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Design a DayTrader Scalping Order Flow Indicator


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Design a DayTrader Scalping Order Flow Indicator

  #211 (permalink)
 hyperscalper 
boise idaho
 
Experience: Advanced
Platform: NinjaTrader C# Custom
Broker: NinjaTrader LeeLoo Rithmic
Trading: Nasdaq Futures NQ/MNQ
Posts: 314 since Apr 2020
Thanks Given: 15
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Connor View Post
...

You'd run a "horizontal" aggregator on each level. You can include some
non-linearity here (like a log or tan-based function). So you don't just throw data away
but allow it to participate, but not skew your distribution.
T hen you'd combine the result "vertically" with some other "aggregator".
At the end you're looking at a single number with hopefully some meaning in it.

Thanks for the pointer. I'm trying to decide if to open a new battle-front. The DAX
is plenty atm but I'm quick to jump-start a new venture and fund myself, if the
"business plan" works.

Yay, no scare here. I started as a professional programmer and I was
writing code in MASM when C was considered too high-level and too slow
for the job. I'm actually surprised you can do your trading in NT, considering the
amount of layers and "junk" between the data and your code. But I guess you
don't and you only use NT for visualizing.

Anyway, yes, I've been there and I hear you. A thread for each feed, a thread
for managing data and duplicating it to each consumer, which runs in its own thread
because mutexes are slow and memory is cheap. Then shuffling stuff so it fits the
same cache line and fighting with the branch predictor... all the pains and joys
we're both too aware of.

I actually like that. It's not easy to talk at certain level very often.
So thank you from my heart.


Well, for me, NinjaTrader 8 is really mostly a "host" for my custom code, and
I do use their charts for most visualization; but I also got some Mindfusion
charting going in the same process, so I can get really Precise time alignment
between various measures and events I need to visualize.

I doubt there's any other comparable platform when it comes to performance,
and overall ease of implementing something "fast". Fastness is really from a
Retail trader's point of view, and I fully understand that "fast" is a relative
concept. But I'm not an HFT trader; not an Arbitrager; just a Retail Position
Scalper; so I'm trying to Win by being Smart, and not so much Fast; although
sheer Speed and low Latency is always a big Plus, which is why I colocate my
server.

I'm attaching an unintelligible chart, which is based on Mindfusion's charting package,
plus of course I use a WinForms user interface, instead of WPF; so you can see
that I have a Precise time-base, and can see how various micro indicators
may predict price. BLACK is price; or, rather, an MACD of Price to compress
it, but there are a couple of fast indications shown in there that Predict micro
trend turning points. A work in progress always, of course... LOL

[edit] To answer your question, I have a single NT8 "Strategy class"
implemented in an object-oriented fashion, with several dozen class files, which does
simultaneous Order Entry and Analytics all in the same DLL which is hosted
within NinjaTrader. Sure, there's "stuff" between me and the market, but NT8
doesn't mess around when it comes to performance, and it's fully multi-threaded
just like my code is... so it all runs in the NT8 single process on my 6 Core
Xeon processor... So much lower level stuff is not really needed, since NT8
is oriented around very high performance; and thank Gawd for that !!!

[edit more] C# is Microsoft's implementation which runs on their
CLR (Common Language Runtime). I'm a Java programmer, and
I write C# just like Java. The VM or CLR can "JIT optimize" the ILR
intermediate code language into machine code; so good C# can
get performance like C++ with a lot less low level expertise. The
performance is amazing to me; and the productivity it leverages is
just amazing. Java or C# make programmers into Super-Heroes,
with very little low level knowledge... We live in the Age of Miracles

hyperscalper

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  #212 (permalink)
 hyperscalper 
boise idaho
 
Experience: Advanced
Platform: NinjaTrader C# Custom
Broker: NinjaTrader LeeLoo Rithmic
Trading: Nasdaq Futures NQ/MNQ
Posts: 314 since Apr 2020
Thanks Given: 15
Thanks Received: 522

A TRADER ASKED ME:

In a DM, I got this question:

"... but let's say if I want to sum up the whole design a day trader indicator thread, what indicator I have to use for scalping?"

