Is there a way to combat order-splitting by market makers?

[Instamess]

When looking at the T&S for ES (S&P) for example, you'll see that big orders are often split up into bunches of smaller orders to hide the fact that there's a big player buying/selling. So instead of a block of 300 orders you may get a sequence of orders of 20, 30, 5 or other sizes that total 300.

Of course, it's the total volume of demand vs supply at a given price that determines where price is going but it would be nice to have a better idea of where the big contracts are being pushed through the market.

One way of dealing with the split order flood is to combine all orders that happen within the same millisecond and show that in T&S as a single order. It's not 100% accurate but it would catch a lot of the split order activity.

Is there a way to do this?

[NinjaTrader_Jason]

Hello Instamess,

Unfortunately this is not supported at this time. I will forward your suggestion to combine orders that occurred during the same millisecond in the Time and Sales window to development.

[Instamess]

Brilliant, thanks! It could be achieved via a time variable in the settings window where the user can choose from a time range of a minimum of 0.01 seconds and all orders flowing through within that time frame would appear as a single order.

In the meanwhile, would it be possible to program a solution?

[NinjaTrader_Jason]

Unfortunately I am not aware of a way to program the Time and Sales window so it will combine orders.

[sledge]

I've seen products over the years for sale to do something like this.

When looking at the T&S for ES (S&P) for example, you'll see that big orders are often split up into bunches of smaller orders to hide the fact that there's a big player buying/selling. So instead of a block of 300 orders you may get a sequence of orders of 20, 30, 5 or other sizes that total 300.

Of course, it's the total volume of demand vs supply at a given price that determines where price is going but it would be nice to have a better idea of where the big contracts are being pushed through the market.

One way of dealing with the split order flood is to combine all orders that happen within the same millisecond and show that in T&S as a single order. It's not 100% accurate but it would catch a lot of the split order activity.

Is there a way to do this?

[Instamess]

Any chance you can point me in the right direction with a link, product name or something?

[coolmoss]

Jigsawtrading.com has some tools that do the sort of thing you're talking about, for Ninjatader.

[sledge]

Any chance you can point me in the right direction with a link, product name or something?

Is this also what you describe?

https://www.bigmiketrading.com/ninjatrader-programming/23947-reconstruct-time-sales.html

[coolmoss]

The web site is JigsawTrading.com. They have several T&S reconstruction type tools. I will share this tid bit with you: I've spent a TON of time doing statistical work on large lot size trading and the correlation is almost 100% with small lot (talking the ES here). As near I can tell from research and trading experience, this sort of analysis does not help at all. The exception might be if a trader was doing true scalping for a tick or 2, but does anyone really do that successfully? Just my 2 cents.

[Instamess]

Thanks, guys. coolmoss, I've sent you a PM explaining how I'd use this.
(I didn't post it here because I didn't want to publicly promote a third party product)

I agree, a simple strategy of buying when there are big buying contracts and selling when there are big selling contracts is unlikely to work. Further, if your feed is for the futures contract, often you have institutions playing catchup to @ES.D - they may be on the wrong side and rush to put through orders to get back in line with the main index.

However, there could be other observations. For example, at the end of a bull trend each time price hits a new high if it attracts large buy orders rather than sell orders it often indicates the end of the trend i.e. institutions trying to trap traders (or institutions testing the highs if you prefer).

[NinjaTrader_Jason]

The suggestion to combine orders in the Time and Sales window has been added to the list and is assigned to ID# 2685.

[poseidon_sthlm]

Aggregated T&S in 'NT8 OrderFlow +' ?

Hello?

What is the status for ID# 2685?

Since NT now has released "NT8 OrderFlow +" with a Trade Detector for big trades, wouldn't an option in the T&S window that aggregate splitted market orders be a small but useful enhancement? Large market orders are now splitted up by the CME exchange to match smaller resting / limit orders. I have heard that the algos that are used to aggregate this splitted market orders in the T&S by competing trading plattforms are fairly accurate, above 95%.

/poseidon_sthlm

[NinjaTrader_PatrickG]

This feature request has a new tracking number - SFT-3129.

There is no additional update at this time. I have added your vote, poseidon_sthlm.