I trade the ES using several different tick charts. I am hoping to find (or have created) and indicator that will show me the average trade size for each tick bar. To be more clear, most of my trades are taken from price action on a 3500Tick chart. Is there an indicator available that will show me average trade size of the 3500 trades that make up that bar?

I have no programming skills whatsoever so I dont even know if such a thing is possible. It seem that it would be since I have true Time and Sales data using Kinetick+NT.

Thank you for any insight you may be able to provide.

Cheers.

JamesBahn 

I trade the ES using several different tick charts. I am hoping to find (or have created) and indicator that will show me the average trade size for each tick bar. To be more clear, most of my trades are taken from price action on a 3500Tick chart. Is there an indicator available that will show me average trade size of the 3500 trades that make up that bar? I have no programming skills whatsoever so I dont even know if such a thing is possible. It seem that it would be since I have true Time and Sales data using Kinetick+NT. Thank you for any insight you may be able to provide. Cheers.

The average trade size for a 3,500 tick bar would be the total volume of the bar divided by 3,500. The 3,500 does not change from one bar to the next, so it is sufficient, if you put just a volume indicator on your tick chart.

If you want, you can also modify the volume indicator by dividing the total volume by the number of Ticks, just change the code of the volume indicator from

 

Code

Value.Set(Volume[0]);

to

 

Code

Value Set(Volume[0]/BarsPeriod.Value);

save under a new name and compile via F5. It should now display the average volume per tick. Not tested.

Thanks. I figured it was that simple, but I know absolutely nothing about how to read/write code.

Cheers!

Below is the volume indicator in Ninja 8. Where would you insert

(If you want, you can also modify the volume indicator by dividing the total volume by the number of Ticks, just change the code of the volume indicator from


Code
Value.Set(Volume[0]);
to


Code
Value Set(Volume[0]/BarsPeriod.Value)



public class VOL : Indicator
{
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = Custom.Resource.NinjaScriptIndicatorDescriptionVOL;
Name = Custom.Resource.NinjaScriptIndicatorNameVOL;
BarsRequiredToPlot = 0;
Calculate = Calculate.OnEachTick;
DrawOnPricePanel = false;
IsSuspendedWhileInactive = true;

AddPlot(new Stroke(Brushes.DodgerBlue, 2), PlotStyle.Bar, Custom.Resource.VOLVolume);
AddLine(Brushes.DarkGray, 0, Custom.Resource.NinjaScriptIndicatorZeroLine);
}
else if (State == State.Historical)
{
if (Calculate == Calculate.OnPriceChange)
{
Draw.TextFixed(this, "NinjaScriptInfo", string.Format(Custom.Resource.NinjaScriptOnPriceChangeError, Name), TextPosition.BottomRight);
Log(string.Format(Custom.Resource.NinjaScriptOnPriceChangeError, Name), LogLevel.Error);
}
}
}

protected override void OnBarUpdate()
{
Value[0] = Instrument.MasterInstrument.InstrumentType == InstrumentType.CryptoCurrency ? Core.Globals.ToCryptocurrencyVolume((long)Volume[0]) : Volume[0];
}
}
}

#region NinjaScript generated code. Neither change nor remove.

namespace NinjaTrader.NinjaScript.Indicators
{
public partial class Indicator : NinjaTrader.Gui.NinjaScript.IndicatorRenderBase
{
private VOL[] cacheVOL;
public VOL VOL()
{
return VOL(Input);
}

public VOL VOL(ISeries<double> input)
{
if (cacheVOL != null)
for (int idx = 0; idx < cacheVOL.Length; idx++)
if (cacheVOL[idx] != null && cacheVOL[idx].EqualsInput(input))
return cacheVOL[idx];
return CacheIndicator<VOL>(new VOL(), input, ref cacheVOL);
}
}
}

namespace NinjaTrader.NinjaScript.MarketAnalyzerColumns
{
public partial class MarketAnalyzerColumn : MarketAnalyzerColumnBase
{
public Indicators.VOL VOL()
{
return indicator.VOL(Input);
}

public Indicators.VOL VOL(ISeries<double> input )
{
return indicator.VOL(input);
}
}
}

namespace NinjaTrader.NinjaScript.Strategies
{
public partial class Strategy : NinjaTrader.Gui.NinjaScript.StrategyRenderBase
{
public Indicators.VOL VOL()
{
return indicator.VOL(Input);
}

public Indicators.VOL VOL(ISeries<double> input )
{
return indicator.VOL(input);
}
}
}

#endregion

Not sure if you can bump almost 10 year old thread.

Sent using the NexusFi mobile app

Well is there an indicator to show average trade size for ninja8. Or can you suggest a line of code to add to ninja 8 volume indicator