This question falls into the category of TL;DR (too long, didn't read)...

I've consistently said that no single indicator can be the "holy grail" for scalping,
but Volume-based analysis which TradeFlowRisk estimates, is a great
core indicator.

Definitions of "scalping" are too broad, but I've also said that if you need
very high precision on turning points of a market, depending what you mean
by "high precision" then this indicator may not be enough.

How you are using this TradeFlowRisk indicator, i.e. Retention Intervals has
a big influence on the "precision" with which is can help pinpoint trend
turns.

Price doesn't predict future price, mostly, for obvious reasons; and so taking
Trading Volume into account can be a big edge.

So, I hope this helps answer the question; and questions are best posted
in this thread, rather than to DM me...

hyperscalper

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  #213 (permalink)
 Connor 
France, Lille
 
Experience: Intermediate
Platform: Proprietary
Trading: Stocks
Posts: 18 since Nov 2021
Thanks Given: 1
Thanks Received: 11


LOL

IOW (in other words), can't be bothered with understanding the process. Just show me what button to press for the cash to fall into my pockets?

PS: Sorry, I've not gone silent. Just not a lot to say atm.

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  #214 (permalink)
 hyperscalper 
boise idaho
 
Experience: Advanced
Platform: NinjaTrader C# Custom
Broker: NinjaTrader LeeLoo Rithmic
Trading: Nasdaq Futures NQ/MNQ
Posts: 314 since Apr 2020
Thanks Given: 15
Thanks Received: 522

ASPECTS OF VOLUME ANALYSIS FOR TRIGGERING

Price movements are important, since that's how we make
money, from one price point to another. But Price doesn't
predict price, and we need something else.

That something is Volume analysis.

I'm attaching some custom charting showing how
Big Lots alone can be most effective as trigger points
and, especially when combined with the simple Net
Inventory approach we've used in the Indicator, and
usually combined together...

...we can find tops and bottoms of major short term
moves.

BLACK is Price, but it's a "compressed" price, just showing
the inflection points. The BLUE and RED dots above and
below are BIG LOT trades, and PURPLE is the Net Inventory
over 30 seconds.

hyperscalper

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  #215 (permalink)
 Connor 
France, Lille
 
Experience: Intermediate
Platform: Proprietary
Trading: Stocks
Posts: 18 since Nov 2021
Thanks Given: 1
Thanks Received: 11

Your graph reminds me of some visuals I did in C# years ago. I actually learned (little) OpenGL to be able to visualize the chart in realtime. I was drawing the bid/ask and the filled orders with a square proportional to the size (faster than dots). The rectangle was transparent so I could see the big order and the small orders around it. Very nice visuals. The code is too old to run it today, but I'll try to find some snapshots.

However, that is how I discovered the concept of "stopping volume". The MM had an "infinite" iceberg at certain levels and I could enter my trade in an instant, knowing the price was "stopped" at that level. Today, there're many big fish so the stopping volume is more of a region. Many orders can be filled and inventory can be accumulated.

There's lots to your concept of local inventory that makes sense. Big part of MM is risk averse and if they cannot match the current instantaneous inventory they'll adjust prices. If they bought too much, they'll need to lift the ask and push with the bid. Whoever was selling will stop hoping for a better price. The sheep will come after because the BO, FOMO etc. In reality it makes sense from a purely mathematical point of view. Buy low/sell high and viceversa. Except the prices are quoted by the MM, within reason. Several models for calculating the MM levels from inventory, volatility etc will do exactly this.

Now if litiing the ask is not enough and the selling pressure is too much there's plan B. They just stop buying (relatively speaking). At the days of the NYSE specialists, there was the 60 seconds rule: The MM would quote 1lot. If you tried to hit it they had 60 seconds to execute your order or drop their bid. They were not even required to fill that 1 lot. The today equivalent is just light buying until seller exhaustion. The seller will at some point desist either because of the lower price of because they get the message. At that point MM has some inventory upper but plenty of time and capacity to lower their average price buy purchasing lower. Once the selling wave is past, they can raise prices in the usual way.

