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    NinjaTrader - Esignal
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  1. Hello ryker,


    Thank you for your market profile in excel. I recently got turned on to market delta, but I am not a full time trader and can't justify the fees.


    There is a program that will turn my QuoteTracker feed into .csv real-time.


    My broker is MB Trading and will feed quotetracker.


    I will have a live feed for CME futures data and US stocks. I want to trade EUR and AUD currency futures and the ES as well.


    I have read your instructions but need a little coaching on how to set this up, your help is appreciated.



  2. Ok I'll try to be a bit clearer (english is not my native language). If you apply the indicator on a chart, because of no tick backfill, OnBarUpdate will be called only once at the close of the bar and not at every tick so because of that, your average will be: Close[0]/1 as you enter only once in OnBarUpdate. Now if you apply your indicator before start of day, all values before open won't be accurate but as the ticks come through (If CalculateOnBarClose=false), you should see accurate values for your indicator, as OnBarUpdate will be called several times for the same bar. Hope this makes sense now? As for box plot, yes I do use it in S-Plus at work, it can be quite useful. But I'm not sure I understand what you'd like to do with it... How would you measure the volatility?
  3. The logic looks fine but I think you should use this indicator from start of day till end of day without any refresh. Otherwise on historical data your code will return Close[0] / 1.
  4. It looks like that your average price is the close of the bar (would make sense if this indicator has been applied on historical data I think)? Have you tried doing this on an intraday vwap price yet?
  5. About the BarsInProgress, it holds an int value, so it is the index you're looking for here. If you do it this way: for(i = x, x < 499,x++) if(BarsInProgress == x) do something return; You'll end up doing too many operations for nothing (but it also depends on what you're trying to achieve here). Let's say you have an array of weight called myArray, then you need to do that: /// <summary> /// Called on each incoming real time market data event /// </summary> protected override void OnMarketData(MarketDataEv entArgs e) { if (e.MarketDataType != MarketDataType.Last || e.MarketData.Ask == null || e.MarketData.Bid == null) return; if (e.Price >= e.MarketData.Ask.Price) { total++; UVOL += e.Volume * myArray[barsInProgress]; } if (e.Price <= e.MarketData.Bid.Price) { total--; DVOL += e.Volume * myArray[barsInProgress]; } } PS: It's just an example, I'm not entirely sure this is the correct way of calculating UVOL & DVOL. For your question, I think you'll need to create a custom data series of arrays (if possible?) that holds the values you want and then plot that (but I'm not sure I understood what you try to do here). Use if (FirstTickOfBar) to reset your values in OnOrderUpdate with a 5min serie and calculateonbarclose set to false.
  6. I think you can use BarsInProgress as your index here. You need to construct an array with the weight associated to each index and access it using BarsInProgress. You can store lastPrice as well as suggested by BlowFish to calculate the index value. It should not be too hard to implement adding some code in the version of OnMarketData I wrote above. But you're right though, that if you refresh your chart you'll lose everything... I'm not sure that NT7 would bring backfill but at least you'll have backwards compatibility (from what they said on their forum) so you should be able to continue to use your code with NT7.
  7. It would be probably better to write this in OnMarketData I think and not in OnOrderUpdate. As for the loop, I think you should get rid of it, cause as the OnOrderUpdate is fired every new tick, you'll end up adding or substracting 50 times for one tick (hope this makes sense?). You only want to increment total on a new tick. I'm not sure on the calcul that needs to be done. Is it for every new tick, it tick up then total++, if tick down then total--? Uptick if the ask is hit, and downtick if it's the bid. Is that correct? Bump: I think that something like the following should do what you want: /// <summary> /// Called on each incoming real time market data event /// </summary> protected override void OnMarketData(MarketDataEventArgs e) { if (e.MarketDataType != MarketDataType.Last || e.MarketData.Ask == null || e.MarketData.Bid == null) return; if (e.Price >= e.MarketData.Ask.Price) { total++; UVOL += e.Volume; } if (e.Price <= e.MarketData.Bid.Price) { total--; DVOL += e.Volume; } } Remove everything in OnBarUpdate, and only keep it for StrategyPlot, then keep also initialize. Also, I've added calculation for UVOL and DVOL (but not sure if this is correct though). PS: I haven't tested this yet, I've just written it quickly.
  8. I got them for free at esignal (I subscribe to esignal data access + future data + delayed data for futures + cbot minis + ice futures). The sale told me that they were included in the package (although I don't know which one).
  9. I've never done any testing in NT regarding what is the maximum number of instruments we can add in the strategy. But it all depends on your actual setup and also on your computer. I'll run some tests this week by adding a few instruments in a blank strategy and then running some simple calculations on them. As for NT7, I don't think the multi instrument indicator would be too much different thant the multi instrument strategy but NT7 will support multiple cores so if you have a powerful CPU you should be able to have a bigger list than in NT6.5. I saw NeoBreath and it looks quite cool, I don't think that NT7 would have something similar and the multi instrument indicator won't be probably as quick as NeoBreath (although I'd like to be wrong here ).
  10. Hi darth, Using the strategyplot to display markets internals is quite easy to do and also using it to calculate and display some indicators based on a few instruments is quite easy but if the list is too big NT won't handle it (I can't say what is the limit though...). I think you're right by saying that we could bring down the number but it would require some quantitative analysis which would be probably better to do outside NT (you can plug NT to a statistical software). Do you use some statistical software?
  11. ryker

    MP on excel

    Yes it is the problem. The spreadsheet can't fetch the data for you unless you have a bloomberg terminal. If you don't you need to input your data. Also, if you have a realtime feed, you can have a realtime update of the spreadsheet (just need to export the data in the csv file every minute).
  12. ryker

    MP on excel

    Hi Ricardo, Thanks for your suggestions. Will put some in my TODO list, but don't know at all when this is gonna be implemented yet... For the IB and the VA you have some colours on the chart that show them.
  13. ryker

    MP on excel

    Possible, although, I think it's more coming from the data you're using rather than from Excel 2007. Maybe you could send me the data you're trying to use so I can check on my version to see if it works?
  14. ryker

    MP on excel

    You should look also for the possibility to download historical intraday data as live prices through DDE is not ideal. You could ask their support to help you a bit on that, what you should ask for is a way to download into excel (or somewhere else) todays data (1min bars would be ideal). If possible you'll be able to use the spreadsheet efficiently.
  15. ryker

    MP on excel

    Hi, Which version of the spreadsheet do you use? With the latest version of the spreadsheet (version 0.030) you can plot a MP chart throughout the day with no problem (the refresh version doesn't work yet with a merge profile but work well with a split one. Refresh can be done by pressing split and then merge again until I add a fix). I don't understand when you say that cells are not filled, which cells? There is a way to export Tradestation data to a file readable by the spreadsheet so that you'll have an auto refresh possibility. For composite profile: I was thinking of adding that aswell, it won't be too difficult to add but I'm still unclear on which last days will be better to have as a composite profile as I still want to be able to compare today's with a composite one or to compare todays + last week as a composite profile. If you have any suggestions on that I'll be glad to hear them. Thanks
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