Free OrderFlow Ladder (SuperDOM column)

[trymph]

....which classifies trades higher than the midpoint of the bid-ask spread as buy aggressors and vice-versa, with an ever so slight bias toward sellers (based on human psychology), should bid and ask be equal. It is entirely possible that other trading software classify trades differently (search for "trade classification algorithms" on google), but I chose to keep it pretty simple for this ladder.
Hope this helps!

Thank you very much it does help a lot. I've been doing some googling on "imbalances" with respect to Order Flow and Footprint trading. I too like to keep it simple having only your Ladder Sell/Buy columns adjacent to the standard NT DOM pictured above in this thread. Is it possible to reflect imbalances with respect to trades > the current publicly shown book size (eg buys' trade volume > the posted ask at that moment in time; sells' trade volume > the posted bid at that moment in time; not necessarily cumulative as I only show for 30 seconds anyway)?

The reason I ask is because of the advent of Icebergs and algo order types, the depth of market is very deceiving; but keeping track of trade prices that exceed the quantities posted in the standard DOM can go a long way to sniffing out the true supply and demand at specific prices (eg hidden orders)

Lets face it the better we can perceive true supply and demand the more accurately we can jump on that wave and not get blown away by an IAN storm surge of that price at that moment in time. IMHO

Thanks as always for your generosity and time
Scalpers syndrome is not terminal (surf's up)
Regards
Bruce

[gemify]

Icebergs and executions in other ATS/venues are very interesting topics. I have some thoughts on this, but if anyone has ideas on iceberg execution detection, please PM me - if you're willing to share Thank you for the feature idea Bruce!

[gemify]

In the meantime, thanks to feedback from MPCReRuN and others, there is a new release (v0.4.0) available in the Ninjatrader Ecosystem that has the following:

• Persistent display of Bid/Ask stacking/pulling instead of in a fleeting moment. Please note that with extremely fast changes, only the last update may be visible.
• The Notes column is now able to display notes from either a:
  • local file (ex. D:\temp\data.csv)
    OR
  • a hosted file on a web server (ex. http://myserver.com/files/levels.csv)

[Boar7s]

In the meantime, thanks to feedback from MPCReRuN and others, there is a new release (v0.4.0) available in the Ninjatrader Ecosystem that has the following:

• Persistent display of Bid/Ask stacking/pulling instead of in a fleeting moment. Please note that with extremely fast changes, only the last update may be visible.
• The Notes column is now able to display notes from either a:
  • local file (ex. D:\temp\data.csv)
    OR
  • a hosted file on a web server (ex. http://myserver.com/files/levels.csv)

I'm receiving the following error while trying to import the addon

And when trying to copy the folder manually into my SuperDom bin folder and compile I receive the following compile error
Any help would be much appreciated. Thanks!

[gemify]

Thanks for pointing this out Boar7s. I'll submit the updated files to the Ninjatrader Ecosystem now - it may a few hours for it to be updated there.

In the meantime, I've updated the fixed zip files on the GitHub page here: https://github.com/OrderFlowTools/Tr...ses/tag/v0.4.0

You can use either one of the zip files from GitHub to import into Ninjatrader.
GemsTraderLadder-v0.4.0.zip (source)
GemsTraderLadderBinv0.4.0.zip (binary)

I hope that solves that issue for you.

[aviat72]

Icebergs and executions in other ATS/venues are very interesting topics. I have some thoughts on this, but if anyone has ideas on iceberg execution detection, please PM me - if you're willing to share Thank you for the feature idea Bruce!

MBO data has that information for ES/NQ.

There are also some Iceberg detection algoithms which the rithmic folks had.

BTW love your add on! There is abug where it sometimes dies but I just duplicate an existing tab to restart.

Do you have appetite for developing an MBO adapter for NT? We could use the Rhitmic API in a different module and then pump it into NT via a add-on

[gemify]

aviat72, an MBO adapter sounds very interesting, although TBH, that may be a project for another day (just PM'd you). Hopefully NT has it on its roadmap.

Do you have appetite for developing an MBO adapter for NT? We could use the Rhitmic API in a different module and then pump it into NT via a add-on

[gemify]

Can you please elaborate? There used to be a bug in the previous versions (v0.3.9 and below) where if the ladder was shrunk to very small widths, it would barf. This is fixed in the current version (v0.4.0).

Any information you can provide to help me find and fix the issue is greatly appreciated! Thanks again for y'all's help!

BTW love your add on! There is abug where it sometimes dies but I just duplicate an existing tab to restart.

[Entropy7]

Hey Gemify,

I've got some ideas for things I want to hack together with this indicator but I'm not sure where to start. When I tried to put some stuff together earlier today it broke every that included "FormattedText" and a couple other things. Not sure if you're familiar with that.

What I was trying to do was add a histogram for the sess buys/sells columns because I like the visualization a bit better.

Then I also would like to add an iceberg indicator like a twitter user @scope_capital had, not sure if anybody has the template he released a few months ago but if so let me know.

