask = "+ GetCurrentAsk() + " current bid = "+ GetCurrentBid()*/);
	        prezzo=e.Price;
			vol=e.Volume;
//			if(prezzo==GetCurrentAsk())
//			{volask=e.Volume+volask;
//		     Print(" ###### ASK ######## " + prezzo + "  " + volask);
//			} 
//			if(prezzo==GetCurrentBid())
//			{volbid=e.Volume+volbid;
//		     Print(" ###### BID ######## " + prezzo + "  " + volbid);
//			} 
			
			
	     } 
	else if (e.MarketDataType == MarketDataType.Ask)
		//Print("Ask = " + e.Price + " " + e.Volume);
			{ if(prezzo==e.Price && vol!=0)
				{
					volask=volask+vol;
		     		Print(" ###### ASK ######## Prezzo Last= " + prezzo + " ## Prezzo Ask " + e.Price + " ## Volume ASK= " + volask);
				vol=0;
				}
			} 
	else if (e.MarketDataType == MarketDataType.Bid)
		//Print("Bid = " + e.Price + " " + e.Volume);
			{ if(prezzo==e.Price  && vol!=0)
				{
					volbid=volbid+vol;
		     		Print(" ###### BID ######## Prezzo Last= " + prezzo + " ## Prezzo Bid " + e.Price + " ## Volume BID= " + volbid);
				vol=0;
				}
			} 
	
	
	
	
	
}
        #region Properties

        #endregion
    }
}

#region NinjaScript generated code. Neither change nor remove.
// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
    public partial class Indicator : IndicatorBase
    {
        private TEST[] cacheTEST = null;

        private static TEST checkTEST = new TEST();

        /// <summary>
        /// Enter the description of your new custom indicator here
        /// </summary>
        /// <returns></returns>
        public TEST TEST()
        {
            return TEST(Input);
        }

        /// <summary>
        /// Enter the description of your new custom indicator here
        /// </summary>
        /// <returns></returns>
        public TEST TEST(Data.IDataSeries input)
        {
            if (cacheTEST != null)
                for (int idx = 0; idx < cacheTEST.Length; idx++)
                    if (cacheTEST[idx].EqualsInput(input))
                        return cacheTEST[idx];

            lock (checkTEST)
            {
                if (cacheTEST != null)
                    for (int idx = 0; idx < cacheTEST.Length; idx++)
                        if (cacheTEST[idx].EqualsInput(input))
                            return cacheTEST[idx];

                TEST indicator = new TEST();
                indicator.BarsRequired = BarsRequired;
                indicator.CalculateOnBarClose = CalculateOnBarClose;
#if NT7
                indicator.ForceMaximumBarsLookBack256 = ForceMaximumBarsLookBack256;
                indicator.MaximumBarsLookBack = MaximumBarsLookBack;
#endif
                indicator.Input = input;
                Indicators.Add(indicator);
                indicator.SetUp();

                TEST[] tmp = new TEST[cacheTEST == null ? 1 : cacheTEST.Length + 1];
                if (cacheTEST != null)
                    cacheTEST.CopyTo(tmp, 0);
                tmp[tmp.Length - 1] = indicator;
                cacheTEST = tmp;
                return indicator;
            }
        }
    }
}

// This namespace holds all market analyzer column definitions and is required. Do not change it.
namespace NinjaTrader.MarketAnalyzer
{
    public partial class Column : ColumnBase
    {
        /// <summary>
        /// Enter the description of your new custom indicator here
        /// </summary>
        /// <returns></returns>
        [Gui.Design.WizardCondition("Indicator")]
        public Indicator.TEST TEST()
        {
            return _indicator.TEST(Input);
        }

        /// <summary>
        /// Enter the description of your new custom indicator here
        /// </summary>
        /// <returns></returns>
        public Indicator.TEST TEST(Data.IDataSeries input)
        {
            return _indicator.TEST(input);
        }
    }
}

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
    public partial class Strategy : StrategyBase
    {
        /// <summary>
        /// Enter the description of your new custom indicator here
        /// </summary>
        /// <returns></returns>
        [Gui.Design.WizardCondition("Indicator")]
        public Indicator.TEST TEST()
        {
            return _indicator.TEST(Input);
        }

        /// <summary>
        /// Enter the description of your new custom indicator here
        /// </summary>
        /// <returns></returns>
        public Indicator.TEST TEST(Data.IDataSeries input)
        {
            if (InInitialize && input == null)
                throw new ArgumentException("You only can access an indicator with the default input/bar series from within the 'Initialize()' method");

            return _indicator.TEST(input);
        }
    }
}
#endregion

In the Output Window I saw that sometime....last price is not equal askprice or bid price and I don't know why.

http://clip2net.com/s/5Vwl7O

Can someone help me to modify the code?

P.s. Next step after have solved this problem is to make experiment with array (dataseries) to start a structure to archive footprint in row and column.

TNX to ALL

[ketron82]

when onmarketdata is called....it means that a time and sales changed....or not?
So...how is the sequence?
I make testing but I think that I make conceptual error...!

[ketron82]

I made other tests but I cannot solve this problem....with this simple function, in the Output Windows I sometime read that "last price" is not equal at askprice or bid price....and this is strange.

http://clip2net.com/s/5VJcaG

Any ideas?

protected override void OnMarketData(MarketDataEventArgs e)
			{	
    // Print some data to the Output window
    if (e.MarketDataType == MarketDataType.Last) 
         { 
			//Print("### Last = " + e.Price + " " + e.Volume +  " Bid Price= " + GetCurrentBid() + "  Ask Price= " + GetCurrentAsk());
			
		
		 }	

			
			
	     
//	else if (e.MarketDataType == MarketDataType.Ask)
//		{
//        Print("Ask = " + e.Price + " " + e.Volume);
//	  
//		}	
//	else if (e.MarketDataType == MarketDataType.Bid)
//		{
//	    Print("Bid = " + e.Price + " " + e.Volume);
//	    
//	    }
	
//Print("Posizione = " + vol + "\n\n");
	
			}

[ketron82]

http://clip2net.com/s/5VUpaS

This is the screenshot where I compare MarketDelta (iqfeed) and Ninja (iqfeed).
I think that there is some problem using getcurrentask() or getcurrentbid() in onmarketdata() function....I make a conceptual error but I haven't found a correct logical working of onmarketdata()

How is a best way to use onmarketdata() ?

I made other test without getcurrentask and getcurrentbid but using

else if (e.MarketDataType == MarketDataType.Ask)

but something go wrong however.

Any ideas?

[NinjaTrader_CalH]

Ketron82,

OnMarketData() is a method used to call with ask, bid, last prices in that nature.

When a tick comes in this method will get called and calculate any actions that you have in the method.

As such, you can have the OnMarketData() draw an arrow when a particular data comes in, like a bid price.

Example -

protected override OnMarketData(MarketDataEventArgs e)
{
     if (e.MarketDataType == MarketDataType.Bid)
     {
         //Draw Object here
     }
}

http://www.ninjatrader.com/support/h...aeventargs.htm