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GomCD to reflect merge adjustments

Hi,
With ES rollover from Dec to Mar 11 contract, the impact has been a drop of 5 points. With a merge of the two contracts, the impact the volume profile with GomCD is that now the profile is out of sync by 5 ES points, ie when looking back on profiles, you will note the price/volume profile disparity by -5 pts. How can I manipulate the GomCD data to reflect the effects in points of the new merged contract?

I would appreciate if Gomi or anyone else could provide some direction or guidance. It would be so much better if NT7 could just do this for its users!

Cheers.

[ubp22]

Success!!!!

Thanks for pointing me to that direction. Thin contract so easy to figure out the best limits.

[gomifromparis]

You could try to use the filter on the GomCD, to show only ticks with volume <1000 or 500 or whatever volume limit you may choose.

[ubp22]

I assume that would not be a real time solution?

does anyone have any ideas to "correct" this in rela time. I have asked ninjatrader in the interim.

This makes GOM for the russell unusable. the funny thing is that this has just recently happened, and possibly will be a short term thing.

[gomifromparis]

Not a lot you can do, actually.
see http://forums.dtniq.com/index.cfm?pa...c&topicID=2906
The implied trades are sent real time, so they are stored by the recorder as real T&S, but they are later deleted by the feed, so when you reload your data they disappear from the Ninja main chart, but they are still stored in the Gom file.
One thing you could to is use QCollector to download daily correct history from iqfeed and use the gom converter to create your daily gom files.

[ubp22]

Response regarding Russell spike in GOMcd

Hi Gomi,

The following was an explanation from iqfeed. This is occurring in the Russell, and possibly other exchanges. Investor RT and other trading software does not register this, somehow. Can ninjatrader do the same in GOM, as delta studies are severely effected by this. I'm not sure how these trades are not recorded, but there are no actual prints in time and sales for them, and the jump in volume is the implied trades, which spikes volume analysis, which is incorrect for delta. You can see the spikes in GOM for this implied volume vs the smoother bid/ask trades. Normally, this would not have these spikes, as the actual trades at bid/ask are a lot smaller for the russell. is it possible to have GOM read from the printed sales, vs a total volume which would incorrectly includes the implied trades.
Please advise.



available in an existing futures market. Implied IN spread orders derive from existing outright orders in individual legs. Implied OUT outright orders are derived from a combination of an existing spread order and an existing outright order in one of the individual underlying legs. Implied functionality fills in “holes” in the market. In other words, it allows both spreads and outright futures traders to participate in a specific contract where there would otherwise have been little or no available bids and asks. Such implied quotes are critical to building volume in new electronic markets like the NYMEX energy contracts. This is particularly true with lightly-traded and longer-dated futures and spreads. In mature markets like CME Eurodollars, implied functionality adds an estimated 16.1% to trades and 11.5% to volume at a given point in time. An impressive 44.6% of NYMEX energy trades on CME Globex are achieved via implied trading. So, implied functionality also provides a great deal of liquidity and depth to mature markets.

[gomifromparis]

Hi,

I am getting huge spikes in GOM delta while trading mini russell on the Ice exchange. I asked for the time and sales from iqfeed, and noticed there are massive spikes in the total volume, but this does not correlate with the actual trades printed. For example, at 14:15:45 you'll notice a huge spike in total volume( almost 2200 contracts in 20 seconds), which then spikes on the charted GOM inicator. However, this many actual trades did not occur ( around 20 contracts).

does GOM record off the total volume change, and not the on the change of actual prints (bid/ask sales)? Just wondering, because it appears the Russell is tying into the total volume column, and not the "true" time and sales.

This is making the GOM values charted incorrect, and the spikes are not accurate

Are you sure you are not using the wrong contract with a merge policy ? If you're on a march 2011 contract, try setting merging policy to DoNotMerge and reload historical data.

[gomifromparis]

If you guys use FGBL 03-11 and futures in Merge mode in NT7, you will encounter a problem because you will think you are seeing FGBL 03-11 when Ninja actually shows you FGBL 12-10. But the recorder will record FGBL 03-11. So there will be price and volume differences.First of all make sure you are using the DoNotMerge policy. If it's not the case, do it and reload historical data.

