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Best of the Best Order Flow Analysis add-on for Ninjatrader 8 x64(and for Motivewave)


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Best of the Best Order Flow Analysis add-on for Ninjatrader 8 x64(and for Motivewave)

  #21 (permalink)
 
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 TheSeeker 
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Is there a specific reason why you want to trade FX ? If you are keen on using order flow maybe take a look at the futures markets. Why try to apply order flow concepts on the Spot FX markets, you are only making things harder than they already are.

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  #22 (permalink)
 
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 Aragorn 
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You may want to ask this group for advice and recommendations.
https://www.facebook.com/groups/volumeorderflowtraders
I need to mention that they are totally Technical Analysis adverse so Moving Averages, MACD, CCI, RSi etc on your charts would have the same reaction to them as a vampire has to seeing sunlight!

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  #23 (permalink)
Blonde
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hedgeplay View Post
I am in agreement with you.




Only if you decide you need to in order to accomplish your goals.

In some forum somewhere I saw a discussion on mitigating the lack of a central exchange by either proxying global Order by switching to the broker with the largest Order Flow for a specific pair buying multi-broker integration bridges like from westernpips.com, setup up account connections at 10 FX brokers and building their own limited central repository of FX Order Flow.

You will need only as many tools as you will need. I raised this as a concern area partially because of NT8's very limited FX broker capability. If you have all the Order Flow transaction visibility you need from the FX brokers your NT client will connect with they maybe you do not need any separate investment for FX.

If decide that you need to connect to a specific FX broker none of your current tools will let you connect to, or connect to well enough then you would need new tools.




Good post.

" to give me the most accurate general idea of how these Order Execution going in the dark pools ...""

AFIK even for stocks with central exchanges generally Dark Pool transactions are not visible until the end of the trading day or sometime a day or two after that. The problem is hard enough to solve without having to include Dark Pools so my responses will ignore Dark Pools until the easier (but still difficult to solve) layers are resolved.


" to give me the most accurate general idea of how these Order Execution going in ... broker or out of broker between brokers and Clearing-house.""

This is the crux of the challenge of Order Flow with regards to FX. Gaining near real-time visibility to enough of the FX transactions for a specific pair for Order Flow Analysis to be meaningful.




Without near real-time visibility to the majority of global FX transactions for a specific pair is it possible for any tool to know and present meaningful Bid Absorption, Bid Imbalance, total Bid and Ask range, Bid and Ask Histograms?


From the sum of my life experiences the approach I would take is to:
1) First identify how your going to get near real-time visibility to enough of the FX transactions for the specific pairs you most care about for Order Flow Analysis to be meaningful.
2) Second, expecting the first step to have introduced a number of account and technology constraints I would define the overall project and tech stack including the applications I will use for Order Flow Analysis.

Assuming Order Analysis (OFA) capability for FX is very important to you then given A) the difficultly of gaining visibility broad enough FX transaction details to execute meaningful Order Flow Analysis and B) NinjaTraders limited FX broker connectivity capability then I have been recommending that you not finalize your Order Flow Analysis tool selection decision until step number 1 just above is complete.



Possible easiest path to at least partial capabilities ... Volume Price Analysis (VPA)

A related set of capabilities that requires good visibility to how volume is changing over time (which I believe is more available from some FX Brokers than the broader transaction history required for OFA) is Volume Price Analysis (VPA).

VPA requires visibility to changes in volume ... but not necessarily visibility to all of global FX volume. My thinking is that if your connected to one of the biggest FX brokers for a specific pair and that broker does a good job of providing you with volume then you just might have enough to use the volume from that FX broker as a proxy for global volume and take full advantage of the VPA tools.

A few related links are pasted in below.


