All GomRecorder Indicators

[Flyingscots]

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.

[gomifromparis]

Could you guys do a ninja historical data export and compare it against the flat file ? If it's missing half data, differences should be obvious.
Careful datatime is GMT in Gom File.

[Flyingscots]

Hi Gomi
I wrote down the figures showed by the Market Analyzer at some exact moment during the day and then I simply made the sum of the volume recorded in your file txt for the same time interval. I know this is not a very accurate system but, in about 5 hours, I found a difference of more than 260'000 contracts not just a few.
Even more, if I sum the figures on the GomLadder (total volume) I get a number much lower than the Daily Volume. Maybe I am doing something wrong. Is the Daily Volume the right volume to compare? Could you help me, please?

[beowulfit]

when did u start the ladder??
if u dont have historical its not gonna be the same. simple sense

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).

[timmyb]

You can see total volumes are 29070, but in gomi ladder there are only 14810... and it worse during the day.

when did u start the ladder??
if u dont have historical its not gonna be the same. simple sense

[gomifromparis]

I double checked the txt file created by the GomRecorder and it is not correct.

Hi,
how did you check ?

thanks

[Flyingscots]

GomRecorder

Hi again Gomi
I double checked the txt file created by the GomRecorder and it is not correct. The file is FGBL 03-11 from 10:29:28 (GMT) to 15:58:55 (GMT): the total volume is about 288'000 contracts while the volume showed by the Market Analyzer is around 577'000. So I believe the problem lies in the GomRecoder itself. Am I wrong? Maybe I did not set the GomRecoder in the correct way?
Thanks for your answer

[Flyingscots]

GomLadder

Hi Gomi
Could you be so kind to help me once again? I have the same problem highlighted by beowulfit. As you can check the total volume showed by the GomLadder does not match the volume showed by the Time and Sales or by the Market Analyzer. Apparently the txt file generated by the GomRecorder is correct, so the problem could lie in the GomLadder.
Thank you in advance

[beowulfit]

You can see total volumes are 29070, but in gomi ladder there are only 14810... and it worse during the day.

[zacharydw00]

Gomi un-official User Manual

I copied Gomi's instructional postings into this .doc file. If you find any omissions or updates that are missing from this file, please update it. Thx.

12-01-2010- Updated doc

[gomifromparis]

No, 6.5 support dropped.

[Elmi]

Gomi does the new version Works for 6.5?

[gomifromparis]

Hi Guys and Gals,

I've now upgraded to GomPackage 2.1
It's now located in BigMike trading forums in elite section, which will require 50 USD membership.

http://www.bigmiketrading.com/elite-circle/6802-gomrecorder-2-a.html

Here is the changelog:

GomRecorderIndicator

Architecture

*Added a Data access abstraction layer, Gom.IDataManager, that allows to dynamically add data providers without the need to modify the Recorder


File Management

*Added a recording mode setting that allows to record one file per day, or one big file (like 1.3b mode). Default is to create one file per day, which allows simpler data exchange and file maintenance. Files are split at 00:00 GMT

*Added the Millisec format, where Time[0] is replaced by DateTime.Now, so obviously will only record correctly real-time. The recorder will try to find the offset between the computer and the Exchange and show it on the plots.
Millisec indicators are Millisec file format (binary), and Flat (make sure you select Use Millisec)

Note on Millisec indicators : the millisec format is only useful if :
*you use millisec designed indicators
*your network jitter is small : your lag with the exchange must remain constant. Check the indicated lag on the chart, or for a visual analysis you can check GomTimeMeasure here :Exchange Data Delay Test . It will give a histogram of your network lag. For millisec to be any useful, your network lag must stay constant, or move a few millisecs. If it moves around the mean value about 500 ms, the millisec format is pretty useless, because you're not recording with millisec precision.

*The recorder is now able to read IR, QCollector, QCollectorIQ and Ninja export files directly, in read-only mode

*Like in1.3b you can define the Recording Folder by setting the GOMFOLDER environment variable to whatever path you want.
see How to Add, Remove or Edit Environment variables in Windows 7? for instructions.