Some time ago, I made a few very expensive experiments at specific time moments consisting of dumping a huge load of contracts against the MM when the mkt was in strict range. Say 20-50 contracts. The MM would immediately requote and put my position in instant loss for few ticks. I'd keep it for a while like this (i.e. quiet times). Then I'd reverse the position and the MM would adjust immediately to put me in a loss at the other side. Very informative and very expensive. Now you can do this on some EU futures. I guess it takes a lot more capital to do so in the ES.

One question, what are the pink and green lines? They look like some accumulations on the bid/ask (trades?). They they reach max/min for some time they seems to indicate some type of excess.
greep-pink-qm
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  #216 (permalink)
 hyperscalper 
boise idaho
 
Experience: Advanced
Platform: NinjaTrader C# Custom
Broker: NinjaTrader LeeLoo Rithmic
Trading: Nasdaq Futures NQ/MNQ
Posts: 314 since Apr 2020
Thanks Given: 15
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Connor View Post
Your graph reminds me of some visuals I did in C# years ago. I actually learned (little) OpenGL to be able to visualize the chart in realtime. I was drawing the bid/ask and the filled orders with a square proportional to the size (faster than dots). The rectangle was transparent so I could see the big order and the small orders around it. Very nice visuals. The code is too old to run it today, but I'll try to find some snapshots.

However, that is how I discovered the concept of "stopping volume". The MM had an "infinite" iceberg at certain levels and I could enter my trade in an instant, knowing the price was "stopped" at that level. Today, there're many big fish so the stopping volume is more of a region. Many orders can be filled and inventory can be accumulated.

There's lots to your concept of local inventory that makes sense. Big part of MM is risk averse and if they cannot match the current instantaneous inventory they'll adjust prices. If they bought too much, they'll need to lift the ask and push with the bid. Whoever was selling will stop hoping for a better price. The sheep will come after because the BO, FOMO etc. In reality it makes sense from a purely mathematical point of view. Buy low/sell high and viceversa. Except the prices are quoted by the MM, within reason. Several models for calculating the MM levels from inventory, volatility etc will do exactly this.

Now if litiing the ask is not enough and the selling pressure is too much there's plan B. They just stop buying (relatively speaking). At the days of the NYSE specialists, there was the 60 seconds rule: The MM would quote 1lot. If you tried to hit it they had 60 seconds to execute your order or drop their bid. They were not even required to fill that 1 lot. The today equivalent is just light buying until seller exhaustion. The seller will at some point desist either because of the lower price of because they get the message. At that point MM has some inventory upper but plenty of time and capacity to lower their average price buy purchasing lower. Once the selling wave is past, they can raise prices in the usual way.

Some time ago, I made a few very expensive experiments at specific time moments consisting of dumping a huge load of contracts against the MM when the mkt was in strict range. Say 20-50 contracts. The MM would immediately requote and put my position in instant loss for few ticks. I'd keep it for a while like this (i.e. quiet times). Then I'd reverse the position and the MM would adjust immediately to put me in a loss at the other side. Very informative and very expensive. Now you can do this on some EU futures. I guess it takes a lot more capital to do so in the ES.

One question, what are the pink and green lines? They look like some accumulations on the bid/ask (trades?). They they reach max/min for some time they seems to indicate some type of excess.

Well, there's a lot to be said about how Market Maker makes Her
wishes known ! LOL And this thread DOES NOT use Depth of
Market, due to the complexity of dealing with that data..... Nevertheless...

I may have invented "the Virtual Bid and Ask Prices" which is a way of
characterizing how "close" to the inside market, She chooses to place
multi-tier Distribution of Bid and Ask Volumes.