HedgePlay












Hiya @hedgeplay



Thanks. Regarding '...switching to the broker with the largest Order Flow for a specific pair buying multi-broker integration bridges like from westernpips.com, setup up account connections at 10 FX brokers and building their own limited central repository of FX Order Flow.' I believe IB works as a large broker, but connecting an Order Flow Analysis tool to these websites and IB's data and maybe a private data provider and merge every data will need a sophisticated technical analysis tool that supports these many things. Per my day to day experience, IB TWS connection to Motivewave Ultimate and Multicharts 14 isn't that stable(sometimes Stol Los or Take Profit orders doesn't submit while placing orders, orders didn't get through the market or technical issues preventing orders and positions from closing down, and OCO orders for Stol Loss and Take Profit will not be executed properly, e.g. Position closed by Take Profit will remain with an open Stop Loss order that get filled as an independent order, if the price reach it's a trigger point, etc and nether IB nor Motivewave team or Multicharts team couldn't fix these issues, also I shall say that Mulicharts have lower errors than Motivewave in these cases). Thus with what order flow tool in my trading server I can connect that website or similar website's data to IB's data and possibly private data provider's data and merge these to analyse the perfect Order Flow? The only Order Flow analysis tool that I can found for Motivewave Ultimate was this orderflowanalytics(dot)com/#software as AlgoX etc here in this link, and I don't know if there is the possibility to merge this third-party data provider 'westernpips (dot) com' to the Motivewave Ultimate? And if I can't connect it, how can I analyse the Order Flow alongside my current FX trading strategies?


Regarding 'You will need only as many tools as you will need. I raised this as a concern area partially because of NT8's very limited FX broker capability. If you have all the Order Flow transaction visibility you need from the FX brokers your NT client will connect with they maybe you do not need any separate investment for FX.' I do select IB as my prime choice, and also the NT8 connects to IB, but it's not as sophisticated as Motivewave Ultimate in Technical Analysis, and the strategies that I run need sophisticated Technical Analysis that I believe the Motivewave Ultimate is the best option for it(as long as we consider the support team of Motivewave Ultimate consider fix the reported bugs in near feature).

Regarding 'This is the crux of the challenge of Order Flow with regards to FX. Gaining near real-time visibility to enough of the FX transactions for a specific pair for Order Flow Analysis to be meaningful.' I shall say that per my knowledge of today, and my researches in FX trading, there is no Transactional Volume available from any data provider in FX trading, as the Volume and associated Order Flow that is related to the Volume(directly or indirectly) are just Tick Volume and you never have access to Transactional Volume from any Broker data feeds or Private Data provider, besides I heard some brokers may allow the Trade Volume in them get accessed by the Institutional account holders who have an account with that broker? And I don't get any proper reply from IB that if they provide any Trade Volume to Institutional account holders with them or not as getting a proper reply from IB is a time-consuming matter.

Regarding 'Without near real-time visibility to the majority of global FX transactions for a specific pair is it possible for any tool to know and present meaningful Bid Absorption, Bid Imbalance, total Bid and Ask range, Bid and Ask Histograms?' per my knowledge of today, that Motivewave Ultimate study will calculate this information based on analysis of Volume and Tick Volume and data that is accessible to the Motivewave Ultimate only.

Regarding 'Possible easiest path to at least partial capabilities ... Volume Price Analysis (VPA)' I assume you are speaking of VPA as a concept and not an indicator, something like this:


It's like using Volume Profile and related tools in the Technical Analysis, then it's in the advanced implementation is most likely the OFA tool that I mentioned as add on earlier with the total cost of 1,744USD for Motivewave Ultimate here;

As you drive the Tick and Volume data into Motivewave Ultimate, this tool calculates the VPA etc and Order Flow as well. But I'm not sure if this add on will be worth the money?

Regarding 'VPA requires visibility to changes in volume ... but not necessarily visibility to all of global FX volume. My thinking is that if your connected to one of the biggest FX brokers for a specific pair and that broker does a good job of providing you with volume then you just might have enough to use the volume from that FX broker as a proxy for global volume and take full advantage of the VPA tools.' if I understand you correctly, connecting IB to Motivewave Ultimate with and add on to analysis the VPA is a solution that you explained. Again I get to the same conclusion that OFA add on(1,744USD) mentioned earlier is also required for this to do a proper analysis with this approach?
Also, there is a Volume Imprint study in Motivewave Ultimate, but I couldn't get into conclusion if this study and analysis can replace the vision that OFA add on(1,744USD) will provide for Motivewave Ultimate or there will be a serious need for this tool to be added extra over the Volume Imprint study to Motivewave Ultimate?

