Range Bars Display Imaginary Volume

[KBJ]

When I display a 1-Range bar type, bars are displayed for which there is no volume.

Compare this 1-Range chart:



With this 1-Tick chart:



On both charts, I set the horizontal line spacing to 1-tick of price.

On the above 1-Tick chart, you can see that there are prices that are skipped, whereas with the 1-Range chart the interventing prices are filled in.

I like that, but the 1-Range should show zero volume for the bars that the 1-Tick chart was skipping.

[NinjaTrader_Jason]

Hello KBJ,

I see, thank you for reporting. I can reproduce the same on my end - the substitute range bars that plot during price changes larger than 1 tick have a volume of 1.

I will forward your findings to development and ask if they can replace the 1 volume values by values of zero.

[NinjaTrader_Jason]

Unfortunately, NinjaTrader does not have a concept of zero volume values. Volume of 0 is replaced by a value of 1 by NinjaTrader. If a volume of 0 would be reported, it would throw off many internal NinjaTrader processes and cause many issues.

[KBJ]

Advantages of Displaying Bad and Inaccurate Bar Volumes

Unfortunately, NinjaTrader does not have a concept of zero volume values. Volume of 0 is replaced by a value of 1 by NinjaTrader. If a volume of 0 would be reported, it would throw off many internal NinjaTrader processes and cause many issues.

Jason, Thanks for that info.

Could you please give some examples of the issues that we could expect to see happen when zero-volume bars are created?

I'm asking this because I've downloaded a couple of bar type definitions that apparently explicitly create zero-volume bars to fill in gaps when the price jumps.

The two bar types that I'm thinking of are NoGapRange bars and SbSRenko bars.

Both of these create zero-volume bars from time to time.

I didn't know that NinjaTrader intentionally reported a bad volume on their Range bar types.

Anyway, it makes me wonder exactly what the justification would be, so I know whether it would make sense to change these other bar type definitions so they also output bad volumes.

I didn't write these other bar types but I've figured out how to modify them. Could you please tell me the advantages of having them also display inaccurate volumes?

(I would like too know some specific examples of what the downside is on this. Is there some bug that manifests?)

[RJay]

Unfortunately, NinjaTrader does not have a concept of zero volume values. Volume of 0 is replaced by a value of 1 by NinjaTrader. If a volume of 0 would be reported, it would throw off many internal NinjaTrader processes and cause many issues.

Hi Jason,

This is the VOL indicator or the chart types or both that has this modification?

Thanks,

RJay

[NinjaTrader_Jason]

Hello KBJ,

Unfortunately, I am not sure what issues you could experience. I will contact development for clarification.

@RJay, it refers to the VOL indicator and default bar types in NinjaTrader.

[NinjaTrader_Jason]

Development informed me it will throw off NinjaTrader internals which can manifest itself downstream in unpredictable manners. For example, it can cause issues with order execution in the simulator.