DrawingTool. How to get acces to bid/ask volumes for each price level?

[handlar]

Hi,

I'm going to create my custom Drawing Tool. What It shoul do?

I click on bar and I then I get the price level with max volume for this bar. In order select max volue, I need see all volumes for each price level.

I've got High and Low prices for clicked Bar, but I can't find, where volumes store for each price level for each bar

[NinjaTrader_Jim]

Hello handlar,

Thanks for your post.

Our OF+ Volume Profile Drawing Tool will have to approach this task, but as it is closed source I am asking others in the office if they can share some more information that may be happening behind the scenes.

Off the top of my head, getting volume at price could be accomplished using OnMarketData or adding a single tick data series and taking a Multi Time Frame approach in an indicator, but there are greater challenges when using a Drawing Tool.

From the Drawing Tool, you can reference ChartBars, but you cannot reference any added data series. OnMarketData and OnMarketDepth also are not much help since those are for realtime processing.

I think the solution would involve making BarsRequests for single tick data and then to process the requested data to accumulate volume at price.

I'll update this post when I can offer further direction.

[handlar]

When I write as usually:

"protected override void OnMarketData(MarketDataEventArgs e) { ....}"

Then I catch an error:
"The type or namespace name 'MarketDataEventArgs' could not be found (are you missing a using directive or an assembly reference?)"

Maybe I need add some code in "using" section in order use OnMarketData in DrawingTool?

[NinjaTrader_Jim]

Hello handlar,

MarketDataEventArgs is in NinjaTrader.Data. Using OnMarketData from a Drawing Tool would require having the drawing object subscribe to MarketData events as would be done in an AddOn. I do not think using OnMarketData would be of much help here since it would use realtime data and the idea of the drawing tool would be for historical analysis.

Publicly available reference on subscribing to MarketData events can be found here - https://ninjatrader.com/support/help...marketdata.htm

I'm still investigating this and waiting on feedback from others in the office. When I can give some clearer direction, I will update the thread.

If you have any additional questions in the meantime, please don't hesitate to ask.

[NinjaTrader_Jim]

Hello handlar,

Thanks for your patience.

I have gotten word back from others that are familiar with the Volume Profile Drawing Tool and they have confirmed that the Order Flow + Volume Profile Drawing Tool does in fact perform Bars Requests to obtain the single tick data needed to analyze the volume at each price level.

I do not have an example Drawing Tool built that can demonstrate this further, but I can include an indicator that demonstrates multi time frame analysis on a single tick data series which the OF+ tools use for historical analysis. (This indicator can be compared against our BuySellPressure indicator which uses OnMarketData.) I have also included a documentation link to BarsRequests that can show how these are set up.

BarsRequest - https://ninjatrader.com/support/help...arsrequest.htm

Please let us know if you need any further assistance in accomplishing your goal.

[handlar]

Hello Jim,
Why I can't see definition for Bars.BarsType.IsIntraday here https://ninjatrader.com/support/help...arsrequest.htm

What does Bars.BarsType.IsIntraday mean?

String #63 in file VolumeProfile.cs

if (!Bars.BarsType.IsIntraday)
return sessionDateTmp;

[NinjaTrader_Jim]

Hello handlar,

BarsRequest would be for requesting bars data and creating an OnBarUpdate method to process those bars.

We do not have a documentation page for the IsIntraday property of a BarsType, but Bars.BarsType.IsIntraday would represent the if the bartype that was added is an intraday bar or is built with daily data. For example: BarsPeriodType = BarsPeriodType.Minute or BarsPeriodType = BarsPeriodType.Day.

Let us know if we can be of further assistance.

[handlar]

Hi Jim,
Many thanks for the answers!

With a more detailed explore of the issue, it turned out that it was easier to create an indicator than a DrawingTool for my volume profile. The core of the functionality is ready!