OF+ Aggressor-side data flow request

[Psy_4X]

Hello,

A very good job on the new OrderFlow+ suite. Thank you.

I trade CME futures contracts, and I would like to make use of the CumDelta order size filtering feature, but I don't see much use of it as long as the flow of data (as I can read it on the Time&Sales) can only show the passive side of the market (limit orders). Ideally I would like a filter to select orders hitting the market that exceed a specific size.

I understand that data distributed by CME under its MDP3 protocol bear all the information needed to build both active and passive flows, so I'm wondering whether this might be an issue to be addressed at the data provider level?

[NinjaTrader_PatrickG]

If I understand you're request correctly, You're looking for a way to separate out specific order types for tracking. For example, you would like to only calculate the cumulative delta based on market orders larger than 10.

If that is the case, I believe your request has two parts:

• Be able to identify what type of orders are being filled for orders in the market (limit, stop limit, market, etc)
• Be able to filter the Cumulative Delta to only calculate on the specified order type (limit, stop limit, market, etc)

It is true that MDP 3.0 still has all the meta data needed to separate out the individual executions on a single order again to look at data in the MDP 2.0. However, there is no way at the platform-level at this time to separate this data into it's fundamental parts. It will be dependent on how the data provider supplies the data to NinjaTrader.

What data provider do you currently connect to?

[Psy_4X]

Thank you Patrick for your reply.
I think my request might be simpler than described. Given that each transaction in the market is actually made by one market order hitting one or more resting orders, I would like to see the size of the single market order instead of the numerous resting orders.
For instance, when a 100-contract market order hits, it is filled against a bunch of 1, 2, 5... lots. What I currently see on the Time&Sales is this string of odd-lots, but I would like to see just the 100-lot aggressive order.
It doesn't matter to exactly identify each and all type of orders: in any case all orders will either be market or limit orders in the end. Let's say that I now can only see the filled limit orders, but I would like to see the market orders instead.

My provider is Continuum/CQG.

[NinjaTrader_PatrickG]

MDP 3.0 data is what you're describing. I am fairly certain that CQG provides MDP 2.0 data, however, I'll need to verify that.

In any case, even if you obtained an MDP 3.0 data feed I suspect that there may still be limitations that would not give you the granularity that you seek.

I'll update this post with any information I receive from data providers regarding their live data feed and if it is supplied in MDP 3.0 or 2.0 format.

[habibalex]

MDP 3.0 data is what you're describing. I am fairly certain that CQG provides MDP 2.0 data, however, I'll need to verify that.

In any case, even if you obtained an MDP 3.0 data feed I suspect that there may still be limitations that would not give you the granularity that you seek.

I'll update this post with any information I receive from data providers regarding their live data feed and if it is supplied in MDP 3.0 or 2.0 format.

Was there any update regarding this? I would also like the aggressor and tickid. Seems like many people are asking for this. What are the limitations in nt8 preventing this?

[NinjaTrader_PatrickG]

The 'limitation' would be in how the data provider supplies NinjaTrader with data. We cannot 'bundle' data from a data provider which chooses to 'unbundle' their data and vice versa.

MDP 2.0 is not supplied by the CME anymore. MDP 3.0 data can be provided bundled or unbundled and, to my knowledge, all supported futures providers supply NinjaTrader with unbundled data at this time

With that said, I would recommend reaching out to your data provider directly to see if there may be an option to switch this on the back-end of your connection. Rithmic may have this option, but it is unconfirmed with Rithmic or any other futures data provider if this is possible.

Historical data from our servers would always be unbundled

I am not certain how the bundled data would work when, for example, someone places a market order for 100 orders and it fills across multiple prices. I do not think it would show some average price. It would likely still split it up based on price.

To clarify, my understanding is bundled data would be what you're looking for. You would need to reach out to your data provider to find out more about how they supply their data to NinjaTrader.