NexusFi: Find Your Edge


Home Menu

 





Bookmap xRay


Discussion in Platforms and Indicators

Updated
      Top Posters
    1. looks_one Bookmap with 122 posts (84 thanks)
    2. looks_two johnl with 20 posts (1 thanks)
    3. looks_3 paps with 11 posts (0 thanks)
    4. looks_4 Neo1 with 9 posts (6 thanks)
      Best Posters
    1. looks_one Bookmap with 0.7 thanks per post
    2. looks_two Neo1 with 0.7 thanks per post
    3. looks_3 MichaelH with 0.5 thanks per post
    4. looks_4 bathrobe with 0.3 thanks per post
    1. trending_up 135,606 views
    2. thumb_up 115 thanks given
    3. group 91 followers
    1. forum 278 posts
    2. attach_file 51 attachments




 
Search this Thread

Bookmap xRay

  #51 (permalink)
 johnl 
london
 
Experience: Advanced
Platform: multicharts,ninja,Bookmap
Broker: IB IQ,OEC
Trading: fdax fgbl
Posts: 57 since Jan 2011
Thanks Given: 8
Thanks Received: 27


johnnyte View Post
Hi John! I am also curious to know if you've tried the same tests with version 5? I have no issues seeing icebergs on the bond products I use.

Hi Johnnyte

Yes I am doing the testing on version 5-410 DTN IQ Data standalone

Because of the iceberg issues I have found with V5 I still use 4 129 for Live

Are you looking at the Eurex BOBL and Eurostox too

Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Futures True Range Report
The Elite Circle
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
Better Renko Gaps
The Elite Circle
NexusFi Journal Challenge - April 2024
Feedback and Announcements
Build trailing stop for micro index(s)
Psychology and Money Management
 
  #52 (permalink)
 
Bookmap's Avatar
 Bookmap  Bookmap is an official Site Sponsor
 
Posts: 194 since Jan 2017
Thanks Given: 7
Thanks Received: 173

johnl,

Your findings are aligned with the check I made as I also didn't see iceberg on FGBL. The fact that you see icebergs on the close eliminates the option that it doesn't work at all.

As I stated, the same algo that detect icebergs is implemented on different platforms. Also, Bookmap isn't aware of the exchange parameter or which instrument you trade so it works the same on different exchanges and different instruments of the same platform.

While using the same provider, if you see differences in iceberg between exchanges or instruments, it could be related to the implementation of that market data provider. It's possible that something is different about the way specific exchanges send their data or how the instrument usually trades (e.g. small trades and large sizes on BBO).

Did you manage to see icebergs with same provider on other instruments traded on other exchanges? if yes, then it is not related to Bookmap. If you can't see icebergs, please let us know and well run Bookmap in the same setup on our side and dig further into it. Also, please update your Bookmap to the latest beta 5.0 build, through Help>>Update>>Check for Updates.

regards,

The Bookmap Team

Follow me on Twitter Started this thread Reply With Quote
  #53 (permalink)
 johnl 
london
 
Experience: Advanced
Platform: multicharts,ninja,Bookmap
Broker: IB IQ,OEC
Trading: fdax fgbl
Posts: 57 since Jan 2011
Thanks Given: 8
Thanks Received: 27


I see icebergs for FGBL now, though in earlier releases of 5 there were none.

As far as I am aware DTN IQ is the market leading data vendor,I assume as a supported Datafeed if there are issues using Bookmap with this data then it should be picked up by developers.

To gain a better understanding of Bookmaps implementation of Icebergs do you have any worked numeric examples with T&S and order book numbers available to see the calculation at work.

I would be very surprised if the Estoxx and Bobl is fundamentally different to other Eurex Markets but looking at worked examples may be the only way to clear up this anomaly.



Bookmap View Post
johnl,

your findings are aligned with the check I made as I also didn't see iceberg on FGBL
the fact that you see icebergs on close eliminates the option that it doesn't work at all.

As I stated same algo that detect icebergs is implemented on different platforms. also, Bookmap doesn't aware of the exchange parameter or which instrument you trade so it works the same on different exchanges and different instruments of the same platform.

While using the same provider, if you see differences in iceberg between exchanges or instruments, it could be related to the implantation of that market data provider. It's possible that something is different about the way how specific exchange sends the data or how is the instrument usually traded (e.g. small trades and large sizes on BBO).

Did you manage to see icebergs with same provider on other instruments traded on other exchanges? if yes, than it is not related to Bookmap. if you can't see icebergs, please let us know and well run Bookmap in the same setup on our side and dig into it further. In your check pls use the latest build (5)


Reply With Quote
  #54 (permalink)
 
Bookmap's Avatar
 Bookmap  Bookmap is an official Site Sponsor
 
Posts: 194 since Jan 2017
Thanks Given: 7
Thanks Received: 173


johnl View Post
I see icebergs for FGBL now, though in earlier releases of 5 there were none.

As far as I am aware DTN IQ is the market leading data vendor,I assume as a supported Datafeed if there are issues using Bookmap with this data then it should be picked up by developers.

To gain a better understanding of Bookmaps implementation of Icebergs do you have any worked numeric examples with T&S and order book numbers available to see the calculation at work.

I would be very surprised if the Estoxx and Bobl is fundamentally different to other Eurex Markets but looking at worked examples may be the only way to clear up this anomaly.

johnl,

If you wish to examine the implementation of the iceberg detection, you don't need the code, you simply can use Bookmap. Just pause the heat map (by clicking on the hand) and zoom-in, now drag it forward slowly and compare the traded volume to best bid / ask size.
I've also attached a numerical example:
https://docs.google.com/spreadsheets/d/1W0U5pRMQBWNhQghAF8s_jkjatnCKmUHXOP_GiB4lCqU/pubhtml

We use the same iceberg detection algorithm for all instruments, and it's unlikely that any recent update could break it. But we will perform another test with DTN to be sure.

Regards,
Sergey / Bookmap

Follow me on Twitter Started this thread Reply With Quote
  #55 (permalink)
 johnl 
london
 
Experience: Advanced
Platform: multicharts,ninja,Bookmap
Broker: IB IQ,OEC
Trading: fdax fgbl
Posts: 57 since Jan 2011
Thanks Given: 8
Thanks Received: 27

Thanks Sergey

I will record time and sales and see how the numbers work out for Estoxx




Bookmap View Post
johnl,

Please look at this numerical example:
https://docs.google.com/spreadsheets/d/1W0U5pRMQBWNhQghAF8s_jkjatnCKmUHXOP_GiB4lCqU/pubhtml

We use the same iceberg detection algorithm for all instruments, and it's unlikely that any recent update could break it. But we will perform another test with DTN to be sure.

Regards,
Sergey / Bookmap


Reply With Quote
  #56 (permalink)
 
paps's Avatar
 paps 
SF Bay Area + CA/US
 
Experience: None
Platform: TS, TOS, Ninja(Analytics)
Trading: NQ CL, ES when volatile mrkts
Posts: 1,739 since Oct 2011
Thanks Given: 2,176
Thanks Received: 1,726

hi there @Bookmap is it possible to just see the current quotes and/or historic. If no function...is there a possibility to request quotes upto x levels displayed with history/no history.



thanks

Reply With Quote
  #57 (permalink)
 
Bookmap's Avatar
 Bookmap  Bookmap is an official Site Sponsor
 
Posts: 194 since Jan 2017
Thanks Given: 7
Thanks Received: 173

Hi Paps,

Quotes counter (CQC or SQC) counts only the levels that are inside of the reported range (in your example 10 levels). this is because other levels are not being reported by the exchange.

In your request, do you mean the possibility to count less levels (in your example, less than 10)? If yes, what would be the benefit?

Follow me on Twitter Started this thread Reply With Quote
  #58 (permalink)
 
bathrobe's Avatar
 bathrobe 
Los Angeles
 
Experience: Advanced
Trading: Energy
Posts: 81 since Oct 2010
Thanks Given: 58
Thanks Received: 35

Hi @Bookmap

This just an idea.

Sometime soon the CME will give the exact spot in queue, maybe a number somewhere after this is available giving the exact number rather than an estimate. Could be turned on or off.

Sent using the NexusFi mobile app

Reply With Quote
  #59 (permalink)
 
Bookmap's Avatar
 Bookmap  Bookmap is an official Site Sponsor
 
Posts: 194 since Jan 2017
Thanks Given: 7
Thanks Received: 173


bathrobe View Post
Hi @Bookmap

This just an idea.

Sometime soon the CME will give the exact spot in queue, maybe a number somewhere after this is available giving the exact number rather than an estimate. Could be turned on or off.

Sent using the NexusFi mobile app

bathrobe,

Thank you for this information! Yes, it's preferable than the estimated value. According to CME, it will be available on March 26. But we will need to wait until market data providers that Bookmap supports will make the changes. If we get a schedule for this update from any of them, we will let you know.

Sergey / Bookmap

Follow me on Twitter Started this thread Reply With Quote
Thanked by:
  #60 (permalink)
 
paps's Avatar
 paps 
SF Bay Area + CA/US
 
Experience: None
Platform: TS, TOS, Ninja(Analytics)
Trading: NQ CL, ES when volatile mrkts
Posts: 1,739 since Oct 2011
Thanks Given: 2,176
Thanks Received: 1,726



Bookmap View Post
Hi Paps,

Quotes counter (CQC or SQC) counts only the levels that are inside of the reported range (in your example 10 levels). this is because other levels are not being reported by the exchange.

In your request, do you mean the possibility to count less levels (in your example, less than 10)? If yes, what would be the benefit?

hi @Bookmap you are correct. user defined ability to count less. Well am deep into OF. I see a definite relationship into Quotes /Limit Orders / Market Order - and a few nuances of how these are being handled which have a immediate affect on price. currently only quotes delta is dynamic..which is great. however having quotes static-add/del or dynamic on user defined levels is what am looking for. currently quotes displayed is only doing static adds.

this is just a request....as it helps me in my study/observation in the markets. also understand that its just my need and probably not being asked by others.

cheers

Reply With Quote




Last Updated on April 26, 2022


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts