Converting Bid/Ask info from TS

[MrPips55]

In Tradestation, I developed a simple code the multiplys the CCI value by the difference between the Upticks and Downticks, as a percentage of their sum. Similar to:

If UpTicks > DownTicks
Bar = CCI * (UpTicks - DownTicks)/(UpTick + DownTicks)//plots blue bar above zero line

If UpTicks < DownTicks
Bar = CCI * (DownTicks - UpTicks)/(UpTick + DownTicks)*(-1)//plots red bar below zero line

If UpTicks = DownTicks
Bar = 0.

Since CCI measures momentum to either side, this indicator would start to show when an uptrend (downtrend) is getting weak.


Any help would be greatly appreciated.

Thanks,

[NinjaTrader_Bertrand]

MrPips55, welcome to our forums here at NinjaTrader!

You would need to code the Up / DnTicks part out yourself unfortunately, more info can be found here - http://www.ninjatrader-support2.com/...ad.php?t=10900

For general NinjaScript indicator programming tutorials, please check into this link - http://www.ninjatrader-support.com/H...verview18.html

If you want this study professionally programmed for you, please contact those NinjaScript consultants - http://www.ninjatrader.com/webnew/pa...injaScript.htm

[MrPips55]

I think I'm getting close, but I get error codes:

I'm getting error codes cs0021 and cs1502, as well as NT1503...





if (FirstTickOfBar)
{
Up = 0;
Down = 0;
RVol = 0;
}
prevTick = currTick;
currTick = Close[0];
if (currTick > prevTick)
Up++;
else if (currTick < prevTick)
Down++;
if (Up > Down)
RVol = ((Up-Down)/(Up + Down))*100;
else if
(Up < Down)
RVol = ((Down -Up)/(Up + Down))*100;

if (CurrentBar == 0)
Value.Set(0);
else
{
double mean = 0;
for (int idx = Math.Min(CurrentBar, Period - 1); idx >= 0; idx--)
mean += Math.Abs(RVol[idx] - SMA(RVol, Period)[0]);
Value.Set((RVol[0] - SMA(RVol, Period)[0]) / (mean == 0 ? 1 : (0.015 * (mean / Math.Min(Period, CurrentBar + 1)))));
}
}

can someone help?

thanks!!!!

[NinjaTrader_Austin]

Hi there, what part of the code do the errors refer to? Can you post the complete code? That would help me pinpoint the errors.

[MrPips55]

Here is the whole code (sorry, couldn't export as zip file, NT says it's not compiled

//
// Copyright (C) 2006, NinjaTrader LLC <www.ninjatrader.com>.
// NinjaTrader reserves the right to modify or overwrite this NinjaScript component with each release.
// Version modified to include uptick and downtick differencial.

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

// This namespace holds all indicators and is required. Do not change it.
namespace NinjaTrader.Indicator
{
/// <summary>
/// The Commodity Channel Index (CCI) measures the variation of a security's price from its statistical mean. High values show

that prices are unusually high compared to average prices whereas low values indicate that prices are unusually low.
/// </summary>
[Description("The Commodity Channel Index (CCI) measures the variation of a security's price from its statistical mean. High

values show that prices are unusually high compared to average prices whereas low values indicate that prices are unusually low.")]
public class MyCCI : Indicator
{
#region Variables
private int period = 14;
public int Up = 0;
public int Down = 0;
public int RVol = 0;
public double currTick = 0;
public double prevTick = 0;
#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()
{
Add(new Plot(Color.Orange, "CCI"));
Add(new Line(Color.DarkGray, 200, "Level 2"));
Add(new Line(Color.DarkGray, 100, "Level 1"));
Add(new Line(Color.DarkGray, 0, "Zero line"));
Add(new Line(Color.DarkGray, -100, "Level -1"));
Add(new Line(Color.DarkGray, -200, "Level -2"));
}

/// <summary>
/// Calculates the indicator value(s) at the current index.
/// </summary>
protected override void OnBarUpdate()
{
if (FirstTickOfBar)
{
Up = 0;
Down = 0;
RVol = 0;
}
prevTick = currTick;
currTick = Close[0];
if (currTick > prevTick)
Up++;
else if (currTick < prevTick)
Down++;
if (Up > Down)
RVol = ((Up-Down)/(Up + Down))*100;
else if
(Up < Down)
RVol = ((Down -Up)/(Up + Down))*100;

if (CurrentBar == 0)
Value.Set(0);
else
{
double mean = 0;
for (int idx = Math.Min(CurrentBar, Period - 1); idx >= 0; idx--)
mean += Math.Abs(RVol[idx] - SMA(RVol, Period)[0]);
Value.Set((RVol[0] - SMA(RVol, Period)[0]) / (mean == 0 ? 1 : (0.015 * (mean / Math.Min(Period,

