Order Flow Market Depth Map - Not showing up on blueprint or candlestick charts?

[Spiderbird]

Hi there!

I recently subscribed to level two book data through Interactive Brokers to see a few securities on ARCA and to get book depth (IWM and TNA, for example). I can see the data in the charts just fine, and the other order flow indicators through my lifetime license seem to be working on those securities/charts.

However, the order flow market depth map indicator doesn’t seem to be showing any sort of depth in the background. This happens whether or not the chart is a volumetric chart or a candlestick chart, and I’m trying to figure out how I can troubleshoot it so that I can start seeing that depth map.

I fooled around with different settings, including putting the depth map on its own panel, changing the alignment from left to right and center, as well as trying to see the map from an overlay standpoint. Nothing seems to be coming through.

I do have the indicator set for real time and historical data, but I only have about two days worth. I’m not sure if that’s what’s causing this problem, but I’d like to start troubleshooting it to see if I can get it to work.

For reference, I can see the bid-ask green and blue lines move up and down as price action dictates. I just can’t see anything in the background that shows market depth.
Any help would be appreciated, and thanks for taking time to read this.

[Spiderbird]

For reference, I was looking at these forum posts for some possibilities:

https://ninjatrader.com/support/forum/forum/ninjatrader-8/platform-technical-support-aa/1209754-data-series-on-order-flow-market-depth-map

[NinjaTrader_Gaby]

Hello Spiderbird,

Thank you for your post.

Please send me your log and trace files so that I may look into what occurred.


You can do this by going to the Control Center-> Help-> Email Support


Ensuring 'Log and Trace Files' is checked will include these files. This is checked by default.


Please reference the following ticket number in the body of the email: Case Number: 03564814

[NinjaTrader_Eduardo]

Hello Spiderbird,

Thank you for your post.
Unfortunately, the Order Flow Market Depth Map does not create depth maps using historical data and cannot not show market depth from before the depth map began plotting.

'Real-time Depth' refers to the data display of the real-time Order Flow Market Depth Map values of the currently forming bar which is next to the data series (right, left, overlay).
'Historical' refers to the depth map the indicator plots on the data series (candles) as it receives Level II data over time.

In case your parameters are the reason the depth map is not visible, (despite having Level II data and looking at the current bar) you may try:

• Reducing the '# of market depth levels' parameter (default is 10)
• Toggling between the 'Opacity Distribution' values
• Adjust the colors used for the ask/bid depth for more contrast

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

[Spiderbird]

Hi NinjaTrader_Eduardo and NinjaTrader_Gaby,

Thanks to you both for responding. Before I send the log files over, I do want to mention I tried starting a new 5 minute chart as Eduardo instructed and I couldn't get the indicator to show Market Depth using real time data and toggling those options.

However, I think I figured out what the problem is. It may be a limitation in NT8. I found a really old thread where I had the exact same problem with NYSA ARCA showing Level 2 Book data in NT7. Please scan this forum thread:

https://ninjatrader.com/support/forum/forum/ninjatrader-7/platform-technical-support/72873-ib-level-ii-t-s-data-not-showing-up-in-nt

The question to ask is: Is this exchange now supported in NT8? Can someone confirm?

Thanks in advance!

[Spiderbird]

And with more digging, I think I have my answer. Please let me know if this is not the case. I got this from futures.io:

The Ninjatrader DOM does not support level II data for equities/stocks trading. Moreover their licensed orderflow+ MarketDepthMap also does not support level II.
So far that i have read they complain that they haven't developed the "logic" for adding up the level II bids/ask coming from different market makers.

[Spiderbird]

So after a month of working this out, I discovered I was using an older version of the IB Gateway API. I downloaded a recent version and now my Level 2 windows are showing L2 data. Hooray!

But the above info is correct... the SuperDOM does not show Level 2 data on stocks. I'll just have to use Ninjascript to extract what I'm looking for.