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Fundamental Problem with Order Flow Market Depth Map - Realtime Depth

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    Fundamental Problem with Order Flow Market Depth Map - Realtime Depth

    This indicator allows the display of both historical and real-time bid ask/data on a chart. The real time bid ask/data can be displayed on the right hand side of the chart and shows all the limit orders either side of the current bid/ask. Intuitively you would expect this information to be identical to that shown on a DOM not withstanding a small delay in the chart response. Unfortunately the two sets of information can vary widely and at times in slow moving markets there can be delays of several seconds or longer before the indicator values catch up with the DOM values.
    The fastest indicator setting you can select is to update on every tick. In other words it is updating when an actual trade occurs. The DOM on the other hand displays the current bid/ask values whether or not a trade has occurred. In slow moving markets the DOM can still move around quickly even though no trades occur. The chart indicator however only shows the bid/ask values when the last trade occurred. If no trade occurs for 20 seconds the chart won't update for 20 seconds! In the meantime the DOM values might have changed numerous times as traders pull or stack their limit orders. The "realtime depth" setting with this indicator is certainly not realtime.
    With this particular indicator there appears to be a need for a true realtime setting.

    #2
    The Market Depth Map indicator is not meant to display in real-time exactly as the SuperDOM does. The Market Depth Map real time display tracks the highest depth received at that price level within that bar. So it does update constantly, but it only changes if there is a new high or a new bar.

    You can read more about the Order Flow Market Depth Map indicator here:

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

    Please let me know if I may be of further assistance.
    Patrick G.NinjaTrader Customer Service

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      #3
      Originally posted by NinjaTrader_PatrickG View Post
      The Market Depth Map indicator is not meant to display in real-time exactly as the SuperDOM does. The Market Depth Map real time display tracks the highest depth received at that price level within that bar. So it does update constantly, but it only changes if there is a new high or a new bar.

      You can read more about the Order Flow Market Depth Map indicator here:

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

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

      If you read the details in the link you have included it opens with the statement in the description "A real-time data indicator ........"
      Further down it says "To more closely match the SuperDOM or Level II window you would need to run the Order Flow Market Depth Map on a 1 tick data series"

      For interest I suggest you load the indicator on a 1 tick chart of FGBL and compare the chart based "real time" bid/ask values with the SuperDOM values. Numerous times I have seen on the DOM a big offer or bid pulled as price gets close. For instance a value of 500 might become150 on the DOM but the chart remains stuck on the 500 value for many seconds because trading is thin.

      My question is: How can anyone make a reasonably informed decision at entry time if you rely on the chart depth values for the real time bid/offer? If no trade occurs there are no new ticks and the chart doesn't update. Order flow trading requires true real time analysis of bids and asks and as an example for a trade entry one might want to put their stop loss on the other side of a very large bid or offer. If that large bid and offer actually disappears as price gets near that is crucial information that you need to know that might change your mind on the trade.

      If you look at programs such as Bookmap and Jigsaw their charts and DOMs show identical information. Surely the NT8 market depth map indicator is an example where the standard "update on every tick" option is simply not good enough or appropriate.

      As I am writing this I have just seen an FGBL example where the inside bid volume on the DOM suddenly dropped to only 35 from a previous value of around 250. The indicator bid value on the chart never dropped until a trade finally occurred many seconds later. In this case the DOM actually gave a warning that price might tick down soon but the chart value for the current bid was already well obsolete and gave no warning as to what might follow.

      If it is NinjaTrader's intention to release chart based market depth tools that are competitive with other platforms then I believe you need to consider how to implement a version of this indicator that updates as bid/ask values update and not just when the market finally ticks up or down.
      Last edited by FMtrader; 12-10-2019, 03:49 AM.

      Comment


        #4
        I do not detect a difference in the SuperDOM vs Order Flow Market Depth Map indicator on a 1 tick chart, however, I do understand how the symptom you described could occur.

        I'll forward your suggested improvements to the Development Team as a feature request. The internal tracking number for your feature request is SFT-3632. Please reference this internal tracking number if you ever have questions regarding this feature request.

        When a feature request is implemented, you'll find it in the release notes:

        http://ninjatrader.com/support/helpG...ease_notes.htm
        Last edited by NinjaTrader_PatrickG; 12-16-2019, 03:43 PM.
        Patrick G.NinjaTrader Customer Service

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