Get order flow

[AlessioCianini12]

hi,
i'd like to know if is possible to get the executed trade from the side that sent the first trade. Example: A: BUY 100 contract and execute with B,C,D respectively with 40,20,40 contract, I wan't to monitor the order that A sent of 100 contract. Is it possible?
If so, which is the call that i have to do in order to get this contract?
Thanks.

[NinjaTrader_ChrisL]

Hi Alessio, thanks for posting.

The SystemPerformance.AllTrades collection holds all trades the strategy has done.

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?systemperformance.htm

Each element of the collection is a Trade object which holds the quantity of the trade:

https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?trade.htm

Please let me know if I can provide any more information on the subject.

[AlessioCianini12]

Hi,
what i want to analyze are the contracts that others are making in the market, so when a big contract is executed i want to see it. So if a third part send a big order i want to analyze that big order that has been sent and not the limit order that are in the market book that has hit.
So it's not about what I do in as trade, but to watch and analyze the trades made by others in the market.

[NinjaTrader_ChrisL]

Hi Alessio, thanks for your reply.

The OnMarketData method would need to be monitored for price action/volume information. For an applied example see the "BuySellVolume" indicator.

Best regards,
-ChrisL

[AlessioCianini12]

Ok with the marketDataUpdate.volume i get a volume, but this volume is from which side of the tride? The one that sent the contract or the one that is hit?

[NinjaTrader_ChrisL]

Hi Alessio, thanks for your reply.

OnMarketData is basically what drives the Time & Sales window. It's the price feed that you are receiving for the instrument from your data provider. These are contracts that were either bought or sold at the exchange.

Best regards,
-ChrisL

[AlessioCianini12]

Ok and how can i have the order flow? so not the time and sale but to see the quantity that is sent in the market?

[NinjaTrader_ChrisL]

Hi Alessio, thanks for your reply.

The OrderFlow+ tools, for example, use a one tick series to muster what we call Order Flow. I attached an example of how one can add a 1 tick series and generate order flow-like indicators from it. Technically, the BuySellVolume indicator would also be an Order Flow type of indicator since its collecting the series of bid and ask volumes and ordering them separately. The OrderFlow+ indicators are closed source, so I can not share any details of how NinjaTrader processes the incoming Tick data, but the important part is that OrderFlow is built off this 1 tick bid/ask data stream.

Best regards,
-ChrisL