Exchange-provided trade side/aggressor flags

[SilverSurfer1]

"I'm developing a custom indicator to identify whether trades are buyer-initiated or seller-initiated using exchange-provided trade side/aggressor flags. Specifically, I'm using Rithmic as my data feed for NQ futures, and I need to access the trade aggressor data (buy/sell flags) that indicates which side initiated each trade. Is there a way to access this data through the NinjaTrader API? If so, what's the correct approach to access these flags in a custom indicator?"

- "I'm particularly interested in accessing CME's aggressor indicator flags (where '1' indicates buy aggressor and '2' indicates sell aggressor)."
- "Are specific market data subscriptions required to receive this data?"
- "Are there specific NinjaTrader namespaces or classes I should use to access this information?"

[NinjaTrader_ChelseaB]

Hello SilverSurfer1,

Unfortunately, from understanding NinjaTrader does not provide access to these.

Below is a link to the Desktop SDK on the MarketDataEventArguments that show the properties available.

https://developer.ninjatrader.com/docs/desktop/marketdataeventargs

This thread will remain open for any community members that would like to provide advice or unsupported code.

[SilverSurfer1]

Thank you for the response.

I see that MarketDataType.BuyAgressor and MarketDateType.SellAggressor is not supported under marketdataeventargs.

That support should definitely be added. Bid/Ask volume is almost useless in determining market direction because bid and sell volume can increase due to the closing and opening of positions. So, just looking at increasing bid volume doesn't mean the market is headed down.

The trade side/aggressor flags show actual market direction because when buy aggressor volume increases, participants buy the market above the ask and sell below the bid with sell aggressor volume.

That would make your order flow and volume-based indicators far more accurate than they are now.

Can you submit a request to the development team to add trade side/aggressor flag support to "marketdataeventargs" in the OnMarketData() method?

Regards,
R. C.

[NinjaTrader_ChelseaB]

Hello R. C.,

I will submit your request for consideration.

Please note, we receive many requests and cannot reasonably implement all requested features or changes. Interest is tracked internally and if enough interest is tracked, it would be weighed against how feasible it would be to make those changes to consider implementing, so we cannot offer an ETA or promise of fulfillment.

When new features are implemented, they will be listed in the Release Notes page of the Help Guide. The ID number may be different than the internal feature request tracking ID, but the description of the feature will let you know if that feature has been implemented.

Release Notes - https://ninjatrader.com/support/help...ease_notes.htm

[MiCe1999]

Hello R. C.,

I will submit your request for consideration.

Please note, we receive many requests and cannot reasonably implement all requested features or changes. Interest is tracked internally and if enough interest is tracked, it would be weighed against how feasible it would be to make those changes to consider implementing, so we cannot offer an ETA or promise of fulfillment.

When new features are implemented, they will be listed in the Release Notes page of the Help Guide. The ID number may be different than the internal feature request tracking ID, but the description of the feature will let you know if that feature has been implemented.

Release Notes - https://ninjatrader.com/support/help...ease_notes.htm

Isn't buy/sell volume provided with your OrderFlow+ package?

[Lee63]

Plus one, please add my request. Perhaps change the title to MarketDataType.BuyAgressor and MarketDateType.SellAggressor request so that it gets more hits. Thanks

[NinjaTrader_ChelseaB]

Hello,

This request is tracked with ID # SFT-6349.

Lee63, I have added your vote.