Trades to market or limit.

[brokerbombero]

Hello. I have developed an indicator that indicated me the bigtrades to the ASK o BID that they have made, and they paint a bubble in the chart window. It's like a time & sale improved.

I have a question..It's there are any way to coded when we see a trade in the Time&Sale windows (Blocks), if this trade is made to the market or with limits orders...

In other plataforms there are is an indicators the they tell you if the trade(yo can filter blocks) was made to the market or with limit orders...

Sometimes when yo are watching the chart (order flow in my case) I can detected that the order was a market or limit, because the reaction of the price. so anyone know something about how to coded this.

Thaks a lot...

[NinjaTrader_Jim]

Hello brokerbombero,

Thanks for opening the thread.

OnMarketDepth() won't say specifically if the order is a limit or market order. I don't know how this would be determined through level 2 data.

I would start with a clear definition of how you can identify these orders so you can write logic that can be used to analyze the order book.

I'll leave this thread open ended to other members of the forum if they have any insight on creating such logic.

[brokerbombero]

Market orders

I try to explain again, if anyone know that I'am looking for,...

I have an indicator (image 1) that it Paint me in the chart the trades agreggated (with timespam less that 200ms). But, when this happens, we don't know if the orders were trade to the market or limit. It's for the context, where we have to discover..

so I would like to know if there any way(with code) to know when a block of orders appear in the Time&sale (image 2) if was made to market or limits orders.

Thaks a lot..

Try to filter for the reaction of the Price if this block is to market o limits....