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Volume and sales numbers?
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Volume and sales numbers?

  #1 (permalink)
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Volume and sales numbers?

Hey everyone,

I'm looking for help in NinjaTrader with getting specific execution info for the markets, I think this may be what people refer to as "time and sales" but I'm not sure. I'd like to be able to find out how many contracts were traded, and at what price, for a specific time period. For example, today we had the NFP/jobs report which led to a strong rally in the ES in the first two minutes after the release, and I'd like to know during that first minute candle how many contracts were traded at each price level. I've attached a pic of the price move for reference.

Right now all I can tell is the OHLC prices and the total volume, which was ~28k contracts, but I'd like to know how many were traded at each price point and at what time, if possible -- in other words, was the volume evenly distributed, was it all bottled up towards the extreme (almost like a gap move up), etc.

Lastly, I'm hoping there's a way I can do this with a sim account, and also with market replay, which I guess is another question -- can I go back in time and see those levels, or can I only see them briefly while they're happening, with a live account?

Thanks for the help.

Attached Thumbnails
Volume and sales numbers?-nfp-12-7-12.jpg  
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  #2 (permalink)
Market Wizard
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LightWeight View Post
Hey everyone,

I'm looking for help in NinjaTrader with getting specific execution info for the markets, I think this may be what people refer to as "time and sales" but I'm not sure. I'd like to be able to find out how many contracts were traded, and at what price, for a specific time period. For example, today we had the NFP/jobs report which led to a strong rally in the ES in the first two minutes after the release, and I'd like to know during that first minute candle how many contracts were traded at each price level. I've attached a pic of the price move for reference.

Right now all I can tell is the OHLC prices and the total volume, which was ~28k contracts, but I'd like to know how many were traded at each price point and at what time, if possible -- in other words, was the volume evenly distributed, was it all bottled up towards the extreme (almost like a gap move up), etc.

Lastly, I'm hoping there's a way I can do this with a sim account, and also with market replay, which I guess is another question -- can I go back in time and see those levels, or can I only see them briefly while they're happening, with a live account?

Thanks for the help.

@LightWeight,

one possibility (the best in my view) would be with a volume ladder.

but you need to be an elite member in order to get the indicators.

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

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  #3 (permalink)
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Silvester17 View Post
@LightWeight,

one possibility (the best in my view) would be with a volume ladder.

but you need to be an elite member in order to get the indicators.

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

Wow, I think that might be exactly the kind of thing I'm looking for, thanks.

If I'm reading it correctly, is it showing the total volume for the day at each price point on the right, and then the current volume at each price point in the candles?

And can you go back in time with it using historical/replay data, say if you wanted to see that info for last month's jobs report?

I keep putting off signing up for elite membership but it's definitely something I need to do. I don't suppose I could trouble you to take a screen shot of the volume ladder for the 8:30 price move, could I?

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  #4 (permalink)
Market Wizard
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LightWeight View Post
Wow, I think that might be exactly the kind of thing I'm looking for, thanks.

If I'm reading it correctly, is it showing the total volume for the day at each price point on the right, and then the current volume at each price point in the candles?

And can you go back in time with it using historical/replay data, say if you wanted to see that info for last month's jobs report?

I keep putting off signing up for elite membership but it's definitely something I need to do. I don't suppose I could trouble you to take a screen shot of the volume ladder for the 8:30 price move, could I?

unfortunately it doesn't work with historical data, you need to record the data. but it's all well explained in different threads.

my trading computer wasn't turned on this morning for the job report, so I don't have any data. sorry about that.

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  #5 (permalink)
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LightWeight View Post
Hey everyone,

I'm looking for help in NinjaTrader with getting specific execution info for the markets, I think this may be what people refer to as "time and sales" but I'm not sure. I'd like to be able to find out how many contracts were traded, and at what price, for a specific time period. For example, today we had the NFP/jobs report which led to a strong rally in the ES in the first two minutes after the release, and I'd like to know during that first minute candle how many contracts were traded at each price level. I've attached a pic of the price move for reference.

Right now all I can tell is the OHLC prices and the total volume, which was ~28k contracts, but I'd like to know how many were traded at each price point and at what time, if possible -- in other words, was the volume evenly distributed, was it all bottled up towards the extreme (almost like a gap move up), etc.

Lastly, I'm hoping there's a way I can do this with a sim account, and also with market replay, which I guess is another question -- can I go back in time and see those levels, or can I only see them briefly while they're happening, with a live account?

Thanks for the help.

You can create a 1 tick Range chart with a regular volume in a secondary panel. This way you'll be able to see how many contracts traded at any given price level and be able to see if price ticked higher or lower. Works with historical datas.

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  #6 (permalink)
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Silvester17 View Post
unfortunately it doesn't work with historical data, you need to record the data. but it's all well explained in different threads.

my trading computer wasn't turned on this morning for the job report, so I don't have any data. sorry about that.

Ah, bummer, but that's good to know, I figured you probably had to record the data since it wasn't a NT indicator, but was hoping otherwise. Thanks again for the help, I'll check it out once I sign up for elite.

