Volume - ASK BID on each price of candle

[kujista]

Hello,

I want to create indicator which show Volume ASK and Volume BID on every price level of last closed candle:

Volume ASK, Volume BID, Price
40, 50, 1002
59, 20, 1001
02, 30, 1000

Is there an easy way how to get Volume ASK and Volume BID of previous Candle on specific price?

Thanks

Paul

[NinjaTrader_ChelseaB]

Hello Paul,

Thank you for your note.

Is this level 1 or level 2 data?

With level 1 data you would save accumulate the volume to a dictionary or similar object as those price levels are hit. This could be from adding an ask and bid series with AddDataSeries or from real-time data in OnMarketData.

With level 2 data a dictionary would still be used but this would be in OnMarketDepth only.

Below are links to examples.

https://ninjatrader.com/support/helpGuides/nt8/creating_your_own_level_ii_dat.htm

http://ninjatrader.com/support/forum/showthread.php?p=503265#post503265

[kujista]

I want only Level 1 data (these are common I expect). The examples are for what level?

[NinjaTrader_ChelseaB]

Hello Paul,

The 'Creating your own Level II data book' demonstrates level 2 data.

The TnSVolumeExample is level 1 data that would be seen in the Time & Sales window.

[juannn]

hello.

I want to compare the volume ask with the bid.

For example, between volume ask in 80.25 with volume bid 80.24.

how can i do this. thank you

[juannn]

Hello NinjaTrader_ChelseaB.

I want to compare the volume ask with the bid.

For example, between volume ask in 80.25 with volume bid 80.24.

how can i do this. thank you

[NinjaTrader_ChelseaB]

Hello juannn,

You can get the ask with GetCurrentAskVolume() and GetCurrentBidVolume().

https://ninjatrader.com/support/helpGuides/nt8/getcurrentaskvolume.htm

https://ninjatrader.com/support/helpGuides/nt8/getcurrentbidvolume.htm

It sounds like you want to subtract the bid from the ask?

Print(GetCurrentAskVolume() - GetCurrentBidVolume());

[juannn]

How can I do it at a certain price?

Thank you

[NinjaTrader_ChelseaB]

Hello juannn,

See post # 2 about Level 2 in OnMarketDepth().

[juannn]

what I want is that when the candlestick closes, the buying volume of candlestick 1 of the High[1] price level is printed. For that I have to use LEVEL 2 and a dictionary?

[NinjaTrader_ChelseaB]

Hello juannn,

Yes, you would need to store all of the Level 2 data in the dictionary, then when the bar closes, get the volume saved at the index of the price.

The Level 1 is at whatever price the current level 1 is, which is continuously changing. If you want the last volume or total volume updated at a specific price, then you need to save the volume when there is volume at that specific price.

[juannn]

I've seen how TwS Volume Example works, and I think it does that. in that code how can I get the priceLevelsAsk[marketDataUpdate.Price.ToString()] that I want? Or would I have to do a whole new code?

[NinjaTrader_ChelseaB]

Hello juannn,

This would depend on what are you wanting..

Yes, if you want level 1 data you could save level 1 data to a dictionary instead.

Typically, if a user is talking about the volume at price levels, like on the superdom, they are referring to level 2.

But yes, use whichever you specifically need.

[juannn]

IN TnSVolumeExample I see that it already saves them in a dictionary, I can't use that one?

[NinjaTrader_ChelseaB]

Hello juannn,

Yes, if you want level 1 data you can use this example.