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Can you explain Volume and Volume Bid&Ask ?

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    Can you explain Volume and Volume Bid&Ask ?

    My goal is to plot Bid/Ask volume (for historical bars) when I load chart (without MarketReplay).

    Code:
    AddDataSeries(Instrument.FullName, BarsPeriod.BarsPeriodType, BarsPeriod.Value, MarketDataType.Bid);
    AddDataSeries(Instrument.FullName, BarsPeriod.BarsPeriodType, BarsPeriod.Value, MarketDataType.Ask);

    in OnBarUpdate:

    Code:
    myPlot_1[0] = Volume[0];
    myPlot_2[0] = Volumes[1][0];
    myPlot_2[0] = Volumes[2][0];
    for example, on ES, i see such values :

    plot_1 --> i.e. 156
    plot_2 --> i.e. 2514
    plot_3 --> i.e. 2193

    (and across all bars, the numbers are like that)

    My question is, how Bid and Ask volumes are more than main volume?
    How they work and where I can get familiar of what does bid/ask volumes represent (as opposed of primary volume?)
    i need some more knowledge in this subject.

    Last edited by TazoTodua; 08-25-2019, 07:26 AM.

    #2
    Hello TazoTodua,

    The ask and bid historical data would be what is downloaded from the data provider or brokerage connection you are connected to.
    (Viewable in the Tools -> Historical Data window)

    I would recommend talking with the data provider or broker about these values, however from my understanding the ask and bid data may include non-qualifying trades depending on the provider.
    Chelsea B.NinjaTrader Customer Service

    Comment


      #3
      like in your free-2 week trial data, if you plot i.e. 1 minute @ES (last price), 1 minute @ES (bid) and 1 minute ask, you will see like this:
      https://i.imgur.com/yc4MYy3.png

      Comment


        #4
        Hello TazoTodua,

        If you are referring to a CQG/Continuum 14-day demo, I would recommend contacting CQG to ask about their data.
        Chelsea B.NinjaTrader Customer Service

        Comment

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