We can calculate a Virtual Bid Price by Volume-Weighting a range of
Tier distances from the market. As relatively more volume exists on the
Bid side of the market, with it's VWAP Tier Offset being closer than that
on the Ask side, then we know that MM has a greater desire to interact
with the Retail Inside Market on the side where that Virtual Delta Price is
closer to the inside market. It also helps to weight the distance by the
absolute sum of volumes on Bid versus Ask as well, perhaps.

These are very tricky things to try and capture; and there are various
approximations.

Basically the lines you're asking about represent a "Bias" where Volume
Closer to the inside Market is interpreted as "Push Volume", because it
will be "pushing" the Market (or in a Bid-push scenario, if the Market is
dropping, this will be characterized by Buy accumulation of Volume
by MM. (But I do a lot of R&D lines, that may not eventually survive
the test of Usefulness... yet remain in the charting for a while.)

So "closer" means MM wants to interact with the Retail Market; and instead
of "refusing to transact" with the Retail players; MM will "stretch" the
Volume Distribution further away, or closer to the market, so that any
large Lot "consumes" more Tiers and thus gives MM a more favorable
Volume Weighted Average transaction price delta from the Inside Market.

What is true, is that Market Maker places Volumes in anticipation of interacting
with the Retail players, AHEAD OF TIME, so that evaluating Volume ratios,
etc., is a LEADING INDICATOR, even though you might SMOOTH it to
eliminate noise; it is such a leading indicator, that any lag resulting
from smoothing REMAINS a Leading Indicator...

That would be the Holy Grail, as Traders like to say, for short term scalping.

hyperscalper

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  #217 (permalink)
 Connor 
France, Lille
 
Experience: Intermediate
Platform: Proprietary
Trading: Stocks
Posts: 18 since Nov 2021
Thanks Given: 1
Thanks Received: 11

Thanks for the insight. We're constantly trying to feed from the lure on the fishing hook. Sometimes there's meat or a worm and sometimes it's only plastic.

These are interesting ideas/thoughts.

I've been looking at the TradeFlow indicator in the past couple of days. I changed the parameters a few times. It's just too slow to play with in VT. Perhaps I'll try to find the time and convert the idea to a more flexible environment where I can simulate multiple parameters over the same data and see what happens.

I think it would benefit enormously from some form of auto-adaptation of the holding period and risk thresholds. Even the small lot filter might need adjusting based on the current mkt activity (but I'm not so positive here). I.e. we have the market phases and days are not always the same. It would be nice to have it auto-adjust based on mkt conditions (fast/slow/volume traded/directionality etc) and also on what we're looking for at the specific moment.

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  #218 (permalink)
 hyperscalper 
boise idaho
 
Experience: Advanced
Platform: NinjaTrader C# Custom
Broker: NinjaTrader LeeLoo Rithmic
Trading: Nasdaq Futures NQ/MNQ
Posts: 314 since Apr 2020
Thanks Given: 15
Thanks Received: 522


Connor View Post
Thanks for the insight. We're constantly trying to feed from the lure on the fishing hook. Sometimes there's meat or a worm and sometimes it's only plastic.

These are interesting ideas/thoughts.

I've been looking at the TradeFlow indicator in the past couple of days. I changed the parameters a few times. It's just too slow to play with in VT. Perhaps I'll try to find the time and convert the idea to a more flexible environment where I can simulate multiple parameters over the same data and see what happens.

I think it would benefit enormously from some form of auto-adaptation of the holding period and risk thresholds. Even the small lot filter might need adjusting based on the current mkt activity (but I'm not so positive here). I.e. we have the market phases and days are not always the same. It would be nice to have it auto-adjust based on mkt conditions (fast/slow/volume traded/directionality etc) and also on what we're looking for at the specific moment.

The Dynamic Activity Levels of Markets, especially Nasdaq futures;
does require adjustment of parameters.

I've tried to do stuff like that, and it sounds very clever, but is isn't always
possible to do that successfully; however "elegant" it may sound...