Hi Tim
I am using Euro Bund Future FGBL 03-11.
Thank you

[ubp22]

Mini russell and GOM problem

Hi,

I am getting huge spikes in GOM delta while trading mini russell on the Ice exchange. I asked for the time and sales from iqfeed, and noticed there are massive spikes in the total volume, but this does not correlate with the actual trades printed. For example, at 14:15:45 you'll notice a huge spike in total volume( almost 2200 contracts in 20 seconds), which then spikes on the charted GOM inicator. However, this many actual trades did not occur ( around 20 contracts).

does GOM record off the total volume change, and not the on the change of actual prints (bid/ask sales)? Just wondering, because it appears the Russell is tying into the total volume column, and not the "true" time and sales.

This is making the GOM values charted incorrect, and the spikes are not accurate

[beowulfit]

Well i really don't think its losing anything be honest. anytime it has it has been on the user end of things. I have used it for 2 years comparing in excel etc. In the end it is usually data feed or user end issues. So to further get to the bottom of this.

What instrument are u trading
is chart set to EH or RTH
is recorder started when u start chart. and is this the exact time of contract start time. Basically if the contract starts at 3:30pm central like the ES the prior day, then the chart needs to be on and recording at 3:30 pm central day. if u turn it on the next morning its not gonna be right.
What data feed are you using, I use IQfeed
Are you pressing f5 during the session, if u are each time u do u will lose some data
do you have multiple indicators writing to the same file. You only need one

Anyway I am not trying to sound rude, I just been down this road hundreds of times and it usually 99.99% of the time is end user not using things properly. So lets work together and get you working right. Provide everything the best u can. Also make sure you don't have the filter in the indicator set to anything also. this will also filter out trades. The gom is a very advanced thing and takes a small learning curve. I hihgly recommend googling gom, and you will find a forumn elsewhere that has allot more instructions on its use and possible debugging for you.

Tim

Hi Timmy. I think the problem is what Flyingscots said: I compare Total Volumes sends by the Exchange with what I see on ladder; probably there isn't right to compare those two data. Maybe the Exchange includes volumes aren't crossing through the Time & Sales, so ladder takes right volumes. I'm just a newbie, and so many things are incomprehensible for me.

[Flyingscots]

Hi Tim
I am using Euro Bund Future FGBL 03-11.
Thank you

[timmyb]

Thanks Gomi. I will assume that the GomLadder plots all the contracts showed by the Time and Sales.

IT plots all the contracts traded period. nothing would sneak by if settings are correct. I will see if i can load your instrument. Can u tell me what that instrument is please

Tim

[timmyb]

In the start of session (7:00 GMT).
Bid/Ask calculation mode
Size Filter Mode None
Ladder Type Total Volume
Accumulation Zero Day


During the day I take a few screenshots and calculation with Excel: Ladder loses a lot of data.


P.S. I also compared data in the txt file of gomi recorder, but I have same result: in the txt too there aren't data (yesterday I had half of data recordered).

Well i really don't think its losing anything be honest. anytime it has it has been on the user end of things. I have used it for 2 years comparing in excel etc. In the end it is usually data feed or user end issues. So to further get to the bottom of this.

What instrument are u trading
is chart set to EH or RTH
is recorder started when u start chart. and is this the exact time of contract start time. Basically if the contract starts at 3:30pm central like the ES the prior day, then the chart needs to be on and recording at 3:30 pm central day. if u turn it on the next morning its not gonna be right.
What data feed are you using, I use IQfeed
Are you pressing f5 during the session, if u are each time u do u will lose some data
do you have multiple indicators writing to the same file. You only need one

Anyway I am not trying to sound rude, I just been down this road hundreds of times and it usually 99.99% of the time is end user not using things properly. So lets work together and get you working right. Provide everything the best u can. Also make sure you don't have the filter in the indicator set to anything also. this will also filter out trades. The gom is a very advanced thing and takes a small learning curve. I hihgly recommend googling gom, and you will find a forumn elsewhere that has allot more instructions on its use and possible debugging for you.

Tim

[Flyingscots]

Sorry, I don't know what's the daily volume. I suppose it's sent by the Exchange, but I don't know what it represents. If your Gom file has the same data than the Ninja tick data, I guess you should be ok.

Thanks Gomi. I will assume that the GomLadder plots all the contracts showed by the Time and Sales.

[gomifromparis]

Sorry, I don't know what's the daily volume. I suppose it's sent by the Exchange, but I don't know what it represents. If your Gom file has the same data than the Ninja tick data, I guess you should be ok.

Thanks Gomi. I did it and I didn't find such a difference. The difference is always with the Daily Volume. Are so many contracts traded outside the Time and Sales? I mean, is it correct to compare your flat file to the Daily Volume? I know time is GMT.