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detecting level 2 limit orders

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    detecting level 2 limit orders

    Hello,

    Is there a sample or simple way to detect if limit order greater or equal of certain size was placed in the last couple of bars? How this can be detected programmatically?

    Thanks

    #2
    Hello music_p13,

    Thank you for your post.

    Are you referring to limit orders that you have placed or are you trying to detect order sizes from incoming market data? Please provide additional information or an example so I may better understand your question.

    I look forward to your reply.
    Emily C.NinjaTrader Customer Service

    Comment


      #3
      Hello,

      I am trying to detect limit orders placed by other participants... For example - I like using Order Flow Market Depth indicator with default settings, and I want to see programmatically when a large limit orders appear within current and / or previous bar to trade counter-trend.

      Thanks

      Comment


        #4
        Hello music_p13,

        Thank you for clarifying.

        The data feeds available for NinjaTrader do not include the information you are looking for. Price and volume information is available, but this data is not broken down between different order types with quantity information. We have a breakdown of the available data by provider in our help guide here:

        https://ninjatrader.com/support/help...y_provider.htm

        Please don't hesitate to reach out with any additional questions or concerns.
        Emily C.NinjaTrader Customer Service

        Comment


          #5
          Hello,

          If I am subscribed to level 2 data, how can I detect programmatically the moment that there are let's say 150 limit orders pending 5 ticks above ask price (the data I can see in DOM)? I want to have my custom indicator that can detect once number of limit lots above my ask price exceed certain threshold in real time.

          I think I am referring to https://ninjatrader.com/support/help...arketdepth.htm

          which uses OnMarketDepth event

          I have just looked at https://ninjatrader.com/support/foru...om-in-strategy

          which shows how to access on Market Depth...

          I guess my question now is how to modify that sample to detect if there are let's say 150 limit orders pending x ticks from ask price and the moment it occurs...

          Thanks
          Last edited by music_p13; 10-12-2022, 01:59 PM.

          Comment


            #6
            Hello music_p13,

            Thank you for the clarification.

            If you are looking to get programmatic access to the same data that you see for level II in the SuperDOM, I recommend checking out our reference sample (which was also mentioned in the other post you linked) for creating a level II data book:

            https://ninjatrader.com/support/help...vel_ii_dat.htm

            That script is an example of how to use OnMarketDepth() to access level II depth. This allows you to access the bid sizes and ask sizes (resting orders) at different price levels below and above the current market price. I apologize for the previous confusion; I thought you were looking to have this data broken down even further into specific order sizes at each level. You may be able to monitor changes to the number of resting orders at each level, but this is just data reported from your data provider and may not necessarily signal that it was one single order that raised the number of resting orders at that level.

            Please let us know if we may be of further assistance.
            Emily C.NinjaTrader Customer Service

            Comment

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