*Remember you MUST enable Write Data to true for one indicator per instrument, or recording won't happen.

*As in 1.3b, the recorder can't write date before the last known tick. In 1.3b the only solution was to delete the whole data file and run replays to repopulate, now with 2.0 you only have to delete the file corresponding to the date you want to repopulate. Careful : files are split at 00:00 GMT

* added a three-state status when recording : OK,KO and NotNeeded. With the new version, the write file is not opened until there is a tick to write. So at first status is NotNeeded, then after the first tick we get OK or KO. This avoids seeing OK when actually the recorder isn't recording.

*Changed the file format and recording mode to Parameters instead of Settings category, so now they've gone up in the properties. The advantage is that you can select them when you do a composed indicator, like EMA of GomCD., or EMA of any Recorder based indicator. You can now choose format and mode. As a result dropped GomCDMA.

*You can instantiate GomCDs using
gcd = GomCD(GomCDCalculationModeType.BidAsk, GomCDChartType.CumulativeChart, "Binary",Gom.FileModeType.OnePerDay, GomFilterModeType.None, 1, false);


Methods for inherited indicators

*Added a GomOnStartUp and GomOnTermination for those wishing access to NT7's OnStartUp and OnTermination

*Added OnMarketData done to allow better performance.
When OnBarUpdate triggers, the following happens :

Recorder calls GomOnBarUpdate
Recorder sends ticks through GomOnMarketData
Recorder calls GomOnBarUpdateDone

So to have best performance, initialize your internal counters on OnBarUpdate, process them internally in GomOnMarketData and set values to the time series in GomOnMarketDataDone.

*There is now a "standard" method to be read ticks: GomOnMarketData(Gom.MarketDataType e) and access e.Time, e.Volume, e.TickType and e.Price


Tick Renderine Engine

* Added "Volume Split" setting, that will split ticks on constant volume charts. It works on historical (gom file) and real time data. Disable it if you do any kind of volume filtering.

* Improved the tick rendering in "non split" mode, to minimize difference between non-split volume and the constant volume series NT maintains.

* Rewrote tick rendering engine, so that now Gom Volume is 100% the same as Volume[0] on second,tick,volume and range charts. In history and real time. With CalculateOnBarClose=true or false.

* NT7 "new tick model" with OnMarketData firing before OnBarUpdate is now OK.

* Dropped the "compress ticks" mode that was pretty much useless and made the recording functions a real pain to write, so simplified the recording methods as well

*Improved overall performance

*Changed session handling so there shouldn't be problems with multiple session templates


GomDeltaIndicator

Implements Zondor's "Delta Completion" idea, meaning that when the ticktype is unknown or betweenbidask, we use updowntick mode to assign a delta. So each tick has a delta, and when you sum buy delta and sell delta, you get the total volume of the bar. This setting can be changed (It's called delta completion)


Buy accessing Elite section you will also gain access to other cool indicators, including GomVolumeLadder and GomMP (see pics)

[zacharydw00]

Populating GOM data files with Market Replay

I have Market Replay files going back to 2008, and I want to use them to create Gom files. Does anyone know how fast the MR can be run (i.e. 2x, 10x, or maybe 500x) without losing data being written to the Gom file. In other words, if you run MR at 500x will the Gom recorder be able to keep up and write the data correctly with out losing any data?
Thanks,
Zac

EDIT: I have my answer. M/R can be run at 500x without data loss.

[beowulfit]

I'm guessing this is GomMP, a market profile indicator

There is a public beta version here

http://www.bigmiketrading.com/ninjatrader-programming/3529-sort-market-profile-indicator.html

The final version is here in elite memebership section

http://www.bigmiketrading.com/elite-circle/3737-gommp-market-profile-indicator.html

It's based on Gom files so it operates tick by tick.

You can draw daily profiles, bar profiles, color by time, by delta, apply some smoothing, draw POC, VAH, VAL and VWAP, and there is an option to automatically draw HVN/LVN. And other stuff ...

Can you calculate also 3 standard deviation based on vwap? Thx.