Isolating the number of unique orders flowing through a stock at any given moment

[Kensonprib]

Hello,

I am hoping that there is a way to determine the number of unique orders being filled during a given period. I am not interested in the number of shares traded but rather how many orders those shares were traded from...

Here are 2 simplified examples:

Example 1

Trader 1 buys 100 shares
Trader 2 buys 100 shares
Trader 3 buys 100 shares
Trader 4 buys 100 shares
Trader 5 buys 100 shares

Total shares traded = 500

Example 2

Trader 1 buys 50 shares
Trader 2 buys 50 shares
Trader 3 buys 50 shares
Trader 4 buys 50 shares
Trader 5 buys 50 shares
Trader 6 buys 50 shares
Trader 7 buys 50 shares
Trader 8 buys 50 shares
Trader 9 buys 50 shares
Trader 10 buys 50 shares

Total shares traded = 500

I want to recognize the difference between these two scenarios. Is there a field which I am not aware of which could help me with this?

Thanks, Kenson

[NinjaTrader_ChrisL]

Hi Kenson, thanks for writing in.

You can use the OnMarketData event to track the order flow, this is basically a programmatic take on the Time and Sales window:
https://ninjatrader.com/support/help...marketdata.htm
https://ninjatrader.com/support/help...aeventargs.htm

Unfortunately, there is no data that says who buying what, but the volume information is available through this event.

Best regards,
-ChrisL

[Kensonprib]

ChrisL thank you for your response. Let me clarify a little.. like I stated earlier, I am not interested in how many shares were traded but rather how many orders those trades came from. Did the stock move because of 10 orders or 100 orders or 1000 orders. I am able to capture the volume of trades in any given period but I am hoping to know how many unique orders these trades came from.. Is there any way to calculate this?

Kenson

[NinjaTrader_ChrisL]

Hi Kenson, thanks for your reply.

The script implementing OnMarketData would need to have a counter that sums up the volume until the price changes. When the price changes you would then reset the counter back to zero, this would become the Volume indicator applied to a time-based chart or a 1 range chart to see what volume amount moved the price. The unique orders from the individual traders is not available from the level 1 data as there is no ID or tag associated with each trade that would tie them together.

Please let me know if I can assist any further.