How to get volume at each price level of a historical day bar

[mbesha]

Hi

I would like to get the volume of contracts traded at each price level of a historical day bar. Is there a command like GetVolumeAt[double price] or some other method that accomplishes this? Please give me an idea how this can be achieved. Thanks in advance.

[NinjaTrader_PaulH]

Hello mbesha,

Thanks for your post.

There is no method for obtaining the historical volume at price. (You can use the superdom Volume column to see volume at price but that would be limited to current session)

To create a method to obtain volume at price historically you might review the code in the VolumeProfile Indicator and use Tick Replay to obtain the historical data needed.

Alternatively, if you would like something like that coded there are 3rd party coders we could refer you to or possibly 3rd party vendors that already provide various profiling tools.