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DOM flow analysis on NT8 replay data
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DOM flow analysis on NT8 replay data

  #1 (permalink)
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DOM flow analysis on NT8 replay data

I thought and looked around for a while, and there is some emphasis on order flow analysis. There are some tools for it out there as well ... however, none free that a newbie can grab and play with.

So, a small project: DomRunner.

1) Install / make sure you've got NT8 installed (I used Windows 10 x64).
2) install it, import the NT study placed under \Program Files x86\NinjaTrader8x64ToImport
3) Download some replay data on NT8
4) Pull up a chart, add DomConnector indicator and start the replay (you may fast-speed to x10)
5) Start DomRunner, press center. It will show unfiltered, non-aggregated order-flow data as it comes from the chart.

Goal: Build one's own Free DOM that can @issue@ orders in a local simulated account, so that one can test various ideas on the order flow.
Tool is downloadable from the downloads area (https://futures.io/local_links.php?action=ratelink&catid=27&linkid=2031).

What do you guys think? {expect a beta software experience; open to feature suggestions; please let me know in private if it works ok @ your end}


Last edited by andby; December 18th, 2018 at 07:58 AM. Reason: adding downloads area link
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  #2 (permalink)
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  #3 (permalink)
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view of the GUI


View of what you should see:

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This can be seen as the raw metal getting into a car engine manufacturing process. Nonetheless, the absolute requirement is this raw data needs to be: accurate and not filtered / aggregated in any way shape or form - which is not the easiest task considering the speed of flow data.
More enhancements and customization to come.

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Interesting Idea and would look forward to the progress on this.

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Work in progress - trading simulator & placing trades on the ES plus a big refactor of data transfer for a more efficient and faster transfer.

Current view:

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Once some bug fixing done, will post. Your feedback is welcomed.
Thanks

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  #6 (permalink)
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Definitely looks promising Andy; keep up the good work.

I'm sure at some point you're going to hear that it looks very similar to Jigsaw (the older version), which I also still have/use, but yours of course is free and hopefully remain so :-)

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When you said in your first post that you couldn't find a good order flow analysis platform that was free for you to have a play around with........so your solution was to build one yourself. That made me laugh.
But that just shows my own lack of programming knowledge. I am very impressed. Nice job.

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update

Quick update:

1) New installer in the downloads section (https://futures.io/local_links.php?action=ratelink&catid=27&linkid=2031) w/ better data communication from NT. No more lagging or massive queuing which is not too realistic.
2) Order placing - 1 contract @ a time only. Report private any issues, or any feature requests. Since liquidity is important, and I'm lacking beta testers, it only works on ES-March-19 at the moment.

I think you guys are actually able to figure out what went into this from a cost perspective, regardless of the time spent.
So, if you see any value in it, you're welcomed to donate a coffee through the app. This will encourage going ahead with development.

Thanks !!!


Last edited by andby; January 11th, 2019 at 07:04 AM. Reason: adding download link
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  #9 (permalink)
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Definitely interesting Andy. Keep up the good work. It will be very useful tool for Ninjatrader community in the future.

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andby View Post
I thought and looked around for a while, and there is some emphasis on order flow analysis. There are some tools for it out there as well ... however, none free that a newbie can grab and play with.

So, a small project: DomRunner.

1) Install / make sure you've got NT8 installed (I used Windows 10 x64).
2) install it, import the NT study placed under \Program Files x86\NinjaTrader8x64ToImport
3) Download some replay data on NT8
4) Pull up a chart, add DomConnector indicator and start the replay (you may fast-speed to x10)
5) Start DomRunner, press center. It will show unfiltered, non-aggregated order-flow data as it comes from the chart.

Goal: Build one's own Free DOM that can @issue@ orders in a local simulated account, so that one can test various ideas on the order flow.
Tool is downloadable from the downloads area (https://futures.io/local_links.php?action=ratelink&catid=27&linkid=2031).

What do you guys think? {expect a beta software experience; open to feature suggestions; please let me know in private if it works ok @ your end}

Sorry, but the file has been deleted, as per FIO's policy of not uploading .exe files.

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