It's pretty simple but basically a black bar would print from the market order column equivalent to the lots traded. And then it wouldn't go away until price broke through (or I'm guessing a certain amount of time). And then if it got large enough he would also have it change colors.

I think eventually he also moved it to his own column as well.

But really any tips you have on getting started putting stuff together would be really appreciated

[trymph]

Icebergs and executions in other ATS/venues are very interesting topics. I have some thoughts on this, but if anyone has ideas on iceberg execution detection, please PM me - if you're willing to share Thank you for the feature idea Bruce!

Hi again Gem loving your imbalance indicator............BUT (always a but...lol)

I've called the CME support desk (GCC). They've confirmed Time & Sales which the CME disseminates are timestamped snapshots of the bid/offer price; the bid/offer size & last buy/sale price w/size for every trade. SO theoretically we should be able to do the math every time a trade occurs that's greater than the DOM bid/offer posted working orders in that nanosecond. That net difference represents some portion or all of a "hidden" order lurking in the weeds. What I'm envisioning is a column along side the imbalance "Sell/Buy" columns with the cumulative value of this net difference for each price up/down the range for the session. This way we can see how the imbalances are accumulating for price levels greater than posted limit order sizes. IMHO Its all about getting a weather vane for supply and demand at various prices inclusive of all orders eg hidden ones too. I'm betting that we will begin to see true support and resistance prices as all the big guys hide their true positioning most probably in concert as they suss[sic] each other out with far more sophisticated algo tools than we have available on the retail level. This may be a bit half baked but I hope the concept is sound. I've been watching several MarketDelta vids on Youtube by Trevor Harnett where he mentions in one that he noticed trades sized > the posted bid/offer size as he remembered it just prior to that last size trade. That was 8 years ago when Icebergs the new game in town for retail traders; I think. I know from my work experience we offered canned order types even more sophisticated than Iceberg algos to customers that will only shoot in limit orders to grab a particular price as it appears in the market. I'm sure the really big guys have DIYs of even better algos.

Bottom line is in a centralized marketplace without duel listings on multiple exchanges, trades don't lie and we can all see them.

Thanks for sharing your skills
Regards
Bruce

P.S. Entropy7..........having just read your post after checking out my own here yes agree just ..........a "market profile" type of vertical Y-axis by price histogram (vs columns of numbers alone) would be a great presentation visual for what I'm saying above.

[gemify]

Thanks trymph and Entropy7!

I've attempted to implement some of the ideas from the discussion into the attached version (v0.4.1a). This version is still experimental and not available in the NT ecosystem just yet. Having said that, if you'd like to play around with this version, here's what's included:

• Histograms for
  • session buys/sells
  • sliding window buys/sells
• Rudimentary hidden/ice columns (I named them BIce and SIce )
  • These columns display cumulative executions that exceed the corresponding bid and ask sizes. I'll let you decide if there's real alpha in this data that is displayed in these columns, but from what I've seen so far, it can be telling which way participants are leaning, given how many executions exceed the bid and offer sizes. (executions from today's FOMC period were interesting to watch).
  • Remember, you can always reset these data columns by clicking the middle button of your mouse. If for instance, you want to start monitoring these values after you enter a position.
  • I also added a totals row at the bottom of the ladder which displays the sum of these executions.
  • You can also turn on a histogram of these columns if needed (from the column configuration page).

Hope this helps. If you find issues/bugs, please let me know - thank you for your help!

Screenshot:

[StoneMan78]

gemify this is some incredible work and many thanks.The BIce and SIce columns are a super interesting idea. I'm curious how they would look visualized on the chart so one could have a log of how price action responds. I'm aware this may be outside the scope of this DOM project but I think it could be a helpful gage of this new tool. Thanks again!

[gemify]

StoneMan78, thanks for bringing it up. I've toyed with the idea of plotting some of these data points on a chart, but haven't gotten around to it - should be interesting though.

Just so y'all know, v0.4.1 is now posted on the NT Ecosystem for download. Please check out the release notes here.

Here's a screencap:

[trymph]

gemify this is some incredible work and many thanks.The BIce and SIce columns are a super interesting idea. I'm curious how they would look visualized on the chart so one could have a log of how price action responds. I'm aware this may be outside the scope of this DOM project but I think it could be a helpful gage of this new tool. Thanks again!

Ditto Stone on your great work gemify; Thanks gemify as I mustve missed an email notice of your mention of this type of indicator.

I can see you have a histogram representation of the values in BUYS & SELLS columns. May I suggest the same for BIce & SIce too please? That would be good enough a display visual for my purposes and screen real estate management.

Regards and thanks
Bruce

P.S. Your work is incredible and I am so flattered that you took the hidden order concept seriously enough to add to your work.

[gemify]

trymph, you're too kind - thank you for the idea!

As for the histograms, the current version (v.0.4.1) already has the option to display BIce and SIce as histograms. Hope this helps.