CurrentBar + 1)))));
}
}

#region Properties
/// <summary>
/// </summary>
[Description("Numbers of bars used for calculations")]
[Category("Parameters")]
public int Period
{
get { return period; }
set { period = Math.Max(1, value); }
}
#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 MyCCI[] cacheMyCCI = null;

private static MyCCI checkMyCCI = new MyCCI();

/// <summary>
/// The Commodity Channel Index (CCI) measures the variation of a security's price from its statistical mean. High values show that

prices are unusually high compared to average prices whereas low values indicate that prices are unusually low.
/// </summary>
/// <returns></returns>
public MyCCI MyCCI(int period)
{
return MyCCI(Input, period);
}

/// <summary>
/// The Commodity Channel Index (CCI) measures the variation of a security's price from its statistical mean. High values show that

prices are unusually high compared to average prices whereas low values indicate that prices are unusually low.
/// </summary>
/// <returns></returns>
public MyCCI MyCCI(Data.IDataSeries input, int period)
{
checkMyCCI.Period = period;
period = checkMyCCI.Period;

if (cacheMyCCI != null)
for (int idx = 0; idx < cacheMyCCI.Length; idx++)
if (cacheMyCCI[idx].Period == period && cacheMyCCI[idx].EqualsInput(input))
return cacheMyCCI[idx];

MyCCI indicator = new MyCCI();
indicator.BarsRequired = BarsRequired;
indicator.CalculateOnBarClose = CalculateOnBarClose;
indicator.Input = input;
indicator.Period = period;
indicator.SetUp();

MyCCI[] tmp = new MyCCI[cacheMyCCI == null ? 1 : cacheMyCCI.Length + 1];
if (cacheMyCCI != null)
cacheMyCCI.CopyTo(tmp, 0);
tmp[tmp.Length - 1] = indicator;
cacheMyCCI = tmp;
Indicators.Add(indicator);

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>
/// The Commodity Channel Index (CCI) measures the variation of a security's price from its statistical mean. High values show that

prices are unusually high compared to average prices whereas low values indicate that prices are unusually low.
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.MyCCI MyCCI(int period)
{
return _indicator.MyCCI(Input, period);
}

/// <summary>
/// The Commodity Channel Index (CCI) measures the variation of a security's price from its statistical mean. High values show that

prices are unusually high compared to average prices whereas low values indicate that prices are unusually low.
/// </summary>
/// <returns></returns>
public Indicator.MyCCI MyCCI(Data.IDataSeries input, int period)
{
return _indicator.MyCCI(input, period);
}

}
}

// This namespace holds all strategies and is required. Do not change it.
namespace NinjaTrader.Strategy
{
public partial class Strategy : StrategyBase
{
/// <summary>
/// The Commodity Channel Index (CCI) measures the variation of a security's price from its statistical mean. High values show that

prices are unusually high compared to average prices whereas low values indicate that prices are unusually low.
/// </summary>
/// <returns></returns>
[Gui.Design.WizardCondition("Indicator")]
public Indicator.MyCCI MyCCI(int period)
{
return _indicator.MyCCI(Input, period);
}

/// <summary>
/// The Commodity Channel Index (CCI) measures the variation of a security's price from its statistical mean. High values show that

prices are unusually high compared to average prices whereas low values indicate that prices are unusually low.
/// </summary>
/// <returns></returns>
public Indicator.MyCCI MyCCI(Data.IDataSeries input, int period)
{
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.MyCCI(input, period);
}

}
}
#endregion

[MrPips55]

And here is a picture of the error codes

the error messages are shown on the pic, with the lines and errors noted by NT compiler

[NinjaTrader_Austin]

All of those errors stem from the fact that RVol is an integer variable, but is called in many functions like it is a DataSeries.

I'm not sure the specifics of what you're trying to accomplish, but I have a feeling that another DataSeries is necessary for your intermediate calculations.

[MrPips55]

Not sure how to fix that

What exactly is a data series? couldn't just be number... I tried to define RVol as a double, and that didn't work either...
I 'stole' the formula from the CCI that comes with Ninja, and replaced "Typical", with RVol.

BTW: thank you so much for the quick replies.

[NinjaTrader_Austin]

A DataSeries is basically just a set/history of double values. There is a reference sample that demonstrates how to use a DataSeries to store calculations values here.