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Ninja Trader Custom Order Book - 1LDom - Source Code
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Ninja Trader Custom Order Book - 1LDom - Source Code

  #161 (permalink)
Elite Member
denver, colorado
 
Futures Experience: Intermediate
Platform: NT
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Surly's Avatar
 
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question about speed

I have a question for you guys - I was watching crude during the EIA release this morning. My NT DOM was not keeping up at all - not even registering trades, depth, anything. But this "indicator" was really keeping up an displaying depth, trades, etc. I wonder if anyone can explain how NT's DOM is so pathetic it can't keep up when a good programmer can write an indicator that does keep up?

Any insight appreciated.

Seek freedom and become captive of your desires. Seek discipline and find your liberty. - Frank Herbert
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  #162 (permalink)
 Vendor: the1lottrader.com 
Douglas, United Kingdom
 
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Surly View Post
I have a question for you guys - I was watching crude during the EIA release this morning. My NT DOM was not keeping up at all - not even registering trades, depth, anything. But this "indicator" was really keeping up an displaying depth, trades, etc. I wonder if anyone can explain how NT's DOM is so pathetic it can't keep up when a good programmer can write an indicator that does keep up?

Any insight appreciated.

Surly,

It is not really fair to label Ninja's DOM as pathetic without having an understanding of the challenges they face in development. When you write code for a large user base you must build applications defensively to ensure that they work for the majority. Everything in life is a compromise as it is with software development. Unfortunately for them, having a large user base with sometimes less experienced users means they have to account for situations where you have Joe Bloggs trading with 65 charts open while watching Youtube and then complaining that his Ninja is slow.

They have to build in various things like the screen refresh rate settings to ensure the package will be able to continue to operate under high loads and maintain stability etc., this is a necessity in order to save certain users from themselves but on the other hand the one size fits all approach can be limiting for others.

So in this case it is easy to extract a bit more with the 1LDom but the thing is that flexibility comes with a cost - the responsibility is on the operator to ensure they know what they are doing. When I wrote 1LDom it was basically for myself to use and so yes you will be able to get it to run faster than the Ninja DOM, BUT beware, if you abuse the settings in the 1LDom you will be far more likely to cause the type of problems Ninja were trying to prevent in the first place.

1Lot

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  #163 (permalink)
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1LotTrader View Post
Surly,

It is not really fair to label Ninja's DOM as pathetic without having an understanding of the challenges they face in development. When you write code for a large user base you must build applications defensively to ensure that they work for the majority. Everything in life is a compromise as it is with software development.

Thanks 1lot! I appreciate you taking the time to provide that answer. You're right, I am judgmental of NT without really understanding their challenges. Hopefully they will speed up the DOM in NT 8 - in the meantime, thanks for providing your alternative.

Seek freedom and become captive of your desires. Seek discipline and find your liberty. - Frank Herbert
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  #164 (permalink)
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ThatManFromTexas View Post
@lolu

It is the free version .... but not the latest version as I don't use the added features of the newer version.

@TMFT, which version is it? There's a bunch of them posted in his thread but I don't think I have the "actual" version. I can just download from his thread if you tell me which version it is. Thanks

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  #165 (permalink)
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Can anyone assist me in rearranging the Constant Price Ladder to display the price ladder column firs and have the bid ask ladder shown side by side? I had posted this request earlier but didn't receive a response. I am not a programmer so I am not sure how difficult this may be to accomplish or if it would affect the performance of the indicator.

@1LotTrader, Thanks for your work. I have been using for a few weeks now and it has helped me to focus more on the volume at the bid ask price and the speed of the volume coming into the market as it hits the bid and ask and how price responds to the volume.

Correct me if I am wrong but so far my assumptions are that when high volume hits into the bid and price bounces up through the ask price there is a strong possibility that there are more aggressive buyers than sellers there is support at that level and price will continue its momentum up. When high volume hits into the ask and price falls through the bid price there are more aggressive sellers than buyers and there is resistance at that price level and price will continue its momentum down.

The next assumption is that the displayed volume in the bid ask columns are passive limit and stop orders for buyers and sellers to enter or exit the market at a specific price level. However, price does not move up or down unless a large market order is placed that is enough to absorb the passive entry and exit orders to move price up when there are aggressive market orders to enter or exit once a specific resistance or support level is reached.

In most cases these large orders are submitted by large traders with enough buying power to move the markets in either direction. Smaller traders try to get on board when they see the price reaction when large orders are passing through the market. Depending on whether or not traders with active trades are in or out of the money their stops or profit targets are triggered and causes price to move up or down to the next price level where there are market participants to repeat the cycle. The higher the total volume coming in and out of the market would determine the amount of volatility in price movement and the range of the market.

