Announcement
Collapse
Looking for a User App or Add-On built by the NinjaTrader community?
Visit NinjaTrader EcoSystem and our free User App Share!
Have a question for the NinjaScript developer community? Open a new thread in our NinjaScript File Sharing Discussion Forum!
Have a question for the NinjaScript developer community? Open a new thread in our NinjaScript File Sharing Discussion Forum!
See more
See less
Partner 728x90
Collapse
NinjaTrader
Session Volume in Ninjascript
Collapse
X
-
Hello madankumars,
Thanks for your reply.
Your code appears correct and I see about the same values. I would have expected the values to be closer to the daily volume value shown so we will look closer at this.
To answer your original question, you can access the same DailyVolume value through OnMarketData(). Here is an example:
protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
{
if (marketDataUpdate.MarketDataType == Data.MarketDataType.DailyVolume)
Print ("Daily Volume: "+marketDataUpdate.Volume);
}
reference: http://ninjatrader.com/support/helpG...aeventargs.htm
-
I tried what you said but the numbers are not adding up.
see below for sample code. I compared the output with the NQ Level 2 Window. the number is off by almost 30,000 during the middle of the session. why? the L2 window shows more than what I can get out of the code, starting from IsFirstBarOfSession.
public class SessionVolume : Indicator
{
//class member variable
private double _volume = 0;
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Calculate = Calculate.OnBarClose;
}
}
protected override void OnBarUpdate()
{
if (Bars.IsFirstBarOfSession)
{
_volume = 0;
}
_volume += Volume[0];
Print(_volume);
}
}
Leave a comment:
-
Hello madankumars,
Thanks for your post and welcome to the NinjaTrader forums.
You can use the Volume per bar and accumulate the volume over whatever period you prefer. If you want to accumulate over an instruments session (trading hours) you can use the property Bars.IsFirstBarOfSession to reset a variable you create as the accumulator and from then on can add each bars Volume[0] to the variable.
References:
Leave a comment:
-
Session Volume in Ninjascript
Tags: None
Latest Posts
Collapse
Topics | Statistics | Last Post | ||
---|---|---|---|---|
Started by r68cervera, Today, 05:29 AM
|
0 responses
2 views
0 likes
|
Last Post
by r68cervera
Today, 05:29 AM
|
||
Started by geddyisodin, Today, 05:20 AM
|
0 responses
3 views
0 likes
|
Last Post
by geddyisodin
Today, 05:20 AM
|
||
Started by JonesJoker, 04-22-2024, 12:23 PM
|
6 responses
33 views
0 likes
|
Last Post
by JonesJoker
Today, 05:14 AM
|
||
Started by GussJ, 03-04-2020, 03:11 PM
|
12 responses
3,239 views
0 likes
|
Last Post
by Leafcutter
Today, 05:08 AM
|
||
Hi
by AveryFlynn
Started by AveryFlynn, Today, 04:57 AM
|
0 responses
6 views
0 likes
|
Last Post
by AveryFlynn
Today, 04:57 AM
|
Leave a comment: