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Bookmap xRay
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Bookmap xRay

  #31 (permalink)
Elite Member
Seattle, WA
 
Futures Experience: Advanced
Platform: Sierra Charts, Bookmap
Broker/Data: CQG
Favorite Futures: Crude CL, Currency Futures 6E
 
traderalex81's Avatar
 
Posts: 11 since Apr 2010
Thanks: 5 given, 4 received

@Bookmap Would be great if you could add those two columns like jigsaw has in the middle of the DOM.. "buyers and sellers"
any plans for something like this to be added? I hate to have two platforms running, I would like to use one platform that would show everything..

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  #32 (permalink)
Elite Member
London
 
Futures Experience: Advanced
Platform: NT, CQG, TT, S5, Rithmic
Favorite Futures: All
 
Posts: 81 since Jan 2017
Thanks: 5 given, 57 received


traderalex81 View Post
@Bookmap Would be great if you could add those two columns like jigsaw has in the middle of the DOM.. "buyers and sellers"
any plans for something like this to be added? I hate to have two platforms running, I would like to use one platform that would show everything..

Hi Traderalex81,

I believe you are referring to a traded volume column. This already exists (for a while while) in Bookmap. Open a CVP (Chart range Volume Profile) column. You could also use a SVP (Session range Volume Profile). You can control the CVP column by zooming in and out of the historical chart window, if you prefer to study the volume of a specifc area.

Right click in that column and choose Format Column -- you'll see several options for formatting this column. You can show volume on bid side, ask side in a variety of ways. You can also split out the aggressor classification of this volume with the Split options.

You can also reset the data in this column. Right click in that column again, and select "Reset" to reset it immediately. Or choose Automatic Reset -- then in the pop up window, choose to either "Reset at" at a specific time, or "Reset every" specific time interval for the drop down. Then simply input the desired time to reset. Please see the attached image.

Let me know if you need further assistance and I'll be happy to help.

regards,

Bruce
The Bookmap Team
support@veloxpro.com

Attached Thumbnails
Bookmap xRay-bookmap-column-reset.png  
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  #33 (permalink)
Elite Member
New York, NY
 
Futures Experience: Intermediate
Platform: NinjaTrader, TradeStation
Favorite Futures: ES, Stocks
 
Posts: 4 since Mar 2012
Thanks: 4 given, 0 received


@Bookmap Why can't you publish the binary file spec for recorded files so we can do our own research? I think that would be very helpful to many.

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  #34 (permalink)
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London
 
Futures Experience: Advanced
Platform: NT, CQG, TT, S5, Rithmic
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jphiggs View Post
@Bookmap Why can't you publish the binary file spec for recorded files so we can do our own research? I think that would be very helpful to many.

Hi jphiggs,

We do not publish the format for several reasons. One of them is compatibility. As long as we don't publish it, we are responsible for the compatibility

However, with Bookmap API it's very easy to record the data in whatever format you may wish. We will implement an example code of such a recorder, and will publish it.

regards,

The Bookmap Team

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  #35 (permalink)
Elite Member
london
 
Futures Experience: Advanced
Platform: multicharts,ninja,Bookmap
Broker/Data: IB IQ,OEC
Favorite Futures: fdax fgbl
 
Posts: 57 since Jan 2011
Thanks: 8 given, 20 received

Problems with Estoxx Icebergs with IQ Data

Hello Tsachi

You discussed changes that have been made to icebergs to improve accuracy in response to a previous post of mine.
I have been checking V5 396 the only icebergs that showed in 3 days for both the Eurex Estoxx and Bobl were on the close.

Both are thick markets and it is highly unlikely that no iceberg activity occurs in either market.


Attached is a comparison from 4.4 129 which I am continuing to use live and 5 396

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I save data should any be needed to verify.

John

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  #36 (permalink)
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London
 
Futures Experience: Advanced
Platform: NT, CQG, TT, S5, Rithmic
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Posts: 81 since Jan 2017
Thanks: 5 given, 57 received

Hi johnl,

It could be that there is no detection of iceberg in Thick market.

