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Volume in automated strategy

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    Volume in automated strategy

    Hello Daniel here again,

    I have another question about automated trading via Ninjascript:

    Is it possible to include current live data in the strategy?
    For example Times & Sales, footprint and orderbook data? I know that Ninjatrader does not offer these functions without an addon.
    But are there any addons that can be integrated into the automated strategy? I want to include the current trading volume per tick, is that possible?

    Greetings!
    Daniel

    #2
    Hello Daniel,

    Thank you for your note.

    Yes all this is possible in NinjaTrader. Time and Sales would be shown in a 1 tick series, which you can see the example below to pull in,

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

    Below would be an example of using orderbook info,

    https://ninjatrader.com/support/foru...ead.php?t=5965

    Would you be able to provide more information by what you mean by footprint?

    I have also attached a sample strategy which demonstrates how you could buy in if the best offer is less than 10 contracts, for another example of using the order book.

    I look forward to your reply.
    Attached Files
    Alan P.NinjaTrader Customer Service

    Comment


      #3
      Hi Alan,

      thank you for your reply!

      In simple terms, i want to trade buy and ask imbalances automatically or want to build a strategy which is working with this data.
      I said footprint, because i want to explain, what i mean. In a footprint addon i see buys and asks which were traded.

      And now I want to build a strategy that evaluates this data and thus finds entries and exits, based on imbalances in the past.
      As a next point I would like to show increased volume at a certain price level (in comparison with the trading volume at the prices around it)

      Furthermore I would like to have big limit orders identified in the order book to include them in the strategy. For this, however, a large order book must be available, with sufficient depth.
      But how can I implement this in my Ninjascript strategy? How can i read the volume at price for example?

      I hope I could clarify my intention.

      Greetings daniel

      Comment


        #4
        Hello Pencil,

        A 1 tick data series is going to contain all trade information, trade+price+size, so you could use this to identify increased volume at certain price levels.

        Regarding where big limit orders are in the book and keeping track of them, you could use the logic contained in the OrderBook info sample I provided in the last post, to identify large orders and at what price. You could then save these to a series, however if the market is greater than 10 ticks away, what is working at this price would not be shown and you would have to assume the limit orders may have been canceled.

        On line 200 of the OrderBook sample you’ll see a print statement, which prints the bid/ask volume and price. So to reference the closest ask, you would reference askRows[0].Price and askRows[0].Volume.

        Please let us know if you need further assistance.
        Alan P.NinjaTrader Customer Service

        Comment


          #5
          Thank you very much again! I will try it now.

          Comment

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