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

  #271 (permalink)
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test results

Seems to be working fine. Have not noticed any problems at all.

"If we don't loosen up some money, this sucker is going down." -GW Bush, 2008
“Lack of proof that something is true does not prove that it is not true - when you want to believe.” -Humpty Dumpty, 2014
“The greatest shortcoming of the human race is our inability to understand the exponential function.”
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  #272 (permalink)
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I hesitate to post this image since this ONLY works on my custom charts which are not available.
But just to show how a similar indicator can be created not based on Gomi's work I will post it.

The indicator is shown on custom RichEaux candles.
(created by Richard and no longer published)
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Left to right description of the indicator in the main panel:

Total Volume for session: Left side in blue font with histogram.
Bid Volume for session: Left ladder grid red font with histogram.
DOM Bid side white font.
Bid RT Current Volume. Background colored red if it is larger than Ask RT
(This can be refreshed to clear the column with each new leg)
Middle Red/Green boxes are current traded volume bid/ask.
Ask RT Current Volume. Background colored green if it is larger than Bid RT
(This can be refreshed to clear the column with each new leg)
DOM Ask side white font.
Ask Volume for session: Right ladder grid green font with histogram.

The bottom panels are Cumulative Delta and Schaff Cycles

The indicator will work on any of the custom chart time frames and is not limited to one tick.
It also displays beside the candles as shown.

I can not share the indicator since it WILL NOT work on anything other than the custom charts I use. The charts are NOT available. Perhaps this will inspire someone on futures.io (formerly BMT) to create an indicator that will do this without the Gomi system or the custom charts I use.

I know someone will insist it will work on other charts so I also included an image of a one minute standard NT chart with the same template. As you can see, most of the indicator will not display.

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Ninja Trader Custom Order Book - 1LDom - Source Code-domvp-1-min.jpg  
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  #273 (permalink)
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Combine Ladder and Order Book


This idea may not be the Holy Grail, or even Grailette, but seems to have some potential.

Credit also to @DavidHP and @Silvester17.

The very impressive @DavidHP chart looks a lot like Jigsaw Depth of Sales. Possibly more useful than what I posted here. The bartype he is using gives buy/sell volume based on the UpDownTick method without having to use anything else. Hopefully in NT8 we will be able to backfill bid ask buy/sell volume without having to use a recorder.

The Dom and ladder could be combined into one, but right now I am not feeling that ambitious. Or motivated.

Note top secret version of Gom Volume Ladder with Improved Graphics (GLIG).

The same astounding level of artistic talent that gave us the Ming Necktie has greatly improved the clarity and usability of the delta volume histograms.

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"If we don't loosen up some money, this sucker is going down." -GW Bush, 2008
“Lack of proof that something is true does not prove that it is not true - when you want to believe.” -Humpty Dumpty, 2014
“The greatest shortcoming of the human race is our inability to understand the exponential function.”
Prof. Albert Bartlett

Last edited by Zondor; January 24th, 2013 at 06:35 AM.
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  #274 (permalink)
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Zondor View Post
This idea may not be the Holy Grail, or even Grailette, but seems to have some potential.

Credit also to @DavidHP and @Silvester17.

The very impressive @DavidHP chart looks a lot like Jigsaw Depth of Sales. Possibly more useful than what I posted here. The bartype he is using gives buy/sell volume based on the UpDownTick method without having to use anything else. Hopefully in NT8 we will be able to backfill bid ask buy/sell volume without having to use a recorder.

The Dom and ladder could be combined into one, but right now I am not feeling that ambitious. Or motivated.

Note top secret version of Gom Volume Ladder with Improved Graphics (GLIG).

The same astounding level of artistic talent that gave us the Ming Necktie has greatly improved the clarity and usability of the delta volume histograms.


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Zondor, I swear half the time I never know what the hell you are going on about.. lol

I ran that version all day today and seems good.

1Lot

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  #275 (permalink)
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Missing Image in Preceding Posting.

My preceding posting made no sense because the image I had uploaded disappeared. I just put it back in.

"If we don't loosen up some money, this sucker is going down." -GW Bush, 2008
“Lack of proof that something is true does not prove that it is not true - when you want to believe.” -Humpty Dumpty, 2014
“The greatest shortcoming of the human race is our inability to understand the exponential function.”
Prof. Albert Bartlett
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  #276 (permalink)
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Interesting thread, I just downloaded the indicator and started playing around with it.

There seems a lot of stuff in the code left over from the gomi VolumeLadder that isn't actually needed for drawing a DOM and tracking R/T values.

What is the advantage of using the gomi framework at all, since the gomi data files aren't invovled?

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  #277 (permalink)
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futuretrader View Post
Interesting thread, I just downloaded the indicator and started playing around with it.

There seems a lot of stuff in the code left over from the gomi VolumeLadder that isn't actually needed for drawing a DOM and tracking R/T values.

What is the advantage of using the gomi framework at all, since the gomi data files aren't invovled?

No advantage to it, I built 1LDom for my own trading as a proof of concept. Essentially by using the Gomi framework, it allowed me to piece together something functional in a very short period of time without having to delve into the deep mechanics of a fully blown order book.

1Lot


Last edited by 1LotTrader; January 31st, 2013 at 10:57 AM. Reason: waffle
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  #278 (permalink)
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@1LotTrader

The 1LotDOM captures total volume at each price level, is there a way to capture Bid and Ask. I guess I would need to 2 1LotDOM Charts open, one capturing bid data and the other ask data.

Regards

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  #279 (permalink)
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Trafford View Post
@1LotTrader

The 1LotDOM captures total volume at each price level, is there a way to capture Bid and Ask. I guess I would need to 2 1LotDOM Charts open, one capturing bid data and the other ask data.

Regards

Yes, changing the underlying base series should accomplish that, not ideal but it doesn't support it in any other form at the moment.

If you are able to modify code, it would not be a huge mod, add a couple of extra data series with Ninja Add() in Initialise, one of type ask and one of type bid, then pass those series to the new columns in onbarupdate.

I'll note it down to have a look at if I have some spare time.

1Lot

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  #280 (permalink)
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1LotTrader View Post
Yes, changing the underlying base series should accomplish that, not ideal but it doesn't support it in any other form at the moment.

If you are able to modify code, it would not be a huge mod, add a couple of extra data series with Ninja Add() in Initialise, one of type ask and one of type bid, then pass those series to the new columns in onbarupdate.

I'll note it down to have a look at if I have some spare time.

1Lot

Wouldn't the timing sequence be unreliable if you used different data series?

I was playing around with a non-gomi DOM over the weekend, looking at different ways to visualize the data:

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