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NT7 & Historical [AUTOLINK]Bid[/AUTOLINK]/Ask data - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum

Quoting 

Add("ES 09-09", PeriodType.Tick, 1, MarketDataType.Ask); would provide of course a 1 tick series of ask prices. This will not be a "market replay". I am personally not familiar with foot print style bid/ask chart so I can't answer yay or nay. There will not be a direct correlation of what the bid/ask price was on each tick if that is what you are looking for. You would have to self calculate this.

this is the problem. the bid ask is stored as a separate data series and not part of the tick data (like volume).

NickA 

Hi Mike, To achieve things like market delta (and to do stuff like GOM's without an external database and live capture) you need all 3 available to any indicator as it builds from history tick by tick.

OnMarketData makes bid/ask available (6.5 & 7), and to my knowledge, the bid/ask is now in the db as well. It's all tick by tick.

That was what I was trying to get at, whether or not someone has proven this. I have not, it sounds like cunparis has proven it isn't perhaps.

Mike

I just posted a new and hopefully greatly improved version of the persistent BuySellVolumeTotal indicator at

Download: BuySellVolumeTotal with Data Persistence Feb 18: Version Update NEW! Version G35 updated on Feb 18. (If you already have an older version, please remove it before importing this latest version, or the import may fail. The installer was prepared by NT7. If the import into NT6.5 fails, remove … personZondor

I would greatly appreciate any feedback.

Zondor 

I just posted a new and hopefully greatly improved version of the persistent BuySellVolumeTotal indicator at Download: BuySellVolumeTotal with Data Persistence Feb 18: Version Update NEW! Version G35 updated on Feb 18. (If you already have an older version, please remove it before importing this latest version, or the import may fail. The installer was prepared by NT7. If the import into NT6.5 fails, remove … personZondor I would greatly appreciate any feedback.

Hi Zondor,

How is this different than the GOM CD with cumulative = false?

Can you explain what you mean by a churn when buy volume is nearly equal to sell volume?

Thanks

There is a new version that adds the option of showing the buy volume above, and the sell volumes below, the zero line.

Download: BuySellVolumeTotal with Data Persistence Feb 18: Version Update NEW! Version G35 updated on Feb 18. (If you already have an older version, please remove it before importing this latest version, or the import may fail. The installer was prepared by NT7. If the import into NT6.5 fails, remove … personZondor

The non-cumulative delta is the difference between buys and sells for each bar. so this is similar to Gomi's CD indicator in non-cumulative mode. But we are showing buy and sell volumes, not delta. Non-Cumulative Delta is buy volume minus sell volume for each bar.

The buy and sell volumes in BSVTG3x come from the same place that GCD gets them from.

The idea of churn is volume that doesn't go anywhere, because the buyers and the sellers are deadlocked. Higher volume, less difference between buy and sell volume as a fraction of total volume, and less range denote higher churn.

I hope this turns out to be useful, and certainly would appreciate any feedback.

Zondor 

The idea of churn is volume that doesn't go anywhere, because the buyers and the sellers are deadlocked. Higher volume, less difference between buy and sell volume as a fraction of total volume, and less range denote higher churn.

I wouldn't say deadlocked, it simply means that neither side is being aggressive. I haven't seen any significance when the buy volume & sell volume are equal but I haven't really studied the issue.

The word "churn" can be confusing if we use it in different contexts. In this thread, I have used churn for when price doesn't move much. There can be lots of buying or selling volume and still have churn. In fact this is the most interesting for me, when there are lots of aggressive buyers or sellers and price doesn't move. It means they're running into supply or demand.

cunparis 

I wouldn't say deadlocked, it simply means that neither side is being aggressive. I haven't seen any significance when the buy volume & sell volume are equal but I haven't really studied the issue. The word "churn" can be confusing if we use it in different contexts. In this thread, I have used churn for when price doesn't move much. There can be lots of buying or selling volume and still have churn. In fact this is the most interesting for me, when there are lots of aggressive buyers or sellers and price doesn't move. It means they're running into supply or demand.

I do agree with you about running into supply or demand. Or it can mean that both sides are being aggressive. In any event, it shows a good time to be alert to the possibility of a reversal.

I think we can agree on one of characteristic of churning is price stay within a narrow range of (open - close). Or demand is filled by hidden supply or vice versa, maybe this pic will illustrate my point.

cory 

I think we can agree on one of characteristic of churning is price stay within a narrow range of (open - close). Or demand is filled by hidden supply or vice versa, maybe this pic will illustrate my point.

Thanks Cory. That is the very essence of churn: a high ratio of volume to range. Lots of trading with little price movement.

When this happens, the buying and selling volumes (as determined by trades at or above ask and at or below bid) tend to be pretty close to each other, based on my real time observations.

Zondor 

When this happens, the buying and selling volumes (as determined by trades at or above ask and at or below bid) tend to be pretty close to each other, based on my real time observations.

We agree on churn but this is not my observation. My observation is that the volume is often one-sided as they run into a wall.

image I park a sell limit order for 100000 contracts at 1.3848

you can have tons of aggressive buyers buying but they're not going to push price above 1.3848 until all 100000 of my contracts are sold.

That's the churn that I am talking about when I use the HVC volume pattern.