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Block Volume

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    Block Volume

    I see a Block Volume Indicator in NT8. Can it be used with Strategy Builder? And if so it returns a true or false for a block order in the specified bar? Like in Builder if Bar[1] Block Volume > 80 = True.

    Can it distinguish between Blocks hit on the bid or ask? And can it return a count of blocks seen in a bar? If either is no, maybe a future feature request? Or is it simple to do that I could try?

    Thank you very much.
    Attached Files

    #2
    Hello Trader17,

    Thank you for the post.

    For any indicator, you can determine what it will output by placing it on a chart.

    The BlockVolume indicator produces values from 0 up. This means it does not produce a true/false value but you can compare its numeric value against a number to create a true/false condition. You can also find what indicators output in the help guide along with if they have any custom methods, BlockVolume only outputs a double value and has no custom methods: https://ninjatrader.com/support/help...ub=blockvolume

    To find if an indicator can be used with the builder, you can simply open the builder and try to form a condition with that indicator. I opened the builder and did this, I can see the BlockVolume listed in the indicator list so it could be used.

    Regarding what it can and cannot distinguish, you would need to review the help guide and the indicators code see how this indicator works along with the description of what it does.

    The BlockVolume volume detects block trades and displays how many occurred per bar, so part of what you are asking is true. It does not have any logic specific to ask or bid, or really anything other than detecting block trades. You can certainly modify the indicator to suit your needs, you would just need to do a SaveAs from that script to begin working on a new one.

    I look forward to being of further assistance.

    JesseNinjaTrader Customer Service

    Comment


      #3
      Thank you. So it returns count of how many block trades were in a trade based off the input value. If I use this in a strategy that is using a chart with Volumetric Bars on it with any time period, do I still need to check tick replay in the data Series or add a 1 tick data series in the strategy code like this? Or add the 1 tick series directly in the Data Series Box?

      else if (State == State.Configure)
      {
      AddDataSeries(Data.BarsPeriodType.Tick, 1);
      }

      Thank you very much.

      Comment


        #4
        Hello Trader17,

        So it returns count of how many block trades were in a trade based off the input value
        Just for the sake of clarity, this is not the description of this indicator. It returns specifically the block trades and displays how many occurred per * bar * but you are correct in regard to the input value limiting the value of the block.

        In regard to using this in a strategy, this indicator has nothing to do with volumetric bars, this is strictly using the Volume of the input series. You will need to use "AddDataSeries" for the series it adds just like any other indicator that adds a secondary series. You will get the "hosted script" error otherwise when accessing it from a strategy.

        If you are also using the Volumetric bar type in your script, please use the help guide to know when to add additional data series. The sample we provide surrounding Volumetric bars and accessing their data is very specific. It has specific comments surrounding when to use AddDataSeries and how to access that data.

        https://ninjatrader.com/support/help...tric_bars2.htm

        I look forward to being of further assistance.
        JesseNinjaTrader Customer Service

        Comment


          #5
          Thank you. How do I add a tick data series from Strategy Builder? Also does checking off Tick Replay do the same as in adding a tick series to the data?

          And I see it returns either the total number of trades with a X Block Value specified or the total Volume of all the block trades in a bar too.

          Thank you.

          Comment


            #6
            Hello Trader17,

            Thank you for the reply.

            You can add secondary series in the strategy builder by using the "Additional Data" tab. From that menu you can add secondary series of 1 tick if needed.

            Tick Replay would not be specifically the same as adding a secondary data series, you can read about the TickReplay concept here: https://ninjatrader.com/support/help...sub=tickreplay

            Regarding the BlockVolume, correct that is what the description notes.
            Block volume detects block trades and displays how many occurred per bar. This can be displayed either as trades or volume
            My comment was to correct the wording you used in your description to instead use "bar" and not "trade".
            how many block trades were in a trade should instead be Bar
            Please let me know if I may be of further assistance.
            JesseNinjaTrader Customer Service

            Comment


              #7
              Block volume detects block trades and display how many occurred per bar. This can be displayed either as trades or volume. Historical tick data is required to plot historically.


              Code:
              BlockVolume(int blockSize, CountType countType)
              
              BlockVolume(ISeries<double> input, int blockSize, CountType countType)

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              Last edited by Angus95; 01-07-2019, 12:59 AM.

              Comment


                #8
                What did support say about this?
                Click image for larger version  Name:	fetch?id=1037897.jpg Views:	3 Size:	189.9 KB ID:	1049054

                Comment

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