Regarding 'A few related links are pasted in below. ' Thanks. I'll check these if I get an Elite membership here.


Also, I posted my query in Motivewave threads in this forum, but one of the website moderators doesn't like the idea of a single query get submitted into few different threads.

Also, I checked the Jigsaw institutional platform for Order Flow Analysis as here:



Also, I checked the Bookmap Global Plus platform for Order Flow Analysis as here:



And both above-mentioned ones more look like a kind of Volume Analysis for me and not the detailed Order Flow + Volume analysis that shows the possible reversals and directional move that is presented by this add on here:



If I purchase the NT8 version, the Order Flow Analysis tools are distributed into many small parts that overall cost will be 3,965USD(also there are few tools over what is available for Motivewave).

I don't know what to say, as the Volume Imprint study screenshots in my previous posts have some Order Flow Analysis tools and I don't want to purchase something that overlaps with what I already have or is not accurate or both?

I created some tools like this myself but as the volume levels increase, the readability of Order Flow decreases and I couldn't found a solution to fix this:




I'm not sure if working on a custom solution will be worth the time and effort or not as I may not be able to get a reputable development team to code this tool or similar for lower than 1744USD(rice of that mentioned add on) and there will be support and update contract costs extra?

?


Tnx and best of luck

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  #24 (permalink)
Blonde
Luxembourg, LU
 
Posts: 119 since May 2020
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TheSeeker View Post
Is there a specific reason why you want to trade FX ? If you are keen on using order flow maybe take a look at the futures markets. Why try to apply order flow concepts on the Spot FX markets, you are only making things harder than they already are.



Hiya @TheSeeker



Thanks. I develop my strategies, analysed the markets, and backtested them from scratch for FX trading mainly.

The Futures market reduce my leverage to about 1:22 as this is the average leverage that I believe it's practical in Futures trading. While reputable brokers like IB providing 1:30 leverage in FX markets for me. I cut on leverage without gaining anything.

I believe the FX has much greater liquidity than Futures, thus more potential situations will occur in these dangerous and fast FX markets than Futures.

?

Tnx and best of luck

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  #25 (permalink)
Blonde
Luxembourg, LU
 
Posts: 119 since May 2020
Thanks Given: 99
Thanks Received: 17


Aragorn View Post
You may want to ask this group for advice and recommendations.
https://www.facebook.com/groups/volumeorderflowtraders
I need to mention that they are totally Technical Analysis adverse so Moving Averages, MACD, CCI, RSi etc on your charts would have the same reaction to them as a vampire has to seeing sunlight!



Hiya @Aragorn



Thanks. I didn't check them yet as I don't have an FB account, I need to open one but I don't like social media that doesn't respect privacy rights. I'll open a FB account and check them out and reply in full later.

Thi group may have an advanced level of knowledge and maybe they are some advanced institutional researchers or professional academics that looking to gain a higher vision over Technical Analysis, thus they don't use the common TA tools you mentioned for example.

Overall I'm looking to add the Order Flow Analysis to my current algorithmic trading strategies, but I don't look for change any major parts in my trading strategies because I add this Order Flow tool. As if the Order Flow analysis couldn't confirm a working strategy's win situations, then this Order Flow analysis is wrong. I want to fine-tune my algorithmic trading strategies by adding Order Flow Analysis on top of the current logic and analysis and nothing more?


Tnx and best of luck

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  #26 (permalink)
 hedgeplay 
Austin Texas / US
 
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Hi Blonde,

In your detailed reply I think you do a good job of describing a broad range of the challenges you face when trying to enough of FX transaction data set yourself up with strong FX order flow analysis.

The questions FX order flow related questions you are asking at this point are beyond my personal experience and I don't have strong replies for those questions.