As said earlier, I would count more on detections with version 5.0 than the ones you see in version 4.4

I checked few hours on Friday's market data using Bookmap V5.0 latest build with Rithmic feed and found the following:
None iceberg detections on 6E, NQ, ZN, FDAX, FESX
Got few on GC, CL, ES
Got more on NG

So as you see it depends on the instrument and also the market data feed you're using

Note that if you zoom-in, you can see exactly how the iceberg is detected. Whenever you see that a volume traded that is greater than the size on the best bid or the best ask, the iceberg is shown. Note that iceberg is shown until that price changes the side (e.g. Bid becomes Ask or Ask becomes Bid) so if you change your zoom, or drag, you might see icebergs that wasn't shown in larger zoom. We will add the option the view the iceberg on the historical heatmap, so it'll be easier to locate them.

Hope that's help

Best

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  #37 (permalink)
Watch Your Risk
West Coast
 
Futures Experience: Advanced
Platform: X_Trader, Bookmap, R|T
Broker/Data: IQ Feed, TT, Rithmic
Favorite Futures: Index Futures, Energy and Interest Rate spreads
 
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Posts: 79 since Oct 2010
Thanks: 50 given, 34 received

Hi @Bookmap

I am trying to make the column here only show aggressive buyers/sellers who are willing to cross the market. What are the settings for this? I keep getting a few resting orders in with it. The bottom row here should not have that 183 there, it should be added to the orders on the left. I have it set up as an accumulating SVP that I reset when necessary. Thanks

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Last edited by bathrobe; February 13th, 2017 at 02:48 PM. Reason: typo
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  #38 (permalink)
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London
 
Futures Experience: Advanced
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bathrobe View Post
Hi @Bookmap

I am trying to make the column here only show aggressive buyers/sellers who are willing to cross the market. What are the settings for this? I keep getting a few resting orders in with it. The bottom row here should not have that 183 there, it should be added to the orders on the left. I have it set up as an accumulating SVP that I reset when necessary. Thanks

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Hi Bathrobe,

You've correctly split out the aggressor volume in your Session Range Volume Profile (SVP). This column displays all volume accumulated since you started your Bookmap session. There are no resting or limit orders in this column -- it is only traded volume classified by the aggressor (market buy is buy volume, market sell is sell volume).

The bottom row is correctly displaying the market buy volume that occurred at that level previously (depending on your split settings). No market selling has hit the bid yet at that time.

Let me know if you need further clarification.

regards,

Bruce
The Bookmap Team

You may consider setting up a Chart Range Volume Profile (CVP) instead. It displays all volume within the visible chart range historical chart. So if you zoom in, you'll see the column reflect the volume in the visible historical chart range. Zooming out, you'll see more volume. Perhaps this is a method you'd like to use to focus on specific ranges of volume. You can also reset this column as you noted above.

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  #39 (permalink)
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Futures Experience: Intermediate
Platform: NinjaTrader, MetaTrader
Broker/Data: S5
Favorite Futures: ES, FESX, FGBL
 
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Posts: 45 since Dec 2013
Thanks: 59 given, 39 received

FDAX Algo activity

Dear @Bookmap,

sometimes I discover some strange algo behaviour in the FDAX. Seems there is an algo quickly selling and buying (assuming this is one initiator)
I have no clue what the purpose of this should be and I am quite curious what this guy is doing.

Do you have any idea whats going here ?

Thanks
Michael

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  #40 (permalink)
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MichaelH View Post
Dear @Bookmap,

sometimes I discover some strange algo behaviour in the FDAX. Seems there is an algo quickly selling and buying (assuming this is one initiator)
I have no clue what the purpose of this should be and I am quite curious what this guy is doing.

Do you have any idea whats going here ?

Thanks
Michael

Dear Michael,

It's indeed a very interesting behavior of market participants. How do you explain it yourself? We can't be certain, but our best guess is that a poorly tuned / tested "liquidity seeking" HFT algo got hunted by another HFT algo. The liquidity seeker algo was programmed to send an aggressive order (market or limit) over the spread when certain conditions occur. The other algo (the HFT hunter) discovered what are those conditions and started to generated them, and as result earned the spread from those transactions. Actually, it's a playground (or a battlefield) for robots. We often observe structural, but unreasonable and strange behavior, sometimes deep in the order book, that is seemingly purposeless. But at least part of this activity belongs to the "HFT hunters" that measure the response of other event driven HFT's. By measuring this response on various events, they can back-engineer other HFT's, discover their weaknesses, and then use it as we see on your image.

But again, it's just a guess, and we can't be certain.

We will post later another similar example that was observed on Crude Oil (CL). Here is a short part of that event:

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