I've to say that this is, from my modest point of view, the BEST NT indicator in futures.io.
Thanks!

Belltalks 

I've to say that this is, from my modest point of view, the BEST NT indicator in futures.io. Thanks!

I'd second that motion after watching this week's large drafting price action in extremely volatile and relatively large ranges. BUT (there's always a but). If you're open to requests.......I've been googling a lot of info on "imbalances" and just wondering about how difficult it would be to code a different type of imbalance.

IMHO it would be valuable to cumulatively see where instances of "hidden orders" are or have been lurking at various prices. On a display similar to your custom profile and next to and separately adjacent/parellel to it on another vertical Y-axis histogram:

calculation of where trades hit bids or take offers > than the order book/depth of market quantities were displayed at that moment in time and by how many lots cumulatively up/down the price range of the session.

IMHO with the advent of Iceberg and algo order types the depth of market values are not very valuable which makes your Footprint of Cumulative Delta even more insightful. But it would be illustrative to have a visual of present and past levels of hidden orders as defined by trades > the displayed bid/ask size in that moment as recorded by time & sales; gradient color coded even as long as I'm asking<g>.

As always thanks and great stuff!!
Bruce

P.S. maybe I smoked too much as a teen and my short term memory is shot but also helpful to see the latest past POC (or 2) along with the current on the profile(custom); I've been writing them down on a scratch pad.

Hey Bruce,

if you enable the volume based map, you can see the path of the poc from the custom profile. You can switch between the delta and volume based map by selecting the chart (click once in the chart) with the indicator and hit the space bar on your keyboard or by selecting the menu item in the dropdown-menu for the map.

The other request sounds interesting, i have to think about that one.

All the best,
Mike

trymph 

I'd second that motion after watching this week's large drafting price action in extremely volatile and relatively large ranges. BUT (there's always a but). If you're open to requests.......I've been googling a lot of info on "imbalances" and just wondering about how difficult it would be to code a different type of imbalance. IMHO it would be valuable to cumulatively see where instances of "hidden orders" are or have been lurking at various prices. On a display similar to your custom profile and next to and separately adjacent/parellel to it on another vertical Y-axis histogram: calculation of where trades hit bids or take offers > than the order book/depth of market quantities were displayed at that moment in time and by how many lots cumulatively up/down the price range of the session. IMHO with the advent of Iceberg and algo order types the depth of market values are not very valuable which makes your Footprint of Cumulative Delta even more insightful. But it would be illustrative to have a visual of present and past levels of hidden orders as defined by trades > the displayed bid/ask size in that moment as recorded by time & sales; gradient color coded even as long as I'm asking<g>. As always thanks and great stuff!! Bruce P.S. maybe I smoked too much as a teen and my short term memory is shot but also helpful to see the latest past POC (or 2) along with the current on the profile(custom); I've been writing them down on a scratch pad.

mk77ch 

Hey Bruce, if you enable the volume based map, you can see the path of the poc from the custom profile.........hit the space bar on your keyboard or by selecting the menu item in the dropdown-menu for the map. The the other request sounds interesting, i have to think about that one. All the best, Mike

Welp I think I'll have to stick to the scratch pad as hell if I can figure out where the volume based map gets toggled from..........no worries.....

But please think about the "hidden order" profile histogram as I'd bet all the funds and technical traders have their spots to hide large orders in similar price ranges. It may prove to be a nice visual view behind the curtain of the large traders' entry and exit "spots". We all know about Iceberg orders but beyond those I know of other algos that only shoot in an order [on an Immediate or Cancel (IOC) basis] when a bid or offer shows up at a particular price . So those types of orders only show up as trades for whatever size prey pokes its head out. I was on a support help desk for a international bank FCM for many years and these type of algos were templated/canned and provided to our customers; among others specifically for customers to aim from a blind during hunting season. Of course the really BIG guys BYO on a DIY basis and we'll never know or they'd have to kill us J/K. <g>

Regards and thanks in advance as always
Bruce

Hey Bruce,

i've been thinking about your idea but there is a problem which doesn't seem easy to be solved.
My idea would be to remember the maximum limit orders for each bid/ask price and then calculate a ratio based on how many orders have been filled vs the maximum visible limit orders for that price.

Let's say we have 100 limit orders on the bid and we fill 90 of them.
This will left us with 10 limit orders to be filled for that price.
Now the limit orders are refreshed and we see another 100 to be filled.
Out of this 100, another 80 get filled, this would left us with:

Maximum visible limit orders: 100
Filled limit orders: 90 + 80 = 170

The same concept could be used to see when limit orders are pulled.

So far so good.
The problem is, if we tick up a few ticks after the first fill and then come back to that level for the second fill, the whole concept starts to shake as it is perfectly normal to see a refresh of limit orders if we revisit a price. To differentiate these scenarios it would be necessary to add a time component or reset the maximum visible limit orders if we leave the level.
This comes with some additional calculations on each market data update which will have an impact on performance.