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  #7 (permalink)
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trendisyourfriend View Post
You can create a 1 tick Range chart with a regular volume in a secondary panel. This way you'll be able to see how many contracts traded at any given price level and be able to see if price ticked higher or lower. Works with historical datas.

Hmm, I'm not sure I did that right....I set the interval to 1 tick, but what I get now are a lot of really long flat lines, it's not easy to tell at a glance what the volume was at each point. I attached a pic, is this what you were referring to or did I screw it up somehow?

Attached Thumbnails
Volume and sales numbers?-tick-chart.jpg  
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  #8 (permalink)
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LightWeight View Post
Hmm, I'm not sure I did that right....I set the interval to 1 tick, but what I get now are a lot of really long flat lines, it's not easy to tell at a glance what the volume was at each point. I attached a pic, is this what you were referring to or did I screw it up somehow?

You wand to use Range in data series instead of tick but define 1 as size of each bar.

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  #9 (permalink)
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trendisyourfriend View Post
You wand to use Range in data series instead of tick but define 1 as size of each bar.

Okay I think I got it, I attached another screenshot this time with range. I was able to go through and actually click on each candle now to see the volume and the time.

It looks like when the report was released it took about 2200 contracts to move the price from 1409, where it was before the report, to about 1415, where it kind of got stuck for a while before eventually moving upward to 1422.

The reason I ask all this is because I'm curious what would prevent someone from using a bracket order around the pre-report price. In this case the pre-report price was 1419, so you could place a buy stop a few ticks above and a sell stop a few ticks below, and then when the market reacts to the news it would hopefully put you in on the winning side without getting whipsawed, or getting a ridiculous amount of slippage. I was curious how much volume actually took place around the news price and on the way up, because obviously the less volume the less likely you are to get filled at a decent price.

I've tried doing this in live sim a few times and it usually works, even with the simulated delay NT uses to represent the communication delay to the exchange. And slippage isn't usually more than a few ticks, if at all. But if that's the case, I wonder why more people aren't doing it? My assumption has been that you simply can't compete with the HFT wizards and the co-location traders who will beat you out the door, and that if I tried this with a live account I would end up getting filled at 1415 instead of 1410 -- I'd be buying at the top of the move instead of the bottom. Granted it still went up quite a bit from there, but it could have just as easily reversed and screwed you.

If it's simply a matter of speed, I wonder if renting an HFT server near the exchanges would give you a better edge and a better fill in that case, or if it's simply not possible to compete with the pros at that level.

Anyway, thanks again, I think this is the info I was looking for. If anyone has anyone experience or advice on bracket trading I'd love to hear it.

Attached Thumbnails
Volume and sales numbers?-range-chart.jpg  

Last edited by LightWeight; December 7th, 2012 at 10:02 PM.
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  #10 (permalink)
Market Wizard
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LightWeight View Post
Okay I think I got it, I attached another screenshot this time with range. I was able to go through and actually click on each candle now to see the volume and the time.

It looks like when the report was released it took about 2200 contracts to move the price from 1409, where it was before the report, to about 1415, where it kind of got stuck for a while before eventually moving upward to 1422.

The reason I ask all this is because I'm curious what would prevent someone from using a bracket order around the pre-report price. In this case the pre-report price was 1419, so you could place a buy stop a few ticks above and a sell stop a few ticks below, and then when the market reacts to the news it would hopefully put you in on the winning side without getting a whipsawed, or getting a ridiculous amount of slippage. I was curious how much volume actually took place around the news price and on the way up, because obviously the less volume the less likely you are to get filled at a decent price.

I've tried doing this in live sim a few times and it usually works, even with the simulated delay NT uses to represent the communication delay to the exchange. And slippage isn't usually more than a few ticks, if at all. But if that's the case, I wonder why more people aren't doing it? My assumption has been that you simply can't compete with the HFT wizards and the co-location traders who will beat you out the door, and that if I tried this with a live account I would end up getting filled at 1415 instead of 1410 -- I'd be buying at the top of the move instead of the bottom. Granted it still went up quite a bit from there, but it could have just as easily reversed and screwed you.

If it's simply a matter of speed, I wonder if renting an HFT server near the exchanges would give you a better edge and a better fill in that case, or if it's simply not possible to compete with the pros at that level.

Anyway, thanks again, I think this is the info I was looking for. If anyone has anyone experience or advice on bracket trading I'd love to hear it.

I'm doing this from time to time. but I would recommend only es for that matter. normally you should have enough volume for a decent price.

just keep in mind, by placing a buy stop and a sell stop, if there's a wild swing, your buy and sell limit could both be executed. with other words a buy stop at 1410 and a sell stop at 1400 could end up with a loss of at least 10 points.

normally the market has a favorite direction where that report (only the important ones) should come out. now if that report comes out very strong but the other way, that's when the big moves happen. so imo it's more important to have a fast news feed than a server near the exchanges. and in that case I only need to go long or short without a bracket.

anyway it's a great idea, but be aware of the risk.

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