• If this is your first visit, you will have to register before you can post. To view messages, please scroll below and select the forum that you would like to visits. Questions? Be sure to check out the Forum FAQ.

Announcement

Collapse
No announcement yet.

Partner 728x90

Collapse

Cumulative volume at price in the DOM

Collapse
X
  • Filter
  • Time
  • Show
Clear All
new posts

    Cumulative volume at price in the DOM

    I think it would be extremely helpful to lots of NT traders out there to have the option of cumulative volume at price on the DOM. As i believe it compliments a lot of different trading strategies. The settings dont matter to me much i personally would love to see the volume build at price from the momnet the DOM is opened and maybe an option to reset the volume to start over again. Any one else care for this? Maybe some one with the resources should start a pevtion to send to NT so they can see how many traders would like this. I think they will be surprised!

    #2
    Hi upullit4,

    Thank you for your post, and welcome to the NinjaTrader Support Forum.

    If you were to right click on the SuperDOM and then select Properties you can set the 'Show Cumulative Depth' Property to True.

    However, this Cumulative Depth will show a sixth row in the Buy and Sell columns for a total depth, and since this is not quite the same as the request you have made I have forwarded this suggestion to development for inclusion on the list of possible future enhancements.

    Otherwise, you could use the File-->New-->Level II window for more depth levels. More information at:
    http://www.ninjatrader.com/support/h...l?level_ii.htm
    Ryan ONinjaTrader Customer Service

    Comment


      #3
      Hi Ryan
      I wasn't referring to the depth of market, im referring to the cumulative volume that builds at each price. For every contract that trades at that price it would be nice to see the volume build there.
      Mike

      Comment


        #4
        Hi Mike,

        Thank you for that clarification, and with charts there is an indicator in real-time called Volume Profile that may do something similar to what you are looking for. More information at:
        http://www.ninjatrader.com/support/h...indicators.htm

        Additionally, some of our third party providers offer a Market Profile indicator that may do that as well.
        http://www.fin-alg.com/product.html
        Ryan ONinjaTrader Customer Service

        Comment


          #5
          Hey Ryan are these indicators plotted on the chart or the DOM?
          thanks for the help
          Mike

          Comment


            #6
            Hi Mike,

            These would be chart indicators, but with the update you have provided I have updated the suggestion to development to be a cumulative depth at individual price levels for the SuperDOM.

            In the meantime though these chart indicators might be akin to what you are looking to do with the SuperDOM as it relates to volume.
            Ryan ONinjaTrader Customer Service

            Comment


              #7
              Forget about Ninjatrader DOM volume. It will never come out.

              NT can't implement that. Why ? The DOM is patented from Trading Technologies and NT has made contact with them to use it.

              http://www.tradingtechnologies.com/n...Settlement.pdf

              Its appearance is determined from TT not from NT.

              Comment


                #8
                Thanks for the clarification Eduard.

                Comment


                  #9
                  So you want the volume..

                  Originally posted by upullit4 View Post
                  I think it would be extremely helpful to lots of NT traders out there to have the option of cumulative volume at price on the DOM. As i believe it compliments a lot of different trading strategies. The settings dont matter to me much i personally would love to see the volume build at price from the momnet the DOM is opened and maybe an option to reset the volume to start over again. Any one else care for this? Maybe some one with the resources should start a pevtion to send to NT so they can see how many traders would like this. I think they will be surprised!


                  Tricky nut, and users will totally have to code for it. The issue is getting the extended data (volume) and having it NOT POOF WHEN YOU LOAD/CHANGE/ADD SOMETHING NEW TO THE GORAM CHART. Ninja either has been negligent on this simple functionality or as one previous post mentioned it's gonna cost coin to implement it and thus falls on work arounds and development from the user base.

                  What your looking for is not the DOM however you can look at the GOM Recorder or Richard's idea over at MoveTheMarkets

                  Richard posted a follow up http://www.movethemarkets.com/discus...d-issue-fixed/

                  Richard programmed a new Bar Type to get to the tick by tick data for todays session. With that new Bar Type its much easier to look at todays Cumulative Delta/Uptick and Downtick even while adding/subtracting/whatever with indicators.

                  Gomi has done extensive development on recording the data for extended use and you can read up here on the NT forums.

                  Ninjatrader does some funky resetting of the cache after a days roll over but for quick and easy, and todays data it does a great job.

                  Now coding a DOM API thats free and open source that addresses this issue? Possible, but not likely.

                  Comment


                    #10
                    Echoeversky,

                    The solution from the guys over at Move The Markets looks very promising. Do you know if one can also integrate historical Bid/Ask volume (from the current session) into a custom indicator/strategy when using their indicator?

