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Accurate number of trades per day.

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    Accurate number of trades per day.

    Hello-

    What is the correct way to determine the accurate number of trades per day? Adding up the ticks on my tick chart seems very inexact.

    How is this done?
    Thanks.

    #2
    A daily bar's volume should give you the number of contracts that were traded for that day. I believe this is what you're looking for.

    A tick can include multiple trades, so it depends what you mean exactly.
    MatthewNinjaTrader Product Management

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      #3
      I'm not looking for the number of contracts traded--that's easy to see. I'm looking for the number of trades made. The CME has changed the way tick data is reported and I need to know how it's changed so I can adjust my tick charts. Here's an example from a friend who uses TradeStation:

      "For example, on Tuesday, May 26, TradeStation shows (day session only) 1,356,364 contracts traded and 419,228 trades. This = 3.235 contracts per trade."

      When I asked how he got the 419,228 number, he said "it's reported in the data feed for a daily bar. Or you can put on a 1 tick chart with a bar counter that resets at the beginning of the day."

      Does this clear-up my question?

      Comment


        #4
        To my knowledge, data providers do not provide this data in a Dailybar (this may be something tradestation is calculating, but I'm not familiar). I do not know of a way to get this information from a Daily bar, so you may want to ask you friend for clarification. I've checked the CME's website and I do not see this information published there either.

        The 1-tick chart approach is reasonable and you could do this with an indicator, however, please also consider the subtle differences in tick data you can get between providers. For example, your friend quotes 419,228 for that date, but the Kinetick/DTN connection I used to test reports 419,226 -> these sorts of discrepancies are expected due to the way each data provider timestamps and packages their tick data.

        Now with that in mind, we can help you make an indicator to answer your question, however can you clarify if your question pertains specifically to NinjaTrader 8, or are you just asking general? I ask because you have posted in the NinjaTrader 8 Beta section of the forum, although I do not see you on our list of beta tests for NinjaTrader 8, so I would assume you're looking for a calculation method that can be used in NinjaTrader 7 - please correct me if I'm wrong.
        MatthewNinjaTrader Product Management

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          #5
          I'm using NT7, I'm in the wrong section.

          I use CQG on Win 7.

          Comment


            #6
            Hello imalil,

            I have created an indicator that will plot and send to the output window the number of ticks (trades) done on each historical bar. The indicator will only function on Daily and 1440 Minute bars.

            Please, be aware that that the amount of historical tick data that you will be provided will depend on your data feed. Loading more than what can be provided will result in errors. Also be aware that this indicator can be quite CPU intensive if you are trying to load many days.

            Once downloaded, you may import the indicator by:

            From the Control Center window select the menu File > Utilities > Import NinjaScript to open the Import NinjaScript dialog window.

            Select the file you want to import.

            Press the "Open" button.

            Once installed, you may add the indicator to a chart by right-clicking your chart > indicators > Select the Indicator from the list on the left > New > OK
            Attached Files
            Zachary G.NinjaTrader Customer Service

            Comment

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