You can run TWO (or more) instances of TradeFlowRisk, each with unique param
files, and you can also overlay on the Price; but may need simply to move the
TFR axes both over to the left. I like to scale them manually, and there's also
a multiplier parameter which will allow you to scale one relative to the other.

But it's probably better to figure out a way to use the key "events" such as Big Lots,
to Trigger trades. All that code could be a Strategy, instead of an indicator; and
then you'd be into a much more complex and challenging situation.

I am 18 months into working with NinjaTrader 8; and developing my Integrated
Custom Platform, which I call "Thingy"; so I can tell you it's gonna be a heavy
lift to build something like that.

IF YOU DECIDE TO PUT A USER INTERFACE ON, then use the WPF Winforms
Hosting Control, and host Winforms to develop your interactive user interface.

You MUST avoid tampering with the form to which the Strategy is attached; or
it will dump you; and force a reload of your code. Eventually I'm gonna implement
it as what NT8 calls an "AddOn"; and then all of my Strategy code can just
inherit from that. In that case, the code is no longer subject to the whims of
the chart to which the Strategy class is attached. But that's a lot of work.

Then you have the possibility of using Managed Order Entry (bike training wheels)
or fully Unmanaged Order Entry. I use Unmanaged; and so I need to handle
everything.....

Knowing about Multi-Threading and correct Object Oriented Design is the only
way you can scale up a system like that... no more need for MASM; and you
can use "high level" concepts, plus the Community version of Visual Studio
for C# to develop your code, which you can deploy as a DLL into NT8's runtime.

[EDIT] since this is down the rabbit hole; when I first started implementing my
Thingy, I quickly discovered that NT8 uses "cloning" and literally activates
several Object instances, only one of which is eventually the Object instance
that will run. Their guidance on how to make that determination was incorrect;
but I eventually figured out how to make it work. What a hassle. Yeah, "cloning"
is how they activate Indicator and Strategy type objects in order to Query them
using Reflection, etc... And there's No Way to stop that crap from happening ! LOL
That would be the strongest reason for me to switch things over to an AddOn
implementation but, as I said, it's a lot of work.

DESPITE THESE MINOR ISSUES, there is No Better platform to develop scalable,
fast systems than NinjaTrader, so I don't want to complain too much. It's a
"coder's Dream" once you get used to it.

hyperscalper

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  #219 (permalink)
 Connor 
France, Lille
 
Experience: Intermediate
Platform: Proprietary
Trading: Stocks
Posts: 18 since Nov 2021
Thanks Given: 1
Thanks Received: 11

It's a busy week here. Rollover is next Friday and I'm seeing the usual shenanigans already.
Not a lot of time left for other things.

As I read your lines I'm happy I stopped fighting the platforms.
I don't use NT and I don't use other platforms (well... mostly).
I figured I could better use my time and just make my own.

At the end I think it pays out well.

My code does not do graphics well and It is not very flexible or user friendly. In real trading
I'll monitor my executions and the chart on the broker's platform or NT or something else.
This is just for my awareness, in addition to the algo screen where I mostly see numbers.

I need graphics mostly in research. If I have an idea I'll chart it over many days. I'll make PNG files.
Then I use a simple picture viewer to check the results, annotate and a markdown editor for notes.
This way many parameters can be adjusted with little effort and the results evaluated. I can save the
results along my notes for future reference. If I find something I'll simulate it over several days using
a simulator broker in my framework. I use a recorded DOM, quotes and other data. For this purpose
I have a 24/5 recorder connected to all my feeds and a dedicated server.

You guess, for trading I use only my code and the brokers API. I'm aware that standard platforms
are very limiting once you need more flexibility. They all have their quirks.

So my trading is 80% automated. Position managing, risk control all follow my rules. Because I'm a
very lousy discretionary trader. It takes pressure off once you know your "system" works when your
rules are obeyed. I won't go into details here but it seems to work along the same lines as what you've built.
So, I set the "parameters" and let it trade.

