Trading on level 2 values

[NinjaTrader_Bertrand]

You're welcome - if I understand you correctly, you wish to know if the orders in front at your price point are increasing or decreasing? You generally have access to the 5 best buy / sell levels, so you can keep track of qty's at the time you're order comes back accepted / working and then you can compare to updates received.

[chancehero]

kind of,

but in those 5 ,or 10 available levels, when I place a profit tarket for one contract, I want to know where I am in the actual queue of a specific price level. , such that if for example:
profit tarket is placed at 1200, and It is simply waiting and when it was placed there was 300 contract at that price before me, ..

now these 300 contracts before be , some may be canceled or filled, meaning that I am moving up in the queue to sell.

how do I track the actual position that I am at. or is it even possible with the information.

from that I can see, I cant but maybe I am overlooking something.

thanks

[NinjaTrader_Bertrand]

chancehero, unfortunately I'm not aware of a way to get the absolute q position and doubt it's easily reconstructable...I think what you can monitor is the order resting at your price and their changes to estimate if you're getting closer to a fill or not.

[chancehero]

that's what I though,

thanks

[chancehero]

know of any treads discussing this?

[NinjaTrader_Bertrand]

know of any treads discussing this?

Nothing really yet on our forums here I think, how about checking into http://www.google.com/patents/US7809628 to get more familiar with the topic and thoughts floating?

[chancehero]

process

this question I cant see someone has asked but I might as well.

Markov process- any threads discussing this or coding it? or transferring or allowing my ninja script to read some of my Fortran code that computes what I need (more proficient in fortran than c).

thanks

[NinjaTrader_Bertrand]

Sorry, nothing I'm aware of for a Markov model here, would encourage to google a bit for starting materials like - http://www.koders.com/csharp/fidCA67...2D6931054.aspx

For your Fortran, you can try generating a DLL to call in this unmanaged code - http://software.intel.com/en-us/arti...l-from-c-code/

[chancehero]

disable problem

Hi,

I have a small , but annoying problem.

I built my strategy. and have the disable function called when I have realized my trading goal for the day. I have placed this in the OnMarketDepth area.

the problem is that my buy strategy is also in this same OnMarketDepth area and it sometimes goes off while the strategy is being disabled. so my strategy ends, and I am left with an order waiting to be filled that is running.

NOTE
(1) I placed the disable at the start of the OnMarketDepth
(2) from what I can see, my signal is being generated in the updateOrderBook and then used in the OnMarketDepth to generate my entries and exits. so I placed a print() to tell me that I was closing the strat before disable, and between the print() I get 10-30 signals that have time to be generated before it actually closes my strat.

any easy fix for this? that is simpler than adding a bool variable to make sure that I dont get filled while closing?

Thanks

[NinjaTrader_Bertrand]

Hi chancehero, yes I would look into adding this bool that the call to disable will set to prevent further entries, as you would include a check to it in your entry condition as well to avoid placing any orders as the Disable() process is being handled.

[chancehero]

back testing

hi,

for a while I have been testing my strategy with the sim account using my brokers live data stream ... is there any way that I can use the strategy analyser? im pretty sure I cant but maybe you guys know a ways that it would work.

Note : my strategy runs only in OnMarketDepth
and is there any plans for allowing my to use strategy analyser in the future?

thanks

[NinjaTrader_Joydeep]

Hello chancehero,
Unfortunately OnMarketData cannot be backtested.

This method is not called on historical data (backtest)

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

Since it is the raw stream, it is theoretically not unavailable in history.

What I can suggest you modify your strategy and create an multi-series strategy with a higher granularity bar series. Please refer to this sample code which further demonstrates it.

http://ninjatrader.com/support/forum/showthread.php?t=6652

[chancehero]

before I look too far into this,
would it be possible to create bars for 1 onmatketdata() event, regarless of time?

thanks

[NinjaTrader_Joydeep]

Hello chancehero,
Unfortunately OnMarketData is only available in realtime. Not backtest.

[chancehero]

data recording

hi,

so Im loggin some data and I had a question
this is what I have presently:

protected override void OnMarketDepth(MarketDepthEventArgs e) {

string data_3 =  count_save +" , "+  pricenow +" , "+quantitysold  +" , "+ GetCurrentAsk()  +" , "+ GetCurrentBid()   +     Environment.NewLine ;
            File.AppendAllText(log_file_part3,data_3 );
} 

and I am noticing that its impossible for me to know from this what was correctly sold using quantitysold defined as :

protected override void OnMarketData(MarketDataEventArgs e) {
            // to get my price and volume traded
            if (e.MarketDataType == MarketDataType.Last) {
                pricenow=e.Price;
                quantitysold=e.Volume;
            }
        } 

when the quantity sold are the same.....


I included a sample of the file im saving so you can see the problem - or the confusion im having.

any tips on how to get some value or indicator when I get actually something sold....... if they are the same values....

thanks