Gomi has created a framework (a group of inter-related indicators), built around the GOMRecorderIndicator, which allows
NinjaTrader to record
bid/ask volume data and save it to your local computer. Specifically, it stores
bid/ask data (from OnMarketData()) which NinjaTrader itself is not capable of storing. This allows for persistent indicators using the same framework, indicators can read from the local computer storage file(s) and re-assemble the bid/ask data even over multiple NinjaTrader sessions (thereby making it persistent).
The GomRecorderIndicator contains a file class called fm (which stands for file manager). This class has a RecordTick method. Whenever a trade occurs, the fm.RecordTick method is called, and a record is written to a data file that we'll call the GomFile. For each trade, there is one record. The record consists of a timestamp (to the nearest one whole second), an integer representing the TickType, and the price and volume of the trade.
Whenever the fm.RecordTick method is called, it's followed by the GomOnMarketDataWithTime event. This event recovers the tick data from the recorded file and makes it available to be passed on to another indicator.
The TickType is determined by comparing the price of the trade to the most recent bid and ask prices. The most recent bid and ask prices are obtained from the OnMarketData event. The bid price is the e.price when the OnMarket Data DATA TYPE is BID and the ask price is the e.price when the OnMarketData DATA TYPE is ASK.
The TickType records the relationship between the trade price and the bid and ask prices. The values of the TickType correspond to the string values of the TickTypeEnum, a type of C# list called an
ENUMERATION. These values are BelowBid, AtBid, BetweenBidAsk,AtAsk,AboveAsk, and Unknown. So, you see that what the GomRecorder is doing is just recording a ticker
tape, like the
time and sales -- but with that little bit of extra information from the TickType that allows you to characterize a trade as either a Buy or a Sell.
Cumulative Delta can be calculated by keeping a running total of buy volume minus sell volume, and bar by bar
delta can be calculated by starting from zero for each new bar then calculating buy volume minus sell volume just for that bar.
Tip
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BEST OF TRADING 2010 AWARD
GomRecorder was nominated for the Best Indicator Of The Year for 2010, and won 2nd place (Silver).
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You can see all the results here:
Best Of Trading 2010 - Big Mike Trading
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