Depth of Market and Accumulated Volume - ThinkOrSwim Programming | futures io social day trading
futures io futures trading


Depth of Market and Accumulated Volume
Updated: Views / Replies:6,015 / 5
Created: by Cudashark Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors – all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you don’t need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Depth of Market and Accumulated Volume

  #1 (permalink)
Elite Member
Sarasota Florida
 
Futures Experience: Advanced
Platform: TOS,NT, Jigsaw
Favorite Futures: Treasuries/ZB
 
Cudashark's Avatar
 
Posts: 33 since Dec 2011
Thanks: 18 given, 64 received

Depth of Market and Accumulated Volume

Dear Programmers,

Thanks in advance your willingness to help others with TOS programming.

I trade ZN futures with level II Bid/Ask screens. I am interested in “Depth of Market” (DOM) “Accumulated Volume” (ACV) ratios.

For example; when the fifth position from the price the Bid is 600> and the Ask in the same position is 185>.

I would like to track the ratio some way along with the price paid at Bid/Ask.

My goal would be to pick up on the actual buy/sell volume in relation to the DOM to see where large traders are pulling the price.

Some big traders use the yeald curve to spread trade so knowing where big blocks of interest is may be helpful. I'm not sure what "hooks" are avalible to grab the info in level II area in TOS.

This may help to see where I'm coming from.

seekingalpha.com/article/161854-reading-market-volume-flow

Have you any ideas on DOM, ACV ?

Thanks

Ray

Reply With Quote
 
  #2 (permalink)
Elite Member
Philly, Pa
 
Futures Experience: Master
Platform: NinjaTrader
Favorite Futures: ES, ZB
 
tigertrader's Avatar
 
Posts: 5,948 since Jul 2010
Thanks: 6,314 given, 31,870 received


Cudashark View Post
Dear Programmers,

Thanks in advance your willingness to help others with TOS programming.

I trade ZN futures with level II Bid/Ask screens. I am interested in “Depth of Market” (DOM) “Accumulated Volume” (ACV) ratios.

For example; when the fifth position from the price the Bid is 600> and the Ask in the same position is 185>.

I would like to track the ratio some way along with the price paid at Bid/Ask.

My goal would be to pick up on the actual buy/sell volume in relation to the DOM to see where large traders are pulling the price.

Some big traders use the yeald curve to spread trade so knowing where big blocks of interest is may be helpful. I'm not sure what "hooks" are avalible to grab the info in level II area in TOS.

This may help to see where I'm coming from.

seekingalpha.com/article/161854-reading-market-volume-flow

Have you any ideas on DOM, ACV ?

Thanks

Ray

You might want to check out Jigsaw Trading. Day Trading, Tape Reading Decision Support Software..

Reply With Quote
 
  #3 (permalink)
Elite Member
New York, NY
 
Futures Experience: Intermediate
Platform: NinjaTrader8
Broker/Data: Data = Rithmic -- Gives 70 Level II Data
Favorite Futures: 6C (Low Margin,) 6E, CL, GC, ES and Maybe DX for smaller tick value
 
Posts: 813 since May 2011
Thanks: 1,330 given, 531 received




TigerTrader, this seems like it is going to drag me into yet another site sending me non-stop solicitations for their software on the basis that their free book has aome incredible nuggets of knowledge. Did you find the books very worthwhile?

Do you subscribe to this software? Has it made you successful enough to justify the cost?

Does it perform the DOM analysis as requested or something similar?

I have TOS but primarily use NT7. Is there a comparable BigMike indicator that may be worth looking into?

For instance there is a DOMAlert built from JTRealstats that sounds an alarm if a user set max is breached for bid or asks. It also has an alert if the bids/asks are over 100% more than the other side.

My original request on this was similar to this request for a compare of each level against the other side i.e... bid3 is 2x the size of ask3, but it never did get built.

If someone does attempt to work on the original request of this thread they may want to look at the logic here:

https://futures.io/ninjatrader/11346-sound-alert-if-contract-number-exceeds-certain-level-dom-4.html#post135171

Good luck!!!

Reply With Quote
 
  #4 (permalink)
Elite Member
Williamsburg, VA
 
Futures Experience: Intermediate
Platform: ThinkorSwim
Favorite Futures: Stocks
 
worldwary's Avatar
 
Posts: 523 since Mar 2010
Thanks: 259 given, 788 received

I'm pretty sure that Level II data cannot be accessed in TOS. It may be possible to do this kind of thing in NT but I don't think it would be possible to create an indicator to track this info in TOS because that requires access to a stream of info that is currently inaccessible.

-----------------------------------------------------

"If you must forecast, forecast often."

-- Edgar Fiedler
Reply With Quote
The following user says Thank You to worldwary for this post:
 
  #5 (permalink)
Elite Member
Sarasota Florida
 
Futures Experience: Advanced
Platform: TOS,NT, Jigsaw
Favorite Futures: Treasuries/ZB
 
Cudashark's Avatar
 
Posts: 33 since Dec 2011
Thanks: 18 given, 64 received

Thanks Tiger, Jmont and Worldwary, for your quick response.

Does anybody familiar with TOS programming know if the hooks are present for manipulation of the Level II data fields?

Ray

Reply With Quote
 
  #6 (permalink)
Elite Member
Portland, OR
 
Futures Experience: None
Platform: tos
Favorite Futures: NQ, SB, 6J, CL, GC
 
Massive l's Avatar
 
Posts: 1,458 since Mar 2011
Thanks: 922 given, 1,821 received

No, I haven't seen that yet.

Psychology > Strategy ≥ Money
Reply With Quote

Reply



futures io > > > > > Depth of Market and Accumulated Volume

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Cummulative Market Depth Numbers Baseheadz NinjaTrader Programming 14 February 18th, 2013 12:17 AM
What Light Trading Volume Reveals About this Market (VIDEO) kbit News and Current Events 0 November 16th, 2011 04:11 PM
sierra charts accumulated zigzag volume marcovth Sierra Chart 3 August 12th, 2011 02:42 AM
CME Free market profile based on volume trendisyourfriend Traders Hideout 5 September 30th, 2010 10:35 AM
Market profile without volume dimkdimk NinjaTrader Programming 4 February 8th, 2010 09:59 PM


All times are GMT -4. The time now is 12:17 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
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.
no new posts
Page generated 2017-12-12 in 0.12 seconds with 19 queries on phoenix via your IP 54.145.16.43