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

  #241 (permalink)
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ES volume counting bug


Quoting 
sometimes on volume in ES it seems to count like a slot machine.

Without even looking at the code, my first guess would be that ChartControl.Refresh is occurring too frequently.

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  #242 (permalink)
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Is there anyay to keep back ticking of small contracts from happening? I understand that it is used to keep track of volume but the bid/offer is not really changing until the standing limit orders on either side are cleared.

thanks in advance...

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  #243 (permalink)
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Back ticking? please can you explain a bit more, not sure what you mean by that?

Thanks
1Lot

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  #244 (permalink)
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Maybe it as to do with the "slot machine" problem. but i find it hard to watch flow if a large order hits the bid/ask and then is immediatley removed from the history cells because 1 or 2 contracts quickly hit and move the large order into the volume ladder.

Or maybe there is a way to highlight the cell history to show red or blue instead of one color. This would help one to see the is ask/bid and the dominate volume trend.

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  #245 (permalink)
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jngrim View Post
Maybe it as to do with the "slot machine" problem. but i find it hard to watch flow if a large order hits the bid/ask and then is immediatley removed from the history cells because 1 or 2 contracts quickly hit and move the large order into the volume ladder.

Or maybe there is a way to highlight the cell history to show red or blue instead of one color. This would help one to see the is ask/bid and the dominate volume trend.

Yes I had this same problem on the Bund, altough I note it is particularly more troublesome on the ES because of all the small 1's and 2's that shunt through. That was the reason I created the second and third columns, they are history columns, that way you can always see the last 3 trades taken place. In Bund it was not ideal but it helped to alleviate the issue. Is it of no use in ES?

Edit: sorry I just reread and notice you mention it is sweeping straight across as was my suspicion since ES has all those 1 and 2 ticks. Another solution which I now use myself as opposed to the snapshot columns is I use a time based Vprofile. At the moment i have mine set to clear on 5minutes. It gives me a fairly good feel for what just went through as it usually only has one or two passes per price before a reset if that makes sense? I could look at putting something like that on the 1LDom, not sure if it would help. Can't at the mo though, pretty swamped. So will take some time unless someone else can pick it up in the mean time.

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  #246 (permalink)
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jngrim View Post
thanks for following up. I appreciate it. If you really want to see it, try market replay and speed it up.

@jngrim, I had a few moments to take a look at this and I can't really see an issue. The DOM isn't printing 1's, on ES at times, fairly often in fact you will have a large number of broken up trades go through the book in a second or less. The cum on the right is summing the raw data and I spent a half hour to check it and all the figures are correct.

The reason the refresh rate does not change anything is because the refresh rate is limited to the Bid/Ask updates as these can bottle the system but I figured that the actual going through are the most important so I wanted to see them going through as soon as they go through with no delays. Unfortunately in ES this means it repaints the screen faster than the eye can see. There is not much I can do about that unfortunately as that is the way it is printed from the exchange. I mean I could build a refresh rate limit option on top of the cum column but all that would be doing is filtering out some trade repaints and so you would see the totals printed once the fast through put stops but wouldn't change the outcomes in anyway and in some cases would potentially slow down a trade paint here and there. In the end it seems to me modifying this would be for the sake of modifying with no added benefit, so I'm going to leave it at that.

Regards the history I agree that there may be a better solution than the snapshot columns but I didn't hear back from you regarding the time profile so I'll just leave that as it is for now.

Cheers
1Lot

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  #247 (permalink)
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1LotTrader View Post
@jngrim, I had a few moments to take a look at this and I can't really see an issue. The DOM isn't printing 1's, on ES at times, fairly often in fact you will have a large number of broken up trades go through the book in a second or less. The cum on the right is summing the raw data and I spent a half hour to check it and all the figures are correct.

The reason the refresh rate does not change anything is because the refresh rate is limited to the Bid/Ask updates as these can bottle the system but I figured that the actual going through are the most important so I wanted to see them going through as soon as they go through with no delays. Unfortunately in ES this means it repaints the screen faster than the eye can see. There is not much I can do about that unfortunately as that is the way it is printed from the exchange. I mean I could build a refresh rate limit option on top of the cum column but all that would be doing is filtering out some trade repaints and so you would see the totals printed once the fast through put stops but wouldn't change the outcomes in anyway and in some cases would potentially slow down a trade paint here and there. In the end it seems to me modifying this would be for the sake of modifying with no added benefit, so I'm going to leave it at that.

Regards the history I agree that there may be a better solution than the snapshot columns but I didn't hear back from you regarding the time profile so I'll just leave that as it is for now.

Cheers
1Lot


Thanks 1lot...What do you mean that you have a vprofile refreshing every 5 minutes? You plot that on the 1ldom? I looked at adding GomMp to the same 1ldom chart in order to visualize the PC/VAH/VAL and VWAP in order to see how the order book and flow reacts to these levels. Is there a way to get around the slowdown? Im still learning, so combining these 2 on the same chart would be great.
thanks


Last edited by jngrim; December 10th, 2012 at 04:12 PM.
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  #248 (permalink)
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aligator View Post
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Just getting more playful with this wonderful indicator. Combined with jtRealStats and GomCD it rocks. Now if I only can read what it is telling me

hi alligator,

do you have the dom on a 1 minute chart? how does that work?

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  #249 (permalink)
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jngrim View Post
Thanks 1lot...What do you mean that you have a vprofile refreshing every 5 minutes? You plot that on the 1ldom? I looked at adding GomMp to the same 1ldom chart in order to visualize the PC/VAH/VAL and VWAP in order to see how the order book and flow reacts to these levels. Is there a way to get around the slowdown? Im still learning, so combining these 2 on the same chart would be great.
thanks

Have a look at the snapshot column area on my DOM on the right, I use a custom time duration VProfile set to 5minutes. So instead of a VProfile that runs for a session duration it is configurable to a custom time. I like to see just a few passes on a price level before having it clear and recount from zero and 5minutes is good for Bund, could be different for another market though, depending on how it moves.

It is no different from a standard Daily Vprofile, just that it allows me to watch accumulation at a shorter time increment to see accumulation at the trade level better. See attached vid link, I made this a while ago when I was doing some speed comparisons and things but you can see clearly how the custom timed Vprofile works as it clears at least once and restarts.



1Lot


Last edited by 1LotTrader; December 11th, 2012 at 05:53 AM.
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  #250 (permalink)
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philipp View Post
hi alligator,

do you have the dom on a 1 minute chart? how does that work?

@philipp, the DOM works in a number of different configurations. The steps I put to follow were just to create 1 standard base configuration so that when people reported bugs I knew from where to start but beyond that there are a number of different options and ways to use it like on minute charts and with candles etc., like Aligator demonstrated.

1Lot

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