Cumlative Bid/Ask

[deanz]

Does anyone know the formula to grap the cumlative Bid and Ask in the DOM?

-Thanks

What about:

ask_Cumulative = e.MarketDepth.Ask.TotalVolume(5);
bid_Cumulative = e.MarketDepth.Bid.TotalVolume(5);

I found this indicator over on elitetrader and have been changing it around quite a bit to practice my programming, it's a bit cluncky (now) :-) as it misses plotting the smallest value on some bars on small/quick time frames less like than 1minute and it needs to be set on Calculate On Bar Close = TRUE (default setting anyway) but it shows cumulative Average, Peak and Smallest for the bar.

I made other versions to show other levers like just level 2 and 3 with.

ask_Cumulative = e.MarketDepth.Ask.TotalVolume(3) - e.MarketDepth.Ask.TotalVolume(1);

Maybe it will give you/someone some ideas.

Charts are Non-Farm Employment Change, notice the order book dry up on all levels, now you have an idea why price can whip around so violently.

.

[astra]

deanz,

Many thanks for sharing. The indicator is exactly what I was looking for. I like the colors and the graphics - perfect!

[euroventure]

deanz,

downloaded the agorderbook indicator, not possbile to open the zip, this compatilbe with NT 7 latest version, if not how do i make it compatilbe, have a look at DOM on big mike, the ask line goes over the bid line when the mtk is selling and the bid line is over the ask when the mtk is up, this make sense to a pro, buy lower at bid and sell higher at ask

[deanz]

well this is a coincidence, I probably haven't used this indicator for a year and on Saturday I thought I'd try it on NT7, I changed a few things and kinda got it working but I have been getting warnings that NT7 needs to shut down.... ha ha. If I get it working any better I'll post it.

[deanz]

order book indicator - plots average and peak orders in the order book

These indicators are modified by someone with very little programming knowledge (me) so who knows what they actually show, but maybe they are useful to someone.

Calculate on bar close : must be left as TRUE

( as at the end of the bar all calculations are done from the data that happened inside the bar then values are reset for the next bar )

I made another version called "difference" and it just shows the difference between the bids and the asks, it makes it easier to see... well.... the difference between them.

the RED part of histogram are orders BELOW current price (limit buy orders, the bids) that sellers must attack and clear out with market orders so that price may fall.

the BLUE part of histogram are orders ABOVE current price (limit sell orders, the asks) that buyers must attack and clear out with market orders so that price may rise.

the numbers of the indicator are the levels in the DOM that the indicator tracks, the 6to10 indicators are for the ES which seems to have 10 levels deep either side of current price but I never look at the ES any more so I only presume it still works like that.

good luck.

...

[euroventure]

ag

thanks for the response,

do not know if you a member of big mike trading forum, but maybe pass ag zip over for conversion to NT 7 via a BM member, also have you tried our GOM volume ladder 3.4, it shows the bid and ask or up down ticks on a ladder, very useful,

your ag has some excellent potential, the bids are most often buys and the offers are selling, link this with the GOM ladder you have good idea of market, although like always it up to the trader to believe what they see