I took a quick look around this morning for more information on gathering FX volume and did not surface good news. The indented section just below includes notes I captured while looking.
Biggest FX Brokers: Average Volume of Daily Transactions in Billion USD
15.5 Forex.com
13.4 XM Group
12.3 Saxo Bank
10.7 Oanda

JP Morgan executes about 9% of global FX transactions. Maybe there is a way to leverage a solution or data they have?

One site listing some providers of FX data for a price https://datarade.ai/data-categories/real-time-market-data

I don't see any promising info about Volume in OANDA's API docs https://developer.oanda.com/fix-live/api-comparison/

FXCM mentions providing volume data for a price ... https://www.fxcm.com/markets/algorithmic-trading/market-data/
But then you see mixed reviews of using FXCM's API https://forum.ninjatrader.com/forum/ninjatrader-8/platform-technical-support-aa/1046735-volume-units?p=1046750

Just a random link with interesting FX market Statistics https://tokenist.com/investing/forex-statistics/


Blonde View Post

I'm not sure if working on a custom solution will be worth the time and effort or not as I may not be able to get a reputable development team to code this tool or similar for lower than 1744USD(rice of that mentioned add on) and there will be support and update contract costs extra?

My take away from looking at it is that it could cost another $5-150k USD and months of time to build up a back end FX data collection and management service to make enough near real-time FX transaction data available for true order analysis. Too much time and money for me to want to pursue it.

Personally, due to the gap in available reliable broad near real-time FX transaction data, I have not yet seen a FX order flow analysis solution that feels pragmatically viable.

HedgePlay

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  #27 (permalink)
Blonde
Luxembourg, LU
 
Posts: 119 since May 2020
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hedgeplay View Post
Hi Blonde,

In your detailed reply I think you do a good job of describing a broad range of the challenges you face when trying to enough of FX transaction data set yourself up with strong FX order flow analysis.

The questions FX order flow related questions you are asking at this point are beyond my personal experience and I don't have strong replies for those questions.

I took a quick look around this morning for more information on gathering FX volume and did not surface good news. The indented section just below includes notes I captured while looking.
Biggest FX Brokers: Average Volume of Daily Transactions in Billion USD
15.5 Forex.com
13.4 XM Group
12.3 Saxo Bank
10.7 Oanda

JP Morgan executes about 9% of global FX transactions. Maybe there is a way to leverage a solution or data they have?

One site listing some providers of FX data for a price https://datarade.ai/data-categories/real-time-market-data


I don't see any promising info about Volume in OANDA's API docs https://developer.oanda.com/fix-live/api-comparison/

FXCM mentions providing volume data for a price ... https://www.fxcm.com/markets/algorithmic-trading/market-data/
But then you see mixed reviews of using FXCM's API https://forum.ninjatrader.com/forum/ninjatrader-8/platform-technical-support-aa/1046735-volume-units?p=1046750

Just a random link with interesting FX market Statistics https://tokenist.com/investing/forex-statistics/




My take away from looking at it is that it could cost another $5-150k USD and months of time to build up a back end FX data collection and management service to make enough near real-time FX transaction data available for true order analysis. Too much time and money for me to want to pursue it.

Personally, due to the gap in available reliable broad near real-time FX transaction data, I have not yet seen a FX order flow analysis solution that feels pragmatically viable.

HedgePlay



Hiya @hedgeplay



Thanks. Regarding your list of brokers daily Volume, I agree with SAXO one in your list but I can't trust my hard-earned money with the rest based on my researches on FX trading on those you mentioned. If I transfer partial my trade execution from IB to SAXO, the best spread with SAXO is on a VIP account that I am required to deposit 1,000,000 CHF minimum as an initial deposit. Doing that will reduce my capital with IB and damage my ROI as a result of capital deduction.

About Net Capital that each broker holds in your list, Forex.com holds 49+ Million, and Oanda 44+ Million, while IB's Net Capital is about 4+ Billion and JP Morgan 26+ Billion (USD) as of today. I may move my funds from IB to JP Morgan if they offer me a custom solution? But I don't think either of Motivewave Ultimate or Multicharts 14 can connect to JP Morgan to receive data or execute trades or both?

