Order flow query

[KennyK]

HI, All of the NT8 order flow tools seem to report only the "fill" quantity. I am wondering how to access the actual "order" quantity instead.
I may want to try to program an indicator to report this number. Or modify one of the NT8 OF tools to do it.
Thanks, Ken.

[NinjaTrader_ChrisL]

Hello KennyK, thanks for your post.

Please clarify, by "fill quantity" do you mean the "last" price volume, and you want a way to evaluate volume at bid and ask prices?

I look forward to hearing from you.

[KennyK]

Hi Chris,
Yes I believe I mean by "fill quantity" the "last" price volume. By order quantity I mean all orders filled and un-filled at that price.

If I code an indicator. It will be similar to NT8 OF Delta indicator in it's own window below price. But instead of reporting the delta, would report the total number of orders at the prices within the relevant bar, during the period of the relevant bar.

Cheers.

[NinjaTrader_ChrisL]

Hi KennyK, thanks for your reply.

This is what the Volumetric bartype will do already. It fills in the sell/buy values of each tick level based on the incoming bid/ask price. To do this you would need to override OnMarketData, this gives a stream of bid/ask/and last prices along with their volume.

See here for details on how to get bid/ask updates for historical data when Tick Replay is enabled, see the section titled "Accessing the current best bid and ask at the time of a trade".

Please let me know if you have any additional questions on this material.

[KennyK]

Hi KennyK, thanks for your reply.

This is what the Volumetric bartype will do already. It fills in the sell/buy values of each tick level based on the incoming bid/ask price.

Does this include market orders?

[NinjaTrader_ChrisL]

Hi KennyK,

This does include market orders, it includes all filled orders at those prices. It seems like you might want a price ladder in your code. There is a reference sample for that here. That sample uses the OnMarketDepth method to gather data and stores the volume data in a list.

Please let me know if this does not resolve your inquiry.