This way I'm free to experiment, read, research and try things most of the day. I used to be tied to a trading
seat 8-10 hours/day and then research on top. No more.

You mentioned the unaggregated Rithmic feed. I've never had a look at it and it's been in my todo list for a while.
Perhaps I can ask you a few questions?
When you say unaggregated, do you mean each order/dom level is tagged with the id of the partecipant?
Or is it just the "raw" order price and size with multiple orders per level?

Thank you.

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  #220 (permalink)
 hyperscalper 
boise idaho
 
Experience: Advanced
Platform: NinjaTrader C# Custom
Broker: NinjaTrader LeeLoo Rithmic
Trading: Nasdaq Futures NQ/MNQ
Posts: 314 since Apr 2020
Thanks Given: 15
Thanks Received: 522



Connor View Post

You mentioned the unaggregated Rithmic feed. I've never had a look at it and it's been in my todo list for a while.
Perhaps I can ask you a few questions?
When you say unaggregated, do you mean each order/dom level is tagged with the id of the partecipant?
Or is it just the "raw" order price and size with multiple orders per level?

Thank you.

On the Rithmic DOM, to my knowledge there aren't "tags" to identify
individual participants on the DOM. Maybe if you took their Raw feed,
you'd be able to have that info; but I think it would be of questionable
value, even if you could "disaggregate" participants. I have a simplified
assumption, I'll explain below; to handle estimating Market Maker's
"desire" to participate at a given Price level.

What I mean is that each "event" of update (as much as possible) is
reported, rather than "aggregated" together to provide an update.
This result in a higher bandwidth and lower latency requirement to
push all of that through the pipe. So it's a higher resolution of updates,
opening the possibility of a finer grained analysis.

As seen from NinjaTrader 8, the DOM "event types" are designed for an
efficient maintenance of a Level 2 display. So things like "insert" at tier
position allows the software to "slide" the other tiers and insert a value.

However, I just look at the Update events, Volume@Price, and feed them
into Dictionary hashed individual Price Specific Analyzers, each of which
holds a "fixed time pipeline" of timestamped Volume updates.

So within this "time window" I can get Minima, maxima, average, and
so on, from each individual Analyzer. Using getMin() is designed to find
the SMALLEST Volume within the short time window. For SPOOFING,
you want the minimum value; since higher Volumes are "transient" and
designed to "trick the eye" into thinking there's more there than MM
really cares to maintain.

For example, imagine 10 contracts appears 95% of the time, but just
2 contracts appears 5% of the time. The "real interest level" is 2.
If it were higher, then the minimum would be maintained at a higher
level. Why would that be?

Of course, the reason that "real size" needs to be persistent on the
exchange, is Time Prioritization internally. At each DOM price level,
there is the requirement that the volume
component placed earliest, and for the longest time, is taken first at execution time.
So each price level involves "competition" between participants, the
most significant of which is primary Market Maker. She will maintain
size or volume at a Price level, which gives Her the Priority of execution,
amongst other participants who arrived later, or who push/pull size
at that same Price level.

Because the Incentive is to place size and maintain it; or lose your
Price-specific Priority at Execution (i.e. Matching) time; evaluating the
Minimum value held at a Price Level is a good "proxy" or "estimate"
of Market Maker's "eagerness" to transact with the Retail population,
when that Price level reaches the Inside Market for Execution.

This is also the reason, fortunately, that proper evaluation of Volume
on the Quote DOM is a "Leading indicator". Quoted size must be placed
Early, and Held; in order to be most effective. So size will be placed,
and held, then later, the Inside Market will be moved to that size. If
MM did not want to transact with the Retail market; then size would
be minimal; but when it becomes significant; this is a signal that a Trend
change is imminent, etc.... That's the idea anyway.

There's plenty of room to argue whether this simplification adequately
does the trick of "seeing through" Spoofing. But, visually, the Eye
may see big Quoted Size, but the computer sees those few Milliseconds, during
which the Size disappears; since it's being "Spoofed".

hyperscalper

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