Questions regarding NT7/FXCM L1 data and time & sales

[Frostydc4]

Quick question, when trading a live NT7/FXCM setup what do the numbers at specific prices refer to? Do they represent the actual number of lots traded (Either 1k-100k. I understand that this is not a centralized exchange) or do they represent the number of times a specific price level was pinged (or the number of ticks at that specific price level)? I'm inclined to believe the latter. Also, is there a way to capture what the T&S is displaying & replay all of that data within market replay (I'm asking because I downloaded the L1 data from NT/FXCM and the T&S is displaying 1 now. Previously it use to display anything from 1-500 at specific price levels)? Thanks for your help .

[Segwin]

Quick question, when trading a live NT7/FXCM setup what do the numbers at specific prices refer to? Do they represent the actual number of lots traded (Either 1k-100k. I understand that this is not a centralized exchange) or do they represent the number of times a specific price level was pinged (or the number of ticks at that specific price level)? I'm inclined to believe the latter. Also, is there a way to capture what the T&S is displaying & replay all of that data within market replay (I'm asking because I downloaded the L1 data from NT/FXCM and the T&S is displaying 1 now. Previously it use to display anything from 1-500 at specific price levels)? Thanks for your help .

My understanding is the amount of contracts. T&S doesn't port over to market replay.

[NinjaTrader_ChelseaB]

Hello Frostydc4,

I belive you are referring to the Bid and Ask prices shown on the SuperDOM is this correct?

For most instrument types, these show the working orders that are resting at the bid and the ask.

However, when it comes to Forex, level 2 data is generally not provided by any brokers or data providers and volume doesn't really have much meaning. This is because Forex instruments do not have centralized exchanges which can provide this information for the depth of the market.

If this data is provided, it will be displayed in the SuperDOM. That said, the Market Replay data that is downloadable from NinjaTrader is recorded from a data feed that does not provide level 2 data for forex.

[Frostydc4]

Hello Frostydc4,

I belive you are referring to the Bid and Ask prices shown on the SuperDOM is this correct?

For most instrument types, these show the working orders that are resting at the bid and the ask.

However, when it comes to Forex, level 2 data is generally not provided by any brokers or data providers and volume doesn't really have much meaning. This is because Forex instruments do not have centralized exchanges which can provide this information for the depth of the market.

If this data is provided, it will be displayed in the SuperDOM. That said, the Market Replay data that is downloadable from NinjaTrader is recorded from a data feed that does not provide level 2 data for forex.

I'm actually referring to the number of orders listed in the time & sales. I understand that forex does not have a centralized exchange & I wont see anything superdom or L2 related but I do see time & sales data for each incoming tick. I am wondering what each incoming order or tick represents. Is it the number of ticks (or the number of times that price level has been pinged) or is it the actual size of the order/trade placed?

[NinjaTrader_PatrickH]

Hello Frostydc4,

Thank you for your response.

This would be the quantity at that price level.

Please let me know if you have any further questions.

[Frostydc4]

One more question, how do I get the data to print in 1/10 pips during market replay? During RTH the data is displaying in 1/10 pip format (ie. 1.03589) on my market footprint and I am downloading the tick data in that format as well but when I run the replay function the data is only displaying at whole tick intervals both in the footprint as well as volume. Thanks again.

[Segwin]

I'm actually referring to the number of orders listed in the time & sales. I understand that forex does not have a centralized exchange & I wont see anything superdom or L2 related but I do see time & sales data for each incoming tick. I am wondering what each incoming order or tick represents. Is it the number of ticks (or the number of times that price level has been pinged) or is it the actual size of the order/trade placed?

What you're seeing in the T&S for FXCM is the order flow for FXCM only & not for the entire FOREX industry.

On a side note T&S for FXCM works better with NT7. The coding for T&S in NT8 changed.

What is interesting is SSI information from FXCM https://www.dailyfx.com/sentiment

It shows that the majority of traders are on the wrong side of the movement. Take T&S with a grain of salt.

[Frostydc4]

What you're seeing in the T&S for FXCM is the order flow for FXCM only & not for the entire FOREX industry.

On a side note T&S for FXCM works better with NT7. The coding for T&S in NT8 changed.

What is interesting is SSI information from FXCM https://www.dailyfx.com/sentiment

It shows that the majority of traders are on the wrong side of the movement. Take T&S with a grain of salt.

I know and acknowledge that it's a decentralized market but I still find the information very useful and made a few profitable trades off it. I am using NT7 btw.

[NinjaTrader_PatrickH]

Hello Frostydc4,

Thank you for your response.

Under Tools > Options > Data > is the 'Quote Currencies In' set to Pip or TenthPip?

Where are you downloading the Market Replay data from?

I look forward to your response.

[Frostydc4]

Hello Frostydc4,

Thank you for your response.

Under Tools > Options > Data > is the 'Quote Currencies In' set to Pip or TenthPip?

Where are you downloading the Market Replay data from?

I look forward to your response.

I am downloading it via historical data manager > download. Then I select tick, ask, than bid and download. It's straight from fxcm. I downloaded all of 2016 and within historical data manager I can go in and verify each incoming tick for any selected time frame. I am already set up with 1/10 pip quotes but within market replay I am viewing whole tick quotes and volume display. I can't figure out what I am doing wrong. Lol.

[NinjaTrader_PatrickH]

Hello Frostydc4,

Thank you for your response.

So you download historical data from FXCM, but for the Market Replay are you recording it from real-time data by setting up Options > Data > 'Record for market replay'? If not are you downloading from a third party source?

I look forward to your response.

[Frostydc4]

Hello Frostydc4,

Thank you for your response.

So you download historical data from FXCM, but for the Market Replay are you recording it from real-time data by setting up Options > Data > 'Record for market replay'? If not are you downloading from a third party source?

I look forward to your response.

Do I need to have 'record for market replay' checked if I download from historical data manager (I don't have it checked now)? I am not downloading from a 3rd party source. Maybe that is what I am doing wrong! Doh!

Thanks for your feedback

[NinjaTrader_PatrickH]

Hello Frostydc4,

Thank you for your response.

The Historical Data Manager will only download historical data in NinjaTrader 7. To download Market Replay data you must go to File > Utilities > Download Replay Data.

You can disable the recording of live data for market replay if you wish.

Please let me know if you have any questions.