Buy Sell Volume

[NickyD]

I am working with the pre-packaged BuySellVolume indicator that comes with NT8. I am using it to calculate the order flow delta between two pivot points.

I have been comparing the numbers I am getting to charts of other NT users who are doing the same thing ( albeit with proprietary code). Even though my calculation of the total trade volume from pivot to pivot always matches these other charts I'm seeing, the delta volume is often quite different.

Unfortunately I have not been able to compare a chart that was constructed real-time vs these other users, I've only been able to compare historic charts.

Will the BuySellVolume indicator give me reliable results on historic data if I have tick replay enabled?

Any ideas as to why I am seeing such different numbers? I recently added a second one-tick data series to my strategy to increase my back testing efficacy. Am I missing some impact of that? The BuySellVolume indicator needs to be using my primary data series, so I don't think so...

[NinjaTrader_Jim]

Hello NickyD,

Thanks for opening the thread.

Tick Replay would be required to use the ButSellVolume indicator for historical data. The code is relatively simple and it would be expected to give accurate results. The code can be viewed in the NinjaScript Editor as well.

If you are comparing results between other users, I would suggest to make sure that all of the underlying data is identical. The incoming data could be different between providers and the stored data for bid/ask/last may be different as well.

I'll include links for exporting and importing historical data so you can compare the underlying data with a diffchecker or to import the data to another platform for testing.

Exporting Historical Data - https://ninjatrader.com/support/help.../exporting.htm

Importing Historical Data - https://ninjatrader.com/support/help.../importing.htm

If you are seeing different results for the same chart with the same bid/ask/last values between platforms, please let us know.