OnMarketData timing with OnBarUpdate

[ct]

I would think OnMarketData is executed before OnBarUpdate for a tick?

The question is about FirstTickOfBar. Since I can't get FirstTickOfBar inside of OnMarketData. If I am accumulating volume in OnMarketData where is the cutoff for including everything in the same bar and not losing the first tick.

If I zero out my accumulators in OnBarUpdate on FirstTickOfBar would I lose the first tick volume if I did this?

I can get the right numbers I just need to know what the timing relationship is.

Cheers.

[NinjaTrader_Bertrand]

ct, I believe you could reset this in OnBarUpdate() and then reference one bar back to start your accumulation with this last tick's data as inital new bar value?

[ct]

Bertrand

not clear on "then reference one bar back to start your accumulation with this last tick's data as initial new bar value". By one bar do you mean one tick of the onmarketupdate routine? If so I understand.

Any clue why the volume looks high in comparison to the vol indicator? I can send you my code.

[NinjaTrader_JoshP]

ct,

What Bertrand probably meant was that you can do this from OnBarUpdate() and just use FirstTickOfBar. When you check FirstTickOfBar and then back reference one bar with [1] instead of [0] you get all the information of the bar that just closed since the event to start a new bar is exactly the same event as the one that closes the previous bar.

Not sure where exactly you are comparing volumes with each other. Remember the VOL indicator would need to be run with CalculateOnBarClose = false for you to see the VOL of the latest bar.

[ct]

Josh

Thanks for the clarification.

I am comparing completed bars. See attached. Not the lines on the bars in panel 2. That is updownvolume indicator. The lines are about 20% of the onmarketdata bars.

[NinjaTrader_JoshP]

ct,

Looks to me you are looking at two different instruments with the different indicators.

[ct]

Josh

You scared me for a sec. I did have the same indicator twice but panel 2 is only the fdax instrument.

Panel 3 is the fesx.

[NinjaTrader_JoshP]

Sorry, not sure what you mean. Aren't you comparing panel 2 to panel 3? FDAX and FESX would be different instruments so this would not be a valid comparison.

[ct]

Josh

Can I send this indicator so you can take a look to see why my volume looks high? Not looking for a debug but would like to get that issue resolved.

[NinjaTrader_JoshP]

ct,

Please attach it here with instructions on how to set it up and what to look for. Thank you.

[ct]

Josh

Can I email it?

[NinjaTrader_JoshP]

Sure thing. Please send it to support [at] ninjatrader [dot] com with Attn: Josh in the subject line and a link to this thread. Thank you.