Regarding 'One site listing some providers of FX data for a price...' I didn't find any transactional Volume data for in Forex market yet. The post by the NT representative in your link is accurate and it's a confirmation of what I explained earlier about Volume in Forex trading is Tick Volume and nothing more.

Regarding 'Just a random link with interesting FX market Statistics https://tokenist.com/investing/forex-statistics/' as unfortunately, Flash player discontinued in about January 2021 I don't know how do you see these Flash content online as I can't see them personally as keeping FP after support ended is a security risk?

Another option is dividing a part of my capital for Futures asset class trading and find an Order Flow Analysis add-on for Motivewave Ultimate, Multicharts 14 or NT8 or a Standalone application for Order Flow Analysis in Futures trading as well as continue research for Order Flow Analysis in Forex trading?


Tnx and best of luck

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  #28 (permalink)
 hedgeplay 
Austin Texas / US
 
Experience: Intermediate
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Blonde View Post


Regarding 'Just a random link with interesting FX market Statistics https://tokenist.com/investing/forex-statistics/' as unfortunately, Flash player discontinued in about January 2021 I don't know how do you see these Flash content online as I can't see them personally as keeping FP after support ended is a security risk?

Just an FYI.. about this reference. 'Just a random link with interesting FX market Statistics https://tokenist.com/investing/forex-statistics/'

I just took a quick look and did not see where flash was required for Statistic #11 through #116, most of the stats on the page.

I thought this page might be a good resource because at the end of each 'stat' published is a hyperlink to the source reference for further analysis.

HedgePlay

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  #29 (permalink)
Blonde
Luxembourg, LU
 
Posts: 119 since May 2020
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hedgeplay View Post
Just an FYI.. about this reference. 'Just a random link with interesting FX market Statistics https://tokenist.com/investing/forex-statistics/'

I just took a quick look and did not see where flash was required for Statistic #11 through #116, most of the stats on the page.

I thought this page might be a good resource because at the end of each 'stat' published is a hyperlink to the source reference for further analysis.

HedgePlay



Hiya @hedgeplay



Thanks. The link in the query didn't open for me for an unknown reason. It gave a flash installation requirements error upon I visited the link. It works fine for me now. I don't know what could be caused this. Maybe a temporary glitch on that website data? or a bug?

I've researched the Futures market and I see the valid patterns between Forex and Futures currencies trading as below, EUR/USD vs 6EU1 are the results:




I see the volume distribution on the 6EU1 needs a different analysis from what I do in Forex markets. The valid patterns between Futures and Forex market currencies trading may confirm if an Order Flow Analysis applications or Add on if it works on Futures markets, it may have the capacity to work on the Forex market up to some levels with or without reconfiguration or re-development(in case SDK and partial API source code is offered with the add-on).

?


Tnx and best of luck

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  #30 (permalink)
 hedgeplay 
Austin Texas / US
 
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Blonde View Post

I've researched the Futures market and I see the valid patterns between Forex and Futures currencies trading as below, EUR/USD vs 6EU1 are the results:




I see the volume distribution on the 6EU1 needs a different analysis from what I do in Forex markets. The valid patterns between Futures and Forex market currencies trading may confirm if an Order Flow Analysis applications or Add on if it works on Futures markets, it may have the capacity to work on the Forex market up to some levels with or without reconfiguration or re-development(in case SDK and partial API source code is offered with the add-on).

?

I do not have the expertise in the EUR/USD pair or the 6E contract to comment with precision.

However, I fully agree that you may be able to find near real-time information on volume that acts as near-direct (or possibly even more indirect than the matching you posted above) that can act as a proxy to provide an approximation of some of the order flow information you seek.

I this case you posted above I agree that the hypothesis of using 6E volume and order flow as a proxy for EUR/USD looks interesting. Hopefully it turns out to be a quick low cost path to give you useful EUR/USD order low insight.

If you spending time validating the hypothesis please post back and let us know what you learned.

HedgePlay

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