Determining Median of Bid / Ask Volume over multiple bars

[ScaleInTrading]

Hi there,

Working with code referring to Volumetric bars, I'd like to determine the median bid(!) volume over the last 3 bars.
Is there an easy way to do this?

...I was thinking somehow via concatenating barsType.Volumes[CurrentBar] + barsType.Volumes[priorBar] +... into a new ArrayList (?) and then running GetMedian over the ArrayList?

Any pointers would be appreciated.

Kind regards
Frank

[NinjaTrader_ChelseaB]

Hello Frank,

The issue with using GetMedian() would be that this requires a Series<double>, and Volumes is unfortunately an array of VolumetricData objects.

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

https://ninjatrader.com/support/helpGuides/nt8/order_flow_volumetric_bars2.htm

I think you would have to custom calculate this with custom logic.
The formula is (High + Low) / 2.

So a loop from current bar minus three to the current bar to determine the highest bid volume high in last 3 bars and lowest bid volume in the last 3 bars. Then the saved highest value plus the saved lowest value then divided by two.

Below is a public link to a 3rd party educational site on for loops.

http://www.dotnetperls.com/for

[ScaleInTrading]

Hi Chelsea,

Thanks, just briefly - your comment describes the average, I am actually after the median.
I solved this as follows in the end - for others reference:

List<double> AskVols = new List<double>();
List<double> BidVols = new List<double>();

private double medianVolAsk;
private double medianVolBid;

protected override void OnBarUpdate()
{
for (int myBar = CurrentBar - 1; myBar >= CurrentBar - MedianLookbackBars; myBar--){[INDENT]for(double Lvl = Low[CurrentBar - myBar]; Lvl <= High[CurrentBar - myBar]; Lvl += TickSize){[/INDENT][INDENT=2]AskVols.Add(barsType.Volumes[myBar].GetAskVolumeForPrice(Lvl));[/INDENT][INDENT=2]BidVols.Add(barsType.Volumes[myBar].GetBidVolumeForPrice(Lvl));[/INDENT][INDENT]}[/INDENT]
 }

medianVolAsk = Median(AskVols);
medianVolBid = Median(BidVols);
}
double Median(List<double> xs) {[INDENT]var ys = xs.OrderBy(x => x).ToList();
double mid = (ys.Count - 1) / 2.0;
return (ys[(int)(mid)] + ys[(int)(mid + 0.5)]) / 2;[/INDENT]
 }

[NinjaTrader_ChelseaB]

Hello Frank,

From the help guide:

1. This method should NOT be confused with Median prices defined as (High + Low) / 2. This method returns the statistical median of a series.

The median is average of the highest high and lowest low. In other words its the middle point between the high and the low.