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Order Flow+ Volumetric Bars - prices between bid/ask

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    Order Flow+ Volumetric Bars - prices between bid/ask

    Hi,
    I'm trying to clarify how the Volumetric Bars handle prices between the bid and ask.
    Are they just ignored in the footprint and calculations ? Or are they somehow assigned to either the bid or ask?
    Please advise.
    Many thanks

    #2
    Hello pmbi00,

    While I am unable to provide details about how the internal code of the Volumetric bars works, I can provide a link to an indicator that processes ask and bid data similarly.
    https://ninjatrader.com/support/foru...or#post1100019

    From my understanding if the price is between the bid and ask it would not be included, however, I am not seeing that this is ever the case when using GetAsk() and GetBid().
    Chelsea B.NinjaTrader Customer Service

    Comment


      #3
      Hi,
      Thank you for your note.
      I'm familiar with the link provided and, actually, when watching the T&S (and using the code in this link) you can see (count) the odd occasions when a trade occurs between the bid and ask - in both thin and thick markets.
      For example, I'm currently watching the close in ZN and seeing such prints in the T&S at 02:57pm CT.
      So my question is not about the code per se - but whether these Volumetric bars are correctly presenting footprints and delta/imbalance calculations in the event of trades between the bid and ask?
      Many thanks

      Comment


        #4
        Hello pmbi00,

        To confirm, you are asking if when the last price is between the ask and bid if the volume is added to ask volume or to the bid volume in the Volumetric bars?

        For example if the last was in-between it would always be added to the ask volume (or vice versa)?
        Chelsea B.NinjaTrader Customer Service

        Comment


          #5
          Hi,
          Actually, I just want to clarify that the Volumetric bars present the footprints and calculations correctly in terms of bid/ask delta and imbalance.
          It appears not if a bar includes trades between the bid and the ask.
          In such a case, the total bid/ask volume should not add up to the total bar volume - but it does - hence the query.
          Many thanks
          Last edited by pmbi00; 01-24-2023, 05:13 PM.

          Comment


            #6
            Hello pmbi00,

            I will ask the development team if the Volumetric calculations for delta and imbalance are correct.

            I will let you know any information provided to me.
            Chelsea B.NinjaTrader Customer Service

            Comment


              #7
              Hello pmbi00,

              Development has let me know:
              "When a tick occurs between the bid and ask, it is assigned the based on the previous tick. So If you had a tick occur at the bid then a tick occurred between bid and ask, it would be assigned bid"
              Chelsea B.NinjaTrader Customer Service

              Comment


                #8
                Hi,
                Thank you for the clarification. I think it would be a good idea to add a note on this to the documentation.
                Many thanks.

                Comment

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