This may be overly simplified but would appreciate if you can confirm if I am headed in the right direction. This is very much a quick in and out strategy as the moves are usually brief and opportunities come and go quickly. I have been testing these assumptions on ES and ZB futures with market replay on SIM and the results have been somewhat successful compared to other strategies I have tried in the past.

As for stop and loss I have been using a 1 to 1 ratio for 2 to 3 ticks. Trades usually take 5-10 minutes to let me know if I am right or wrong.

I am continually hearing that the most successful traders don't use complex indicators and just watch price action. Lately, I have been trying to get to that point by watching the DOM and time and sales with a reversal chart for reference. Does anyone trade this kind of method and been successful with it on a consistent basis? Hope I am on the right track.

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Ninja Trader Custom Order Book - 1LDom - Source Code-setup.jpg  
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  #166 (permalink)
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In regards to screenshot in my previous post it seems that the 1LotDom refreshes much faster than the chart and the stock Ninjatrader DOM. If you notice that 1LotDoM shows the current price at 1412.50 while the chart on the left shows the current price at 1412.00. There also seems to be a difference in the Time and Sales on the 1LotDom vs the Chart with the XAV Filtered Time and Sales. This is replay data and I haven't run this on a live feed just yet to see what the difference is. Also the 1LotDOM shows 10 levels as opposed to the 5 levels on the stock NT DOM.

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Ninja Trader Custom Order Book - 1LDom - Source Code-setup.jpg  
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  #167 (permalink)
 Vendor: the1lottrader.com 
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@Swishy27 ,

Well done, you are on the right track there. Just keep at it, keep watching, keep reading. The more you do this and the more you think about what is going on, the more it will begin to make sense to you.

I am really totally swamped busy at the moment with some stuff but here is one thing I will add that may be of use to you. This may not be the best way or whatever but it is the way I know and how I taught myself. When you look at the DOM you need to create context. When I say context I mean you need to know that a particular set of parameters are currently in place and then you watch how does price play out at that point in time. The reason I say this is because for me it is much easier to build what I might call areas of interest or whatever and then I can make like for like comparisons.

As an example, if I just sit all day and watch the DOM without context, yes eventually you will begin to see some patterns but after 5 hours, maybe your eyes are square and you are half asleep. This is not a framework for creating longevity and maintaining razor sharp focus over time. So my advice is this, you need to isolate market action and then concentrate on that particular action until you get proficient at it and then add some more. You can isolate in many ways, a very simple method is time.. maybe you choose to watch the first half hour of a particular market or whatever suits you.

Me I am in the market all day so what I did was I looked to isolate based on some technical criteria. My base was from charts so I used what I knew, very simple method, put an RSI on chart, whenever RSI moves above 70, this is a particular context of market, now watch DOM and see what is going on here, what the volume does etc... when it is not over 70, forget it.. now when it's under 30, again watch what is happening .. over time you will see how players are reacting during certain market contexts.. notice the use of RSI has nothing to do with predicting anything, it is purely to tell you, the market is currently in a certain state. I think for creating context the chart is good as its simple and it's a visual tool, the DOM is less of a visual tool, I mean similar methods of context construction could be done on DOM only but because it is very much non-visual you would need to create more of an algorithmic type context measuring the momentum for example and alerting you to certain criteria. I think for most people keep it simple and most like me know charts already. So visual chart context in my opinion is as good a starting point as any. The RSI is just an example, use what you like.

Regards the tiny details, don't worry so much about more buyers than sellers and this and that, it doesn't need to be so complicated.. if you watch the market in context for long enough what you will see is price moving back and forward between areas where volume gets bigger (areas of interest) and areas where there is no interest, (high and low liquidity areas).. forget this more buyers, more sellers stuff.. you can never know it and it is of little value, what is more important is seeing where is the liquidity.. it is simply this, high volume slows down price. For me it is about knowing the impact of volume on price and knowing your market.

As a quick example I can tell you in the Bund if we are extended over 75 RSI and we have just flushed through a bunch of stops and someone drops 1000 on the market, then another 1000, price is not going to continue to run like mad. Just a very simple example using above context.. there are many many examples and different things that can happen.

It's just time invested and study, but when you study make sure you study smart.. Hopefully some help to you on your journey.

Cheers
1Lot

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  #168 (permalink)
Trading for Fun
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This is an awesome tool you created 1LOT. I just need some help downloading it to my NinjaTrader 7 platform.Can anyone give me some instructions on setting this up?

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  #169 (permalink)
 Vendor: the1lottrader.com 
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@Bri219 See here: How-To: Order Book ~ The 1Lot Trader

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  #170 (permalink)
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But it is just working with ES?

Would love to have that for the FDAX ..... nevertheless great work!

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