Large Lot Trades

[blaircampbell]

Hi,

Is it possible to make a volume based indicator that filters out trades based on lot size? This would be total volume vs volume of say 100 lot trades or larger. It could also be a delta volume vs volume of say 20 lot trades or larger at bid or ask.

Is this possible in Ninja 6.5? or will it be possible in 7.0?

regards,

Blair

[NinjaTrader_JoshP]

Blair,

You can already do this. It is just a matter of storing and running the calculations on volume that you want. The raw information is available to you to manipulate as you see fit.

[blaircampbell]

Is there currently anything available?

Thanks Josh for the quick reply!

Follow up question: is there currently any indicator that uses this function?

Blair

[NinjaTrader_JoshP]

Blair,

Please check the File Sharing section for any third party indicators that may fit your needs. You can also take a look at the provided indicators like VolumeZones.

[mainstream]

Can you filter the size of the trades in the Volume Zones? As you can in the Time Sales.

[NinjaTrader_JoshP]

This would require you to make custom changes to the indicator.

[blaircampbell]

Real time or historical data

If an indicator is coded that will allow volume display based on trade lot or block sizes will this need to be real time only indicator or could it utilize historical data?

[NinjaTrader_JoshP]

Likely real-time. Historical data will just give you the total volume of a bar.

[mainstream]

That might not be entirely true, I think it depends on whose data you feed the indicator, and the look back period.

When I was looking into Market Delta, I remember hearing that it will backfill volume with PFG Best date. Which in turn could mean that it will backfill trades volume. You'll have to confirm, but it might be good lead.

Let us know if you do research it. Thanks.

[NinjaTrader_Bertrand]

Thanks for the input, we'll research it. You can also check into this thread for an alternative approach - http://www.ninjatrader-support2.com/...ad.php?p=88252