How to calculate total Volume@ForEachPrice in a given period?

[bohenriksen]

Hi everyone.

I'd like to know how I can calculate the correct volume@price for a given period.
So for instance, I'd like to calculate the total volume for each price that was traded during 9.30-16.15.

I've tried the following for each bar:

Dictionary<string, double> d_prices = new Dictionary<string, double>();
private bool get_all_price_volume_pairs_for_current_bar()
{

double ticksize = Bars.Instrument.MasterInstrument.TickSize;
double high = Bars.GetHigh(CurrentBar);
double low = Bars.GetLow(CurrentBar);
double theprice = 0;

NinjaTrader.NinjaScript.BarsTypes.VolumetricBarsTy pe barsType = BarsArray[2].BarsType as//Bars.BarsSeries.BarsType as
NinjaTrader.NinjaScript.BarsTypes.VolumetricBarsTy pe;


for(double price = high;price >= low; price -= ticksize)
{

double volume = barsType.Volumes[CurrentBar].GetTotalVolumeForPrice(price);

if (volume == 0)
continue;

if(d_prices.ContainsKey(price.ToString()))
{
d_prices[price.ToString()] += volume;

} else {
d_prices.Add(price.ToString(),volume);
}

}
return true;
}


However, this doesn't seem to get me exactly the correct volume for say 200 bars if I measure with other indicators.

Anyone who can help me please?

Thanks!

Bo

[NinjaTrader_Jesse]

Hello bohenriksen,

Welcome to the NinjaTrader support forums.

From what is provided I am not sure what difference you are seeing to really suggest anything. Have you tried a very short period to output values and see where it specifically deviates? Is this different on every bar or is this happening in a specific area?

How are you currently doing the comparison? it looks like you are adding the volumetric data as a secondary series, are you comparing that against another volumetric chart? Have you also tried to use the volumetric the primary series and apply this directly to the volumetric chart as shown in the help guide sample? Does that make a different in accumulation?

Another thought that goes along with the secondary series would be that you have no filtering shown in the sample, are you using BarsInProgress and calling this during a specific BarsInProgress or just all the time?

I look forward to being of further assistance.

[bohenriksen]

Hi Jesse,
thanks so much for your answer.

I found out that I was doing it correct, but had wrong session info loaded :-).

Thank you

Best,
Bo