Volume Or Range Bars for NinjaTrader® 8
Bars that end on time or range, whichever comes first.
VolumeOrRange bars end their interval at a predetermined volume OR price action range.
These bars are useful for flagging price action that is struggling for direction with a lot of volume. Hence a large number of market participants are initiating positions and they have neither made or lost money. When the market breaks out of one of these areas it's likely to become volatile.
Users can configure VolumeOrRange bars to expire at a maximum number of contracts/shares traded or maximum range (expressed in ticks).. Which ever threshold is met first closes the bar and starts a new one.
Full source code included.