about T&S and Order Flow Trade Detector. is it ready for use in Strategy?

[sergey_z]

Hello
I would like use in my code all info from Time&Sale windows. Like "Ask foreground, Bid foreground" etc. Is it possible?
And I want read info from Indicator Order Flow Trade Detector. is it possible for coding?

Thanks a lot

[NinjaTrader_Jesse]

Hello sergey_z,

Thank you for the questions.

It would not currently be a documented/supported feature to access the general properties of Time and Sales. Are you trying to just access the colors specified in the properties or other time and sales values? It is possible to subscribe to the incoming market data from an indicator/strategy to view the data but the other specific properties that are in the Time and Sales window are unable to be accessed directly.

The trade detector is currently not exposed for NinjaScript access so I will need to put in a feature request here, once I have a feature tracking ID I will update this post.


I look forward to being of further assistance.

[sergey_z]

Hello sergey_z,

Thank you for the questions.

It would not currently be a documented/supported feature to access the general properties of Time and Sales. Are you trying to just access the colors specified in the properties or other time and sales values? It is possible to subscribe to the incoming market data from an indicator/strategy to view the data but the other specific properties that are in the Time and Sales window are unable to be accessed directly.

I would like use all info from T&S. I need more then time and price. How window T&S know that know price is Ask Foreground for example?

[NinjaTrader_Jesse]

Hello sergey_z,

The Time and Sales window is developed to use its own properties in its logic, the Ask Foreground would be used where it is needed to render the results based on the available data.

These properties are just not exposed for other scripts like indicators to use. The existing windows are all developed in specific ways and may or may not have properties which you can access directly from NinjaScript. Some windows are developed in ways which you can access properties, for example, the ChartControl has accessible properties as that is used directly by indicators.

For an example of accessing this data in an indicator and then doing a similar logic, you can see the following post: https://ninjatrader.com/support/foru...841#post785841


I look forward to being of further assistance.

[sergey_z]

Ok. Thanks
But how I can take information about block trades from T&S Window and use it in my Strategy?
Can I use a Market Depth with real time and historical data for calculating Bid and Ask price like in indicator Order Flow Market Depth? Can you give some examples for it?

[NinjaTrader_Jesse]

Hello sergey_z,

You cannot, the time and sales window is its own tool with its own calculations and is not exposed for NinjaScript use so you cannot pull data from it. The data it sees is the same data that your script would see, The block trade information and coloring is done by the time and sales tool and is not specified in the data its self. Because the data its self has no indication that this is a block trade, you would just need to use the incoming volume information to determine that based on your criteria.

OnMarketData generally is not available historically however you can use TickReplay to enable OnMarketData to be called historically to simulate this. https://ninjatrader.com/support/help...sub=tickreplay


I look forward to being of further assistance.

[sergey_z]

Can you explain me please what is criteria of block trades Ninja use? Could you explain the specific criteria which Ninja use for above the Ask and below the Bid Block Trades ?

[sergey_z]

Do you use specific information for recognize Block Trades from price and volume flow?
Do you use any specific Exchange or Data provider ? Because that I understand definition of Block Trades is that I see below.
Your Block Trades is the same that I see in CME site?

https://www.cmegroup.com/clearing/operations-and-deliveries/accepted-trade-types/block-data.html#contractTypes=FUT,OPT,SPD&exchanges=XCBT,XCME,XCEC,DUMX,XNYM&assetClassId=0

https://www.cmegroup.com/education/articles-and-reports/understanding-block-trades.html

[NinjaTrader_Jesse]

Hello sergey_z,

Unfortunately, I cannot detail this directly as this is a tool which I don't have the source code for, however, block trades and the prices being used here are all standard trading concepts which you can read more about online to gain a better understanding of how to do this yourself.

A "block" trade is simply a trade with a large quantity so you can use the volume information that is coming in with the price data to determine if a trade was a block trade or not based on your criteria. For above ask or below bid coloring, because you are creating your own tool this is something you can experiment with and compare it to the colors you see in the existing T&S tool for confirmation. This is likely just a condition checking if the last price was >= the ask or <= the bid prices at the time of the block trade.




I look forward to being of further assistance.