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Last Cumulative Volume Column for NinjaTrader SuperDOM
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Last Cumulative Volume Column for NinjaTrader SuperDOM

  #1 (permalink)
Seth
Salt Lake City, Utah
 
Futures Experience: Beginner
Platform: Jigsaw, NinjaTrader8
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Posts: 183 since Apr 2016
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Last Cumulative Volume Column for NinjaTrader SuperDOM

So I'm between jobs right now, and I've been doing some scalping using demo accounts. I've noticed that the NinjaTrader DOM is missing some pretty important information. I guess most people usually get this through other tools, but they don't have a demo available.

Anyways, I'm talking about cumulative volume totals. The normal DOM lets you see how many bids or asks are at a specific price level. However, those numbers are changing all the time, and so it's hard to tell when orders were actually executed. This is especially true for something like an iceberg order where lots of shares may have traded, but the number of bids/asks at that price stay the same because the fill triggers a new order to take its place.

NinjaTrader does have a cumulative volume column, but it shows the total volume executed at that price for the entire day. We need to see the volume separated by bid/ask, and only how much has executed since it started printing at that price. In other words, when it starts printing at a new price, the field for that price level gets reset to 0.

So I'm a pretty good C# programmer, and honestly it wasn't too hard to re-purpose their volume column into what I wanted. Here's what it looks like:

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Any ideas on where I should take it from here? I'm willing to share it, but I'm having trouble finding guidelines for how to do that with the forum's downloads section and so forth.


Last edited by TWDsje; November 22nd, 2016 at 06:19 PM.
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  #2 (permalink)
Market Wizard
London UK
 
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TWDsje View Post
So I'm between jobs right now, and I've been doing some scalping using demo accounts. I've noticed that the NinjaTrader DOM is missing some pretty important information. I guess most people usually get this through Jigsaw, but they don't have a demo available.

Anyways, I'm talking about cumulative volume totals. The normal DOM lets you see how many bids or asks are at a specific price level. However, those numbers are changing all the time, and so it's hard to tell when orders were actually executed. This is especially true for something like an iceberg order where lots of shares may have traded, but the number of bids/asks at that price stay the same because the fill triggers a new order to take its place.

NinjaTrader does have a cumulative volume column, but it shows the total volume executed at that price for the entire day. We need to see the volume separated by bid/ask, and only how much has executed since it started printing at that price. In other words, when it starts printing at a new price, the field for that price level gets reset to 0.

So I'm a pretty good C# programmer, and honestly it wasn't too hard to re-purpose their volume column into what I wanted. Here's what it looks like:

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


Any ideas on where I should take it from here? I'm willing to share it, but I'm having trouble finding guidelines for how to do that with the forum's downloads section and so forth.

Good job TWDsje. Since I use Jigsaw I have no particular suggestions but it sounds like your basic functionality is a good starting place.

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  #3 (permalink)
Elite Member
Madrid - Spain
 
Futures Experience: Advanced
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Posts: 110 since Mar 2012
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Hi @TWDsje

If you follow this steps will be easy to upload your generous work here:

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



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


Thank's

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  #4 (permalink)
Elite Member
Madrid - Spain
 
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ignacio90's Avatar
 
Posts: 110 since Mar 2012
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@TWDsje

Are you planning to add other things? I'm interested to have in the ninjatrader dom the last volume traded for the best bid and best ask.

Regards

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  #5 (permalink)
Seth
Salt Lake City, Utah
 
Futures Experience: Beginner
Platform: Jigsaw, NinjaTrader8
Favorite Futures: ZB
 
Posts: 183 since Apr 2016
Thanks: 13 given, 183 received

Ahh, can I only upload things if I'm an elite member?


ignacio90 View Post
@TWDsje

Are you planning to add other things? I'm interested to have in the ninjatrader dom the last volume traded for the best bid and best ask.

Regards

I'm totally open to making changes or new columns of a similar nature. Could you please give me a more detailed explanation? I'm not sure I understand how this is different from what I'm already doing.

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  #6 (permalink)
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TWDsje View Post
Ahh, can I only upload things if I'm an elite member?

Not, you can upload any indicator you want. Follow the route in the image. In this case use the ninjatrader 8 downloads

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  #7 (permalink)
Seth
Salt Lake City, Utah
 
Futures Experience: Beginner
Platform: Jigsaw, NinjaTrader8
Favorite Futures: ZB
 
Posts: 183 since Apr 2016
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I just don't see the link that you posted in your picture. What am I doing wrong here?

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  #8 (permalink)
Seth
Salt Lake City, Utah
 
Futures Experience: Beginner
Platform: Jigsaw, NinjaTrader8
Favorite Futures: ZB
 
Posts: 183 since Apr 2016
Thanks: 13 given, 183 received

Perhaps the feature is locked out until I've made a sufficient number of posts. It seems that way for private messages. I'll keep checking, and upload if I can.

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  #9 (permalink)
Elite Member
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please, upload this!

thanks

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  #10 (permalink)
Elite Member
Washington DC
 
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Any progress?



TWDsje View Post
So I'm between jobs right now, and I've been doing some scalping using demo accounts. I've noticed that the NinjaTrader DOM is missing some pretty important information. I guess most people usually get this through Jigsaw, but they don't have a demo available.

Anyways, I'm talking about cumulative volume totals. The normal DOM lets you see how many bids or asks are at a specific price level. However, those numbers are changing all the time, and so it's hard to tell when orders were actually executed. This is especially true for something like an iceberg order where lots of shares may have traded, but the number of bids/asks at that price stay the same because the fill triggers a new order to take its place.

NinjaTrader does have a cumulative volume column, but it shows the total volume executed at that price for the entire day. We need to see the volume separated by bid/ask, and only how much has executed since it started printing at that price. In other words, when it starts printing at a new price, the field for that price level gets reset to 0.

So I'm a pretty good C# programmer, and honestly it wasn't too hard to re-purpose their volume column into what I wanted. Here's what it looks like:

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


Any ideas on where I should take it from here? I'm willing to share it, but I'm having trouble finding guidelines for how to do that with the forum's downloads section and so forth.

Hi there, I've been lookng for something very similar? Was wondering if you have made any progress? Another idea is to track if orders are being added and removed from the bid and offer...

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