Volume differentiation.

[Darth_Trader]

I downloaded an indicator someone made for 'large trades'.

It's not the greatest, but if you understand what size is 'large' for what you are trading, its nice to see. It also has a sound alert, and rings a doorbell sound when a large trade is made and posts in on my chart (poorly...can't resize it, its in the way of everything...but that's neither here nor there).

However, I'm finding these 'large trades' seemingly happen at random. If a number happened at a support or resistance level, or some other significant technical level, it might mean something. This makes me ask the question: "so, did they buy or sell?" this 'large trade'. I cannot tell at all.

Is there market information available that I can use inside of Ninjatrader 8 to edit the 'large trade' indicator (its open to edit) and update it to a 'large bought or sold' indicator?

With that in mind, can I use the same information to compare market ask/higher vs. market bid/lower to create my own indicator? I imagine that if I can watch that information on the T&S that I should be able to use that to make an indicator. Am I wrong?

Please Advise!

Mahalo!

[NinjaTrader_Jesse]

Hello Darth_Trader,

You can access the level 1 and level 2 data from NinjaScript. That would be using either the OnMarketData or OnMarketDepth overrides. To get detail on the active market you can use the level 2 information to see the rows of ask and bid information. There is not a way that I am aware of to know what the last traded volume was or any other associated order information for the volume.

https://ninjatrader.com/support/helpGuides/nt8/onmarketdata.htm?zoom_highlightsub=onmarketdata

https://ninjatrader.com/support/helpGuides/nt8/onmarketdepth.htm?zoom_highlightsub=onmarketdepth

https://ninjatrader.com/support/helpGuides/nt8/creating_your_own_level_ii_dat.htm

You can otherwise compare the current market against ask/bid data to make comparisons or do similar watching like the T&S window with its block volume.

I look forward to being of further assistance.