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Old 05-15-2018, 04:36 PM   #1
stefanodp
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Default Odds values in VitVolume

When running the VitVolume indicator, beyond the volumes for ask, bid etc, I noticed that huge values are often stored, like below (They equal the bar closing price).

Please, can you explain me why such behaviour. Why they are not zero, instead?

Code:
UnknownAsk: 6958
UnknownBid: 6958
AtAsk: 2
AtBid: -2
AboveAsk: 4
BelowBid: -3
Difference: 1
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File Type: cs VitVolume.cs (5.2 KB, 11 views)
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Old 05-16-2018, 08:10 AM   #2
NinjaTrader_AlanP
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Hello stefanodp,

Thank you for writing in.

UnknownAsk and Bid look to be calling an AddAndSum method, which logically may be adding values and summing values, giving the values you see.

Regarding why, I would suggest reaching out to the author of the script whose info is at the top of the script.

Please let us know if you need further assistance.
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Old 05-16-2018, 08:18 AM   #3
stefanodp
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Hi,
thank you for the reply.
Yeah, I noticed that method, but the behavior is still odd, since also the other properties (BelowBid, AboveAsk etc.) have a small (and correct) value in most of the case. Those data I wrote respect the volume in a period of a second.

You can see the same behavior not only on UnkownAsk and Bid.

It seems that when volume is zero the bar's closing price is stored, instead.
I will try to contact the author for more info.
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Old 05-17-2018, 07:32 AM   #4
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Hello stefanodp,

there are three possible ways, how volume can be assigned to "Unknown" series:
  • For Historical bars there is no tick-accurate ask/bid data, so the volume is distributed in equal parts into the two "Unknown" series.
  • When indicator is starting up and there is already volume for the currently running bar, it is partitioned into "Unknown" series, too. This is the odd case you describe. All volume afterwards is assigned to the better fitting series.
  • In turbulent times (e.g. NFP) ask/bid assignment can get out of sync and I have to assign the volume to the "Unknown" series, to not lose it.
Regards,
Vitalij
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