Historical Ask Bid volume footprint

[tomekas]

Hello,

I am trying to calculate historical ask/bid volume per bar. I can not find the right answer in ninjascript documentation, so I decided to post new thread.

Primary chart 100 ticks
my script:

protected override void Initialize()
{
Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Ask);
Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Bid);
Add(Instrument.FullName, PeriodType.Tick, 1, MarketDataType.Last);

ClearOutputWindow();
CalculateOnBarClose = false;
DisplayInDataBox = false;
}

protected override void OnBarUpdate()
{

// primary data series - chart
if(BarsInProgress == 0)
{
Print("-------");
Print("Chart volume: " + Volume[0]);
Print("Total volume: " + this.totalVolume);
Print("Total ask: " + this.askVolume);
Print("Total bid: " + this.bidVolume);

this.askVolume = 0;
this.bidVolume = 0;
this.totalVolume = 0;
}

// new data series
if(BarsInProgress == 1) this.askVolume += (int)Volumes[1][0];
if(BarsInProgress == 2) this.bidVolume += (int)Volumes[2][0];
if(BarsInProgress == 3) this.totalVolume += (int)Volumes[3][0];
}

Output:

-------
Chart volume: 225
Total volume: 231
Total ask: 1897
Total bid: 3479
-------
Chart volume: 210
Total volume: 189
Total ask: 1629
Total bid: 2818
-------
Chart volume: 196
Total volume: 207
Total ask: 2104
Total bid: 2263


As you see in output,
"Chart volume" is correct value which is displayed on chart
"Total volume" is close to primary volume, but not exact the same, but bid and ask volume is totally different values.

Could anybody help me with this, please?

[NinjaTrader_PaulH]

Hello tomekas,

Thanks for your post and welcome to the forums!

What datafeed are you using and what instrument have you developed your data on?

[tomekas]

Thanks for reply,

I am using kinetick for historical tick data and continuum for real time data.
I am trying to calculate bid/ask volume for GBP futures in this case 6b 09-16.

I am already using footprint chart indicator so I can confirm that historical data is loaded, I can see bid/ask volumes on every price levels, but when I calculate volume by myself it does not match original volume indicator values.

I look forward to hearing from you,
Tomas

[NinjaTrader_PaulH]

Hello

Thanks for your reply.

Ask/Bid series are not executions, they are updates sent out by the exchange. Please refer to this thread for further information: http://ninjatrader.com/support/forum...886#post423886

From the helpguide: The historical bid/ask series holds all bid/ask events sent out by the exchange. This would not be equivalent to the bid/ask at a specific time a trade went off.

HelpGuide reference: http://ninjatrader.com/support/helpG..._ask_serie.htm

[tomekas]

Thanks for information, Paul.