Big orders not showing in NT8

[fourpeaks99]

Hello, Im transitioning from using Investor R/T to Ninjatrader 8 and am using IQ feed for both. I noticed when i filter on orders that are larger than 100 on the volumetric chart Its missing a lot of the orders that i normally see in Investor R/T. I dont know if i need to adjust a setting in NinjaTrader to see these orders but could you help me recreate the Investor R/T chart in NT? I attached what Investor R/T and Ninjatrader both looked like yesterday filtering for large(100+) orders. Thanks

[NinjaTrader_PatrickG]

I could not speculate as to why NinjaTrader does not provide the same values as another platform because I am not certain how the other platform is programmed and am unsure how a data feed would work in that platform.

I can confirm that I do see the same information on my end with a duplicate of your Order Flow+ Volumetric chart when connected to IQFeed. Here is a screenshot with a zero and one hundred size filter:

Zero size filter
One hundred size filter

Immediately I can see that this doesn't pass the 'eye test' of looking correct. I'll be researching this further on my end and will edit this post when I have more information.

[fourpeaks99]

Thanks Patrick for looking into this. Ill send an email to Investor R/T support as well to see whats happening on these charts. Its just odd that they are both using IQ feed but displaying it differently

[NinjaTrader_PatrickG]

After further research, the filter seems to be working as expected.

With a zero size filter lets say at a price of 2922 there were ticks with the volume of 39, 2, 16, 53, 9, 12, and 34 on the bid side. that would show a value of 165. If we now were to set the size filter to 100, it would show a value of zero since none of those order had a volume equal or greater than 100. I've made a short video to demonstrate the comparison between the volume of the ticks and how that correlates to the size filter:

https://www.screencast.com/t/dNbgqj0H

The question of 'why is the same data feed showing me different results with the same volumetric settings' now comes down to two things:

• How the data is handled/filtered by the other platform
• Differences in programming of the volumetric bars and their size filter

[fourpeaks99]

Thanks, I understand that if an order is not 100 lot or more it should not count but it seems that there should still be more 100+ orders on the chart. If you take a look at the attachment..the last half hour of trading on the ES you will not see that many 100+ orders. Usually at the close it should have more than this

[NinjaTrader_PatrickG]

I see that your chart is showing 2:41PM to about 3PM. What time zone is NinjaTrader set to? Was this yesterday's data? Or a different date?

[fourpeaks99]

yes, this is yesterdays data

[NinjaTrader_PatrickG]

My data from yesterday at 5PM eastern US time (I am assuming you're displaying the close of the session yesterday) doesn't match your chart:

https://www.screencast.com/t/uaj1oJCe

What time zone is your NinjaTrader/PC set to?

Also, regardless of if I can demonstrate this for you using the chart you're now providing in your screenshots, you can follow the same method I did in my video to verify what is occurring. Create a 1 tick chart with a VOL indicator, then take a look at the volume you see which is > 100 during the volumetric bar you want to analyze. When following this method, do you find that the information does not match up?

[fourpeaks99]

Ok, Thanks Shawn. I appreciate you detailing this out. I want to make sure im seeing everything correct. I believe my clock is correct on NT/Computer, im on central time so 15:00 pm was the close. Attached are two snapshots of the NT chart and IRT chart using the 1 tick chart with volume down below. I used the time period from 14:20 to 14:24 yesterday to highlight the trades since the close was way too busy to align. I noticed that IRT is showing at least 15 bars over 100 and NT shows maybe 5. Would you know why this is?

Thank you,

[NinjaTrader_PatrickG]

I see the same volume as you over the same time period when connected to IQFeed:

https://www.screencast.com/t/iLv3oeguBKJ

I could not speculate as to why the other platform is different, however, I can confirm that the data in NinjaTrader is valid and matches my end, and that NinjaTrader is reporting these values in the volumetric charts with a 100 size filter as I would expect.

I would recommend that you contact IRT and ask them how they handle tick data, specifically, the ask/bid stamped tick data volume in relation to what appears in the volumetric charts and how the size filter functions.

[fourpeaks99]

Ok, Thanks. I will check with them

[fourpeaks99]

Reconstructed tape

It looks like the difference is coming from what they use ,Reconstructed tape vs. what Ninjatrader uses Non-Reconstructed tape. Do you offer the capability of reconstructed tape in Ninjatrader 8?

[NinjaTrader_PatrickG]

I am not familiar with the term 'reconstruction tape', Are you referring to replaying data which occurred in the past? If so, we call this 'Playback' using 'Market Replay' or 'Historical' data.

If I have misunderstood your inquiry, please elaborate on what "display a reconstructed tape" means.

[fourpeaks99]

Reconstructed tape was i believe first started by Jigsaw trading several years ago. For various reasons institutions will break apart their large market orders in order hide their intent. By using an algorithm to see when these large market orders hit multiple limit orders at once you can reconstruct the trade to see what the original large order amount was.This was what the difference we were seeing yesterday in the large orders that Ninjatrader was displaying vs. Investor R/T. Investor R/T has a setting to "consolidate" the trades to reconstruct the tape. This is the only addon i could find for NT8 on reconstructed trades https://www.discotrading.com/Description/3019 but was hoping Ninjatrader had developed their own

[NinjaTrader_PatrickG]

Thanks for the explanation. This is not something which NinjaTrader provides, however, I'll submit a feature request to the Development Team for implementation of this data manipulation. The internal tracking number for your feature request is SFT-3543. Please reference this internal tracking number if you ever have questions regarding this feature request.

When a feature request is implemented, you'll find it in the release notes:

http://ninjatrader.com/support/helpGuides/nt8/en-us/?release_notes.htm