Book Sweep

[SuperDriveGuy]

Hi,
I am trying to identify "book sweep" events in the order book


My definition for "Book Sweep"(for now to keep things simple) would be - where a single OR multiple market orders(say BUY) take all the liquidity from a LEVEL and price moves to the next LEVEL above.

I would then basically then have a parameter to define the number of levels taken out to qualify as a book sweep.
I have looked through OnMarketDepth() and OnMarketData()
but not clear on how to identify a Order(s) as a Market Buy, which matched ALL available liquidity at a LEVEL.


Not looking for complete code, just some samples or pointers, I guess similar to the "Order Flow Trade Detector" indicator, which basically is trying to identify large trades, but in my case, I am looking for ALL trades, small or large.


I have access to BOTH CQG and Rithmic data feeds, as not sure whether this may be a MDP 2.0 vs MDP 3.0 issue, as some posts here seem to suggest



TIA,


SDG

[NinjaTrader_ChrisL]

Hello SuperDriveGuy,

Thanks for the post.


If you have not done so already, have a look at this reference sample that implements a level II price book in the style of the SuperDOM.

https://ninjatrader.com/support/helpGuides/nt8/en-us/?creating_your_own_level_ii_dat.htm

A more simplified indicator that uses this buy/sell detection technique is the BuySellVolume indicator.

If you have already established this logic in your script, I will need more information on this problem statement:

...how to identify a Order(s) as a Market Buy, which matched all available liquidity at a level.

I look forward to assisting further.

[SuperDriveGuy]

Hi Chris,


Thanks for your update. I will look into the examples you sent. In answer to your query, regarding my statement...



"...how to identify a Order(s) as a Market Buy, which matched all available liquidity at a level.


Price x Quantity
66.29 x 60
66.28 x 50
66.27 x 10


Market Buy Order for 100 contracts comes through at 66.27 and it "sweeps" ALL available liquidity at 66.27(10)+66.28(50) and fills the rest from 66.29(40).

(in real life, it could be one or more market buy orders) See liquidity at 27 of 31, was taken out by multiple orders, I would define this as a book sweep, as they were all BUY orders
Ask = 12826.5 3
Last = 12826.5 1
Ask = 12826.5 2
Last = 12826.5 1
Ask = 12826.5 1
Last = 12826.5 1
Last = 12827 1
Ask = 12827 31
Last = 12827 1
Ask = 12827 30
Last = 12827 1
Ask = 12827 29
Last = 12827 1
Ask = 12827 28
Last = 12827 3
Ask = 12827 25
Last = 12827 11
Ask = 12827 14
Last = 12827 6
Ask = 12827 8
Last = 12827 1
Ask = 12827 7
Last = 12827 1
Ask = 12827 6
Last = 12827 2
Ask = 12827 4
Last = 12827 2
Ask = 12827 2
Last = 12827 2
Ask = 12827.5 3
Last = 12827.5 3

In this scenario, I would interested in identifying "Book Sweep" as having occured at 66.27 and 66.28.


I hope that makes sense.


Thanks

[SuperDriveGuy]

Rather than editing my post I should have replied with a NEW post, sorry about that.

I repeated below the entire post....




Hi Chris,


Thanks for your update. I will look into the examples you sent. In answer to your query, regarding my statement...



"...how to identify a Order(s) as a Market Buy, which matched all available liquidity at a level.


Price x Quantity
66.29 x 60
66.28 x 50
66.27 x 10


Market Buy Order for 100 contracts comes through at 66.27 and it "sweeps" ALL available liquidity at 66.27(10)+66.28(50) and fills the rest from 66.29(40).



In this scenario, I would interested in identifying "Book Sweep" as having occurred at 66.27 and 66.28.

(in real life, it could be one or more market buy orders) See liquidity at 27 of 31, was taken out by multiple orders, I would define this as a book sweep, as they were all BUY orders
Ask = 12826.5 3
Last = 12826.5 1
Ask = 12826.5 2
Last = 12826.5 1
Ask = 12826.5 1
Last = 12826.5 1
Last = 12827 1
Ask = 12827 31 ---->
Last = 12827 1
Ask = 12827 30
Last = 12827 1
Ask = 12827 29
Last = 12827 1
Ask = 12827 28
Last = 12827 3
Ask = 12827 25
Last = 12827 11
Ask = 12827 14
Last = 12827 6
Ask = 12827 8
Last = 12827 1
Ask = 12827 7
Last = 12827 1
Ask = 12827 6
Last = 12827 2
Ask = 12827 4
Last = 12827 2
Ask = 12827 2
Last = 12827 2
Ask = 12827.5 3
Last = 12827.5 3




I hope that makes sense.


Thanks

[NinjaTrader_ChrisL]

Hello SuperDriveGuy,

Thanks for the reply.

Were you able to look through the samples I recommended? It looks like all the data you would need for this idea would be in the price ladder of any given market.

Please let me know if you have any additional questions.