BID/ASK SIZE detection?

[panchito]

Hello, can somebody tell me is it possible to detect BID and ASK sizes, but not only the best ones' size, I need my program to be able to see the size in depth, like we can see them in NYSE OPEN BOOK and NASD total view. So could Ninja trader do that?

[NinjaTrader_Brett]

Hello,

Thanks for the post and welcome to the NinjaTrader support forum.

Yes this is called Level 2 data and NinjaTrader is able to use level 2 data in our OnMarketDepth. You would do this via building a MarketDepth book using the following sample to get you started. If you need more information on NinjaTrader please feel free to let me know.

http://www.ninjatrader.com/support/forum/showthread.php?t=3478

-Brett

[panchito]

Thank you Brett!
My pilot strategy is something like, if bid/ask is greater than some "digit" => put buy/sell order "digit" cents +/- bid/ask price. That is connected to analyzing real time quotes to lot of shares at the same time. Could Ninja trader do that?

[NinjaTrader_Brett]

Absolutely.

All could be done with the sample I linked you too. The logic you program into the strategy/indicator is done in c# which is the same language the application itself is programmed in. This gives you ultimate flexibility in that you can virtually add anything you like to your logic.

Furthermore you can do all development with the free version of NinjaTrader to get everything setup.

Download NinjaTrader from here if you havn't already: http://www.ninjatrader.com/download-registration.php

[panchito]

thank you again Brett!
Is Ninja trader able to connect with Sterling trader pro? I red a lot of forums but didn't see that. I mean, do I have to open an account with Ninja trader, or I can use mine?

[NinjaTrader_Brett]

Hello,

Please see our list on our download page for the brokerages we support.

NinjaTrader ourself is not a brokerage and we focus on developing top quality trading tools. We connect to 100's of brokerages world wide.

Depending on who your actual account is helf with at sterling trader we may be able to connect to it already. You may need to contact me at sales at ninjatrader dot com and forward me the details of your brokerage so we can look up if we can connect or not.

The brokerages on this page we for sure connect too:

http://www.ninjatrader.com/Ecosystem/Broker.php

[panchito]

OK, I loaded the second file - SampleMarketDepthNT7.zip and now I think I need some help to understand how to detect the bid and ask size and put order having in mind that info. Thank you in advance

[NinjaTrader_JC]

Hell panchito,

For this you may want to use the MarketDepthEventArgs variable to be able to check and filter out what values that you are wanting to detect for the bid/ask size. Here is a link to our Help Guide that goes over the different methods and parameters of the MarketDepthEventArgs and an example.

http://www.ninjatrader.com/support/helpGuides/nt7/index.html?marketdeptheventargs.htm

[panchito]

Thanks a lot JC!
now I am on Conditions and Actions, and succeeded to Add : GetCurrentBidVolume() >= Variable()
can you please help me with setting the variable? I just want to compare the BID volume with a digit like : 100 for example

[NinjaTrader_JC]

Hello panchito,

Using the Strategy Wizard, you may want to press the Back button and create a "User Defined Input" variable that you may set to 100 (Default Value) and use that to compare to the GetCurrentBidVolume. Note doing it this way will allow you change this inside of the Strategy Properties screen as well.

Let me know if that works for you.

[panchito]

Hello JC,
I defined a variable double n = 100;
in the Edit indicator, but after that I cant find on the Condition builder, can you tell me where am I wrong?
thanks in advance!

[NinjaTrader_JC]

Hello panchito,

The Indicator Wizard, does not have any Conditions and Actions menu. Only the Strategy Wizard will have a Conditions and Actions screen.

An Indicator would have to be programmed manually. If you do not have much experience coding you may want to stick with using the Strategy Wizard as the code itself is going to be processed similar and generated for you.

Once you feel more comfortable, you may convert it into an Indicator and you may even copy/paste some of the conditions into your Indicator as well.

Happy to be of any further assistance.