Better Volume Indicators – 25 August 2009 (Emini 5 min)
This post is only for NinjaTrader users who want to live on the “bleeding” edge.
One of the most frequent requests I get is for a version of Better Volume for the NinjaTrader platform. NinjaTrader is a great platform but sadly volume traded at the bid or the ask is not readily available, as it is in TradeStation. Anyway, Bruce (my Ninja coding guy) has programmed a workaround that is very elegant.
If you’re interested there’s a link at the bottom of this post, but first some caveats:
- Better Volume has been coded as a Strategy within NinjaTrader. It plots an Indicator but you actually add a Strategy to your chart – this allows the volume traded at the bid and the ask to be calculated.
- The indicator loads Tick data into memory in order to calculate the volume traded at the bid and the ask. The drawback to this is that the indicator will load a maximum of 5 to 10 days worth of Tick data.
- No two data feeds are ever the same – I know they should be, but real life isn’t like that. As a consequence, you will never get the Better Volume indicators to match up exactly using different data feeds or platforms. Having said that though, Better Volume will get the big picture right between platforms and help you analyze the volume traded.
- If you use the Interactive Brokers (IB) data feed for NinjaTrader this indicator will not work properly. The IB data feed is not complete and only reports about one third of all Ticks. This works fine for minute or hourly bars but is worthless for Tick charts or calculating volume traded at the bid or the ask. I’d recommend upgrading up to the Zen-Fire or eSignal data feeds.
As you can tell, I’m quite apprehensive about releasing these indicators but so many followers have asked for them. I’d prefer them to be more robust and able to duplicate what I see on my TradeStation charts. Having said that, here’s a link to the Better Volume Indicator for NinjaTrader.