                    What I have in mind is something like: if BidVolume[0] > BidVolume[1] then etc...
                    This hasn't been possible so far because Ninja obviously wouldn't store the BidVolume from the previous bar.

                    Thanks
                    Last edited by laocoon; 01-17-2011, 04:52 AM.

                    Comment


                      #11
                      Market Delta, GOM indicator etc.. are very good tools for scalping but for longer term trading they produce too many noise.

                      Comment


                        #12
                        Here's a code snipit from something I've been working on.

                        As for why something is in all 3 places read http://www.movethemarkets.com/downloads/rwt/rwt004/

                        I want a Moving Average of Cumulative Delta (Here as the HoltEMA), then for my voting system I can look at the Rising or Falling of that Moving Average.

                        There are other tools like TVI and TradeCount which could be brought in, and calculated against in similar fashion.

                        This depends on the RichBar empowered Bar Type since it will have the extended data in it.

                        Did you watch the videos over at MTM?

                        Initialize
                        private Z20091006HoltEMA myHoltCDelta;

                        OnStartUp
                        //note the embedded ZRichCumlativeDelta
                        myHoltCDelta = Z20091006HoltEMA(ZRichCumulativeDelta(Input,-1),HoltCDeltaLen1,HoltCDeltaLen2,RWTColorMethod.Do nchian,3,RWTColorScheme.CyanYellowMagenta);

                        OnBarUpdate
                        //Rich Cumulative Delta
                        if (Rising(myHoltCDelta)){
                        DirectionVote += Weight13; TotalVoteCount += Math.Abs(Weight13);
                        Derp13 = Weight13;
                        }
                        if (Falling(myHoltCDelta)){
                        DirectionVote +=-Weight13; TotalVoteCount += Math.Abs(Weight13);
                        Derp13 = -Weight13;
                        }

                        Comment


                          #13
                          Echoeversky

                          I watched all the videos from MTM and I'm very interested in getting the Extended Bars. How do I have to proceed in order to get them?

                          Thanks

                          Comment


                            #14
                            Good Morning!

                            Originally posted by laocoon View Post
                            Echoeversky

                            I watched all the videos from MTM and I'm very interested in getting the Extended Bars. How do I have to proceed in order to get them?

                            Thanks
                            Info on signing up and contributing is over here at:
                            http://www.movethemarkets.com/discuss/team/

                            Otherwise I venture you could wait for a time to see if a version is published publicly.

                            Good Hunting!

                            E.

                            Comment


                              #15
                              Hello, did you ever get the MA of delta? thanks

                              Originally posted by echoeversky View Post
                              Here's a code snipit from something I've been working on.

                              As for why something is in all 3 places read http://www.movethemarkets.com/downloads/rwt/rwt004/

                              I want a Moving Average of Cumulative Delta (Here as the HoltEMA), then for my voting system I can look at the Rising or Falling of that Moving Average.

                              There are other tools like TVI and TradeCount which could be brought in, and calculated against in similar fashion.

                              This depends on the RichBar empowered Bar Type since it will have the extended data in it.

                              Did you watch the videos over at MTM?

                              Initialize
                              private Z20091006HoltEMA myHoltCDelta;

                              OnStartUp
                              //note the embedded ZRichCumlativeDelta
                              myHoltCDelta = Z20091006HoltEMA(ZRichCumulativeDelta(Input,-1),HoltCDeltaLen1,HoltCDeltaLen2,RWTColorMethod.Do nchian,3,RWTColorScheme.CyanYellowMagenta);

                              OnBarUpdate
                              //Rich Cumulative Delta
                              if (Rising(myHoltCDelta)){
                              DirectionVote += Weight13; TotalVoteCount += Math.Abs(Weight13);
                              Derp13 = Weight13;
                              }
                              if (Falling(myHoltCDelta)){
                              DirectionVote +=-Weight13; TotalVoteCount += Math.Abs(Weight13);
                              Derp13 = -Weight13;
                              }

                              Comment

                              Latest Posts

                              Collapse

                              Topics Statistics Last Post
                              Started by Longhornmark, Today, 08:25 AM
                              3 responses
                              12 views
                              0 likes
                              Last Post bltdavid  
                              Started by mohdhm, Today, 04:09 PM
                              1 response
                              12 views
                              0 likes
                              Last Post NinjaTrader_ShawnB  
                              Started by BGWTEX, Today, 03:30 PM
                              1 response
                              4 views
                              0 likes
                              Last Post NinjaTrader_Jesse  
                              Started by marekflys, Today, 03:07 PM
                              0 responses
                              10 views
                              0 likes
                              Last Post marekflys  
                              Started by GregoryBaskin, Today, 02:51 PM
                              1 response
                              7 views
                              0 likes
                              Last Post NinjaTrader_Tyler  
                              Working...
                              X