Level II/Tick Volume Indicator

[j0hnth0m]

I have developed an indicator that displays Level II and Tick Volume data on the price chart in a way that I think my be helpful during scalping. I have posted an article and download for this indicator here.

Here's a screen shot to pique you interest...



I would really appreciate any feed back.

Thanks.

[dwalls]

j0hnth0m,
This looks pretty neat. Very interesting.
I will put it on a chart for a while to see how it works.
I have seen other indicators similar to this and they
can be very CPU intensive.
Would you consider this one very CPU intensive?

Thanks for sharing.

[j0hnth0m]

j0hnth0m,
This looks pretty neat. Very interesting.
I will put it on a chart for a while to see how it works.
I have seen other indicators similar to this and they
can be very CPU intensive.
Would you consider this one very CPU intensive?

Thanks for sharing.

Actually I have it running on six charts and am not noticing any impact/ However I do have a quad-processor so I'm not sure. Let me know how it goes for you though. Thanks.

[j0hnth0m]

Thanks to dwalls comments I have made an enhancement to this indicator as follows....

If you downloaded this zip file before 2/8/2009 10:00PM CST then you might want to re-download to get the latest updates.

An additional configuration parameter was added to improve performance of the Level 2 data update. The previous version only took snap-shots of the Level 2 data at each new tick. This can cause the data to become very stale if the market is moving slowly.

The new configuration parameter will cause the Level 2 data to update no more than once every 10 (configurable) milliseconds if there is new Level 2 data available. This value can be changed to suite you needs. 10 milliseconds seems to give up enough CPU time to limit the impact the real-time updates might have on your PC's performance. Setting the delay to a very high number will effectively put it back to once per tick. That may be acceptable depending on your needs. Setting this value to zero will give real-time updates equivalent to what the NinjaTrader Level II window does. This however may slow other things down so use with caution.

I run NinjaTrader on a quad-processor machine and have had no adverse effects at 10 milliseconds.

[dwalls]

Hi j0hnth0m,
After watching this for just the first couple hours this morning, I have a couple observations. Based on the ES.
1) The colored horizontal lines that line up with the Level 2 data are on top of the candlesticks, making them difficult to see.
Is it possible to make the colors go behind the candlesticks or use more translucent type colors allowing the candlesticks to appear to be in the front?

2) Also, maybe you could have an option to turn on/off the horizonatal colors altogether...for those how may not need them...leaving just the Level 2 data visable.


3) The colored horizontal Level 2 lines go all the way across the chart (depending on the amount of volume at each level) making it difficult to really see those levels correctly. Is it maybe possible to show those level amounts differently...maybe by compressing those level amounts by percentage or something like that...so the volume of the levels can be seen in, say, the last 10,20 or 30 bars back...instead of going all the way across the chart.

Just some of my observations.

Great work on this indicator.

Thanks for your time and sharing.

dwalls

[j0hnth0m]

UPDATE 3

More updates to assist in readability of the Level II data. You can now adjust the opacity of the histogram bars so that the price bars can be seen through the histogram. Hopefully this will be adequate as I have not found a way to make the histogram bars print behind the price bars. Also, the histogram bars are now scaled so that they will not cover more than 1/4 of the chart width. You may also turn off the histogram bars leaving just the volume levels and totals.

[dwalls]

Hey there,
I think all the changes you have made are great.
The Histogram bars are alot better now too.

Nice job.

Thanks

[kissandfly]

Great indicator. Thanks. Nice job
but ,
does someone found a strategy that works with it ?
because I tried already erlier on some automated strategies but never successfull.
any ideas ?

[eDanny]

Good job on the indicator, however the colors on the volume bar revert to transparent upon restarting NT. Or is it just me?

[j0hnth0m]

I have seen this too. Not sure why these properties are getting persisted. I have yet to figure this one out.

[warrior]

Hi John, thanks for an interesting indicator. One question on the vertical volume progress bar, any reason you chose to use volume above/below previous close vs. simply going with the current bar's bid/ask volume only (similar to buysellvolume ninja indicator)? i.e. on the current bar plot the volume going at bid green and ask as red etc, i wonder if that relfects current bars closing probability better...

[eDanny]

graphics.FillRectangle(new SolidBrush(Color.Cyan), higherRect);
graphics.FillRectangle(new SolidBrush(Color.Black), sameRect);
graphics.FillRectangle(new SolidBrush(Color.Fuchsia), lowerRect);
//graphics.FillRectangle(new SolidBrush(VolHigherColor), higherRect);
//graphics.FillRectangle(new SolidBrush(VolSameColor), sameRect);
//graphics.FillRectangle(new SolidBrush(VolLowerColor), lowerRect);

Not using color variables solves the problems.

[j0hnth0m]

graphics.FillRectangle(new SolidBrush(Color.Cyan), higherRect);
graphics.FillRectangle(new SolidBrush(Color.Black), sameRect);
graphics.FillRectangle(new SolidBrush(Color.Fuchsia), lowerRect);
//graphics.FillRectangle(new SolidBrush(VolHigherColor), higherRect);
//graphics.FillRectangle(new SolidBrush(VolSameColor), sameRect);
//graphics.FillRectangle(new SolidBrush(VolLowerColor), lowerRect);

Not using color variables solves the problems.

Thanks. I'll make that change.

[j0hnth0m]

Hi John, thanks for an interesting indicator. One question on the vertical volume progress bar, any reason you chose to use volume above/below previous close vs. simply going with the current bar's bid/ask volume only (similar to buysellvolume ninja indicator)? i.e. on the current bar plot the volume going at bid green and ask as red etc, i wonder if that relfects current bars closing probability better...

The difference is that I am actually counting traded volume rather than bid/ask potential volume which can be seen in the Level II data as the inside most pair of values.

[dwalls]

Hi there,
Another idea.
How about adding a Cumulative Bid/Ask Ratio number somewhere near the Cumulative Bid or Cumulative ask totals.
This ratio would update with the changes to the Cumulative Bid/Ask totals.
In the screenshot below the Cumulative Bid total is 2940 and the Cumulative Ask total is 5021...a ratio of 1.71.
Maybe it could change colors based on the which Cumulative Bid or Ask ratio is higher.
Just a thought.
Great work on this indicator.