Order Ids

[Filcres Anthony Polinar]

Hi. Does ninjatrader8 have indicator that shows order ID? So that we can identify if the same institute is ordering in the particular price

[NinjaTrader_Jesse]

Hello Filcres Anthony Polinar,

I am not aware of an indicator which shows order id's. You could likely create that using NinjaScript to display the NinjaTrader order id's which you see in the order grid. If you wanted to know more about this or have other questions please feel free to ask.

Please let me know if I may be of further assistance.

[ComfyCouch]

Hello Filcres Anthony Polinar,

I am not aware of an indicator which shows order id's. You could likely create that using NinjaScript to display the NinjaTrader order id's which you see in the order grid. If you wanted to know more about this or have other questions please feel free to ask.

Please let me know if I may be of further assistance.

Hi Jesse. Sorry to bump an old thread, but I'm also curious as to how would one do this? Is it possible to add a 1 tick series and get an Order ID for every tick that transacts? Thanks.

[QuantKey_Bruce]

No, the incoming trade ticks in a level-1 feed only contain the following fields for each trade: timestamp, price, number of contracts.

[ComfyCouch]

No, the incoming trade ticks in a level-1 feed only contain the following fields for each trade: timestamp, price, number of contracts.

Thanks for the reply. That said, would it even be possible to get Order IDs for every transaction then?

[bltdavid]

Hi Jesse. Sorry to bump an old thread, but I'm also curious as to how would one do this? Is it possible to add a 1 tick series and get an Order ID for every tick that transacts? Thanks.

Ticks don't have an OrderId.

Ticks are data, not orders.

Ticks have volume, which represents buy/sell events
in the market, but you're not going to get any kind of
detailed information (like an OrderId) for these
individual buy/sell events.

In NinjaTrader, the concept of an OrderId is associated
with your orders, created and submitted via NinjaTrader's
own APIs -- an OrderId is just a string field, with no real
specific tracking information.

[QuantKey_Bruce]

Thanks for the reply. That said, would it even be possible to get Order IDs for every transaction then?

No, it would not. I believe I may understand what you are trying to do, which is reassemble the transactions that occur when a large order is "worked" with a series of small fills but they're all part of fulfilling a larger order. However, that information is not available by the time the individual fills get sent out as "trades" in the data feed. At that point, given only the information that comes in via the data feed, one cannot put Humpty Dumpty back together again.

[ComfyCouch]

No, it would not. I believe I may understand what you are trying to do, which is reassemble the transactions that occur when a large order is "worked" with a series of small fills but they're all part of fulfilling a larger order. However, that information is not available by the time the individual fills get sent out as "trades" in the data feed. At that point, given only the information that comes in via the data feed, one cannot put Humpty Dumpty back together again.

Yep, exactly. I came across an article/paper in regards to identifying icebergs, and was interested in seeing if it was possible to retrace those individual transactions to a larger standing order via Order IDs, thus the question.

Nevertheless, thanks for the clarification, QuantKey_Bruce & bltdavid!

[QuantKey_Bruce]

There is a feed specifically for this (https://www.cmegroup.com/education/m...order-mbo.html) but it is not inexpensive, and the data that is required is not available via any common NinjaTrader data feed. You'll want to read that link if that is what you are trying to do.

[QuantKey_Bruce]

For some exchanges, there may be some semblence of this information using the market maker id in OnMarketDepth(). That wouldn't be individual orders, but at least it's broken down to the market maker which itself keeps an order book. Other than that, no.