Order Flow Software, Dome and VSA for FDAX trading
Thanks to Fat Tails / Balanar I have on Ninja installed the Better Volume Indicator with nice sounds
However I am doing some more homework, since I realize that Order Flow and Volume go hand in hand and prefer to go deeper into the "exact what is happening below the surface of trading FDAX futures and CFD's. And although CFD's are the derivative of Future DAX trading, it is as important to understand the dynamics. I am sure you all agree.
So far I have been investigating the last few days software from OFA, 9G, Jigsaw, Market Delta Trader, TradeGuider, BookMap etc. but wonder, since most software is used on ES, if there are traders with some years experience using either these platforms in Ninja for the FDAX ?
Questions are also, what are their average monthly overhead to run these packages, including Ninja Licence at $ 60,00 a month, E 23,00 Exchange fee, and if the CQG feed provides sufficient depth of the FDAX market ?
Please let me know FDAX Traders your opinion and experience. Appreciate this.
The Ninjatrader License varies with the model you choose; with some experience and positive perspectives of
your trading style, the lifetime model is most attractive - e.g.: divided by the months of use, I'm below 20$ now.
Eurex fees incl Level 2 are between 20€ and 40€ for all non-professionals and all brokerages and data vendors that I know per month.
Considering realtime data: What do you consider "sufficient"?
Other than e.g. 2011/12, market depth for the FDAX is pointless most of the time today - esp during holiday season.
No matter which data stream you buy, level 2 data in sum won't contain more than about 30-50 contracts for up to
10 ticks each side most of the time at the moment.
If your trading depends on liquidity, you implicitly found the answer why most of the packages that you have checked
primarily use the ES.
Last edited by choke35; July 21st, 2015 at 07:21 AM.
I had fun with excel today and put together a table showing Relative Volatility and Range per hour using 5 years of data. I thought I would share it with fellow FDAX traders because I just wanted to demonstrate to myself with numbers what I had a good hunch after watching the market for the past year. Please note that the data is not optimized so holidays or other special days are not removed.
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glossary: Delta Volatility = Relative Volatility - Median of Hourly Relative Volatility
Delta Range = Median Range - Median of Delta Range
Hours: 0900 => 0800 - 0900 etc.
Last edited by JohnS; July 23rd, 2015 at 03:17 PM.
Reason: updated pix
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And if you feel inclined, the excel source so others can plugin their own data.
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