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NinjaTrader
Volume in the DOM
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Originally posted by NinjaTrader_Jason View PostHello Brian,
No worries, thank you for the clarification.
I will forward your suggestion to our development team and ask them if they can add this to the list of future considerations for the software.
Thank you for your feedback.
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me too
I would also really like to see this feature - especially I would like to see the number of contracts that get traded at a price as well as the totals.
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There is an approximate way of doing it.
Suppose there are 1000 contracts at the price level you are entering.
When you send your order you are going to be at:
(1000 +
newOrdersQueuedBeforeYourOrderReached - oldOrdersDeQueuedBeforeYourOrderReached)
The next update on the size at your order level, after your order is acknowledged, gives you an UpperBound. So if the newSize = 1050, your order priority is guaranteed to be less than equal to 1050 (lower number being higher priority)
As the size updates, your position is bounded by MIN(newSize, currentPriority) i.e. it can only move down (higher in the priority list).
Once price reaches your target and orders execute, your priority keeps jumping up. The order SHOULD execute before the upper bound number of trade happen at that price. If it does not, then your broker is not the most efficient when it comes to the exchanges order handling queue (they might be storing orders on their servers, doing cancel/updates etc. which is lowering your execution priority).
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How about like TS Matrix
TS is a crappy product, but their DOM (Matrix) is pretty good. It is static. It is expandable, It shows P/L at each price point while in the trade. It shows a histogram of volume at each price point. It has many features I'd like to see in NT (maybe 7?).
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