Order Flow Market Depth Map

[SuperDriveGuy]

Hi ,
The Order Flow Market Depth Map currently displays 10 levels on each side(bid and ask), is there any way to increase this? especially with CME MBO, 10 levels seems a bit low. I get the FULL MBO market depth in the NT DOM e.g. 100 levels. the datafeed is Rithmic.

Thanks

[Johnny Santiago]

I believe if you open the indicator and tick the box "Extend last known value", it will continue to show more than 10 levels once it goes past the 10.

[SuperDriveGuy]

I believe if you open the indicator and tick the box "Extend last known value", it will continue to show more than 10 levels once it goes past the 10.

Hi Johnny,
Thanks for that, but that is not what I meant. I meant like in the in SuperDOM, you can configure to show more than 10 levels, in the example below I am displaying 25 levels on the NQ on the DOM.

Some platforms like BookMap, Jigsaw display the whole MarketDepth

[NinjaTrader_Tyler]

Hello SuperDriveGuy,

Thanks for posting.

It isn't possible to adjust the indicator to load more market depth levels, but as Johnny Santiago pointed out, if 'Extend last known value' is enabled, then values from previous bars will be carried over in order to fill out more levels. The following link contains more information about this indicator:

https://ninjatrader.com/support/helpGuides/nt8/order_flow_market_depth_map.htm

Please let me know if I may be of further assistance.

[SuperDriveGuy]

Hello SuperDriveGuy,

Thanks for posting.

It isn't possible to adjust the indicator to load more market depth levels, but as Johnny Santiago pointed out, if 'Extend last known value' is enabled, then values from previous bars will be carried over in order to fill out more levels. The following link contains more information about this indicator:

https://ninjatrader.com/support/helpGuides/nt8/order_flow_market_depth_map.htm

Please let me know if I may be of further assistance.

Hi Tyler,
Thanks for the quick response. I am aware it is not configurable to show more levels

I was hoping someone would pick this up as a feature request/enhancement to show more than 10 levels. I can understand that there might be a memory or CPU overhead to handling this amount of data, but maybe bump it up to a manageable level(say 25 levels) or 100 levels, with the caveat about memory and CPU.

I hope I am making sense.
Thanks,

SDG

[NinjaTrader_Tyler]

Thank you for the suggestion.

I have submitted this as a feature request to the Development Team. I will follow up with an internal tracking number for your reference as soon as it is created.

Thanks in advance for your patience.

[SuperDriveGuy]

In fact, it does sometime(atleast today) seem to go beyond the 10 levels.

Attached chart from today where a level of ES 3016(capture.jpg) is shown whereas ES hasn't traded above 3002 today. This chart is just for today, in fact there is another level way higher at 3031(capture2.jpg), out of frame which I will include as well. So it seems the levels are available, just not being displayed(overview with capture3.jpg).

[NinjaTrader_Tyler]

Hello SuperDriveGuy,

Thanks for your reply.

I'm unsure what's causing orders to show at those price levels, since the Market Depth Map only calculates off of real-time data and those prices haven't been hit by the ES today, as you stated. So I may test on my end, may I ask for a screenshot of your indicator settings for the market depth map, and what data feed you're using?

I look forward to being of assistance.

[SuperDriveGuy]

Hello SuperDriveGuy,

Thanks for your reply.

I'm unsure what's causing orders to show at those price levels, since the Market Depth Map only calculates off of real-time data and those prices haven't been hit by the ES today, as you stated. So I may test on my end, may I ask for a screenshot of your indicator settings for the market depth map, and what data feed you're using?

I look forward to being of assistance.

Again, Thanks for your quick response.

I am using Rithmic with Amp, its has FULL market depth capability.

I have attached a screenshot of my indicator settings.

[NinjaTrader_Tyler]

I'm unable to replicate this using a Rithmic data feed- if you right-click the chart and select 'Reload all historical data', do these prices still show in the market depth map?

[SuperDriveGuy]

I'm unable to replicate this using a Rithmic data feed- if you right-click the chart and select 'Reload all historical data', do these prices still show in the market depth map?

Hi Tyler,
Its not a recurring thing, I noticed this for the first time AND that too only during that period, the chart resumed to "normal" 10 levels later as I could tell by the returning of the chart to the normal zoom level(all this without any interaction on my part).

Reload historical data now shows only the latest 10 levels and nothing from the period in question, I guess between 1 to 3 PM(EST). I am in Europe CEST(GMT+2).

[NinjaTrader_Tyler]

It sounds like there may have been some bad ticks coming in through your Rithmic feed. If the problem reoccurs, don't hesitate to write in to PlatformSupport[AT]NinjaTrader[DOT]com to have us take a closer look.

[SuperDriveGuy]

It sounds like there may have been some bad ticks coming in through your Rithmic feed. If the problem reoccurs, don't hesitate to write in to PlatformSupport[AT]NinjaTrader[DOT]com to have us take a closer look.

Thanks for your response Tyler.

I think, its more likely that there is an issue with the indicator than the data. I will explain below.

ES always receives the FULL market depth
1. as I have the Rithmic Data feed,
2. as can be proved by setting the DOM to show more than 10 levels, say 100 levels, which would include the price points of 3016 shown when price was at 3002.

Its possible that the level limiting(10 levels as per the help notes, see below) mechanism on the indicator has failed, this needs to be looked at OR rather it needs to be extended to show more LEVELS

====
After applying the Order Flow Market Depth Map it will begin to plot off of real time level II data (Display mode Historical Depth shown), up to 10 levels per side of the market.
With the ES chart below there are 20 real-time market depth values, 10 at bid or below and 10 at ask or above. By default, depth values received at higher or lower values will be extended to the current bars.
====


I hope I am making sense.

Regards,

SDG

[NinjaTrader_Tyler]

Hello SuperDriveGuy,

Thanks for your reply.

If you can find steps to recreate the behavior of market prices outside of the current session's range showing in the Order Flow Market Depth Map, please provide us with these steps so we may investigate on our end. I've as yet been unable to recreate this in any of my charts using a Rithmic data feed.

I will follow up with an internal tracking number for your feature request as soon as it is created.

I look forward to being of further assistance.

[SuperDriveGuy]

Hello SuperDriveGuy,

Thanks for your reply.

If you can find steps to recreate the behavior of market prices outside of the current session's range showing in the Order Flow Market Depth Map, please provide us with these steps so we may investigate on our end. I've as yet been unable to recreate this in any of my charts using a Rithmic data feed.

I will follow up with an internal tracking number for your feature request as soon as it is created.

I look forward to being of further assistance.

Hi Tyler,
Just got this.. on ES.

Just keep a chart of ES running with "OrderFlowMarketDepthMap" and it will pop up, no special steps required.

attached screenshot see 3014 and 2992 levels, I would say this happened between 09:30 and 09:32 EST