As there are professional tools like BookMap which are built to visualize such scenarios, i'm not sure that an indicator is the right place to process these information.
If i come up with a good idea how to implement something like this, i will do some testing but i don't want to put too much load on the actual core process of the indicator.

All the best,
Mike

trymph 

Welp I think I'll have to stick to the scratch pad as hell if I can figure out where the volume based map gets toggled from..........no worries..... But please think about the "hidden order" profile histogram as I'd bet all the funds and technical traders have their spots to hide large orders in similar price ranges. It may prove to be a nice visual view behind the curtain of the large traders' entry and exit "spots". We all know about Iceberg orders but beyond those I know of other algos that only shoot in an order [on an Immediate or Cancel (IOC) basis] when a bid or offer shows up at a particular price . So those types of orders only show up as trades for whatever size prey pokes its head out. I was on a support help desk for a international bank FCM for many years and these type of algos were templated/canned and provided to our customers; among others specifically for customers to aim from a blind during hunting season. Of course the really BIG guys BYO on a DIY basis and we'll never know or they'd have to kill us J/K. <g> Regards and thanks in advance as always Bruce

mk77ch 

Hey Bruce, The problem is, if we tick up a few ticks after the first fill and then come back to that level for the second fill, the whole concept starts to shake as it is perfectly normal to see a refresh of limit orders if we revisit a price. To differentiate these scenarios it would be necessary to add a time component or reset the maximum visible limit orders if we leave the level. This comes with some additional calculations on each market data update which will have an impact on performance. All the best, Mike

Thanks for having a look and spending the time.......Maybe over complicating??

Have a look at the video on this link from minutes 9-12 on how "hidden" orders affect price levels of working limit orders against aggressive orders (eg market orders) in a DOM:

https://www.brookstradingcourse.com/guest-traders/order-flow-support-price-action-trading/

This is where I realized it may be just simple arithmetic. Time & Sales shows trade volume on bid or offer price. I'm also presuming there is record of the size of that bid or offer at that moment in time (confirmed by CME/Globex GCC help desk who also said the data specs are out there online and even include # of orders comprising total quantity of lots working; but only quantity of lots would be needed in this case I think). All I'm proposing is to subtract current posted bid or offer quantity in depth of market at that time & price (as shown publicly on our DOM) from the actual traded volume accumulating at that price & time on each trades' quantity when > the DOM's disseminated quantity.

When the trades at that price & time are larger than the posted/displayed quantity in that nano second, the net difference would be the partial of a "hidden" order. Each trade on that price where there is a disparity between the posted quantity in the DOM's depth of market cumulatively represents a hidden order lurking to gobble up unsuspecting aggressive orders thinking they'll take out that price. When price doesnt move the cumulative traded quantity reveals "hidden" order(s) lurking at that price at that time of trade (eg the cumulative net between the trade volume and the posted quantity on the DOM's bid or offer).

I know I've done research for customers claiming they're getting cheated by putting time & sales exported from Globex on excel. It shows exactly the bid or offer (I'm presuming with working limit order size total also available) at the time of the customer's order to explain why they never got the fill. Usually because their order was late to the party and only would be valid IF the market traded through their price while their order was confirmed working. As they said on an old TV show "just the facts mam" time stamping myself from the TV show Dragnet lol.

Maybe I'm missing something but the cumulative trade volume comprising trades that are > than the quantity traded at any particular price shown as in a snapshot of that nano second's time & sales would be the result of a lurking hidden order....Is it that simple or maybe I'm missing something?

Thanks for having a look. BTW check the price of ES in that video.....omg just should have gotten long the cash back then and gone on vacation!!!

Regards
Bruce

Looks good thanks!!

Is there a way to configure the bar profile to put all the bar profile price level markings on one side of the bar rather than the bar in the middle with markings on each side?

mk77ch 

Hey Bruce, If you have for example 800 contracts on the ask and 100 on the bid for that profile column, you will see an ask imbalance. While later on more contracts are traded on the bid this ask imbalance disappears. All the best, Mike

Hi again Mike hope all is well

I've been watching a lot of old(8 years) MarketDelta YouTube vids regarding Footprint Volume Imbalances. I can see your imbalance ratio settings only allow for < 1.0. I'm wondering the arithmetic you're using. Ninja uses the higher Ask Footprint Delta vs the next successive lower Bid Footprint Delta diagonally. Then divides the smaller of the two values into the larger to get their respective ratio (percentage x 100 as MarketDelta does it). How is it that your settings for Min. Imbalance Ratio in the Footprint properties max out @ 1.0 please?



Regards and as always thanks for your generosity in sharing
Sorry to beat this horse to death market ranges have been amazing lately!!!
Bruce

Hello,

i've uploaded an update:

• Changed the FootPrint Resize- and Scale-Behaviour
• The indicator now remembers fixed and automatic scale properties when switching between modes.

All the best,
Mike