OK - I'll answer this one here - but I don't want to derail the thread and there is an AMA for Jigsaw on the site and we can discuss it there.
Top Meter - actual trades
Middle Meter - bids/offers
Bottom Meter - pulling/stacking
Pullling/stacking …
I understand what the top meter is doing. However, I'm still can't make heads or tails of what I'm looking at for the other two meters. For instance, sometimes it appears that the pulling/staking values of the meter do not agree with what's on the depth & sales when I add up the numbers in my head....unless I'm looking it at all wrong.
Could you clarify what the pulling/stacking meter and bids/offer meter are calculating?
Also, how does the "Meter Levels" setting affect their calculations.
Thanks
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>>Peter Davies:blue/bullish side - Any +ve numbers from the bid snapshot plus any -ve numbers from the offer snapshot (but the absolute value). Reverse for red/bearish side.
Me: Aahhh, thanks. The absolute addition happens across BOTH sides - that's what threw me. <<
Sazon, ref Snapshot query
Above is Pete's answer on the Jigsaw forum where I asked same question. Due to data sync issues (we cannot avoid) the background Jigsaw calculation and foreground action seen on D&S will still be out of sync a little sometimes!
Hope that helps. Pete is supposed to be taking a few days holiday so felt I had better comment here.
Richard
Hong Kong
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- Recon Tape, Summary Tape will work fine
- Depth & Sales is a vertical display - 1 line per price. So for high priced stocks like AAPL, there are lots of empty lines because of the larger spread. For $0-$80 stocks that are actively trader (> 500,000k per day) it will still work well
- NinjaTrader have a problem with eSignal depth data right now and so you cannot rely on Ninja DOM or Jigsaw D&S to display the correct depth.
- NinjaTrader have a problem with IBs Totalview data so same as above for IB data
- Kinetick data works fine with Ninja but Kinetick don't provide totalview.
For those that do not know what total view is.
Level 2 data on stocks shows the BEST bid and BEST offer for each participant or exchange. So if there is a bid at 49.99 on ARCA for 50 lots and a bid at 49.98 for 5000 lots, then only the 50 lots will appear.
Totalview is a sort of 'extended' Level 2 that shows EVERY bid/offer for each participant or exchange. So you see full depth.
So - you have a situation where Ninja cannot handle Any Level 2 data from eSignal or TotalView data from IB. Both issues have been reported to Ninja and Ninja has flatly refused to fix these issues despite the fact that in both cases, depth data is reported incorrectly. eSingal is just plain wrong and for IB, they say that "TotalView is not supported", although you only get to find that out if you report the issue.
Whilst Kinetick and L2 on IB are OK - they only show best bids/offers per participant and if that's enough for you, then you are OK. I personally prefer to have a full view of depth.
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Any way to add a "cumulative" option to the snapshot strength meter? This is actually something I had been working on, but hadn't had much time. I think it is valuable information to know how the limit orders have been holding up over a bigger time span than just an individual spread, specially in thinner markets. For example if there is a run up, and during that run up, the ask had been getting pulled and the bid had been getting stacked, but then a certain point is reached where players quit pulling their limits and start cashing out.
Great update as always,
Xav
London Calling
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I think it's a good concept but I'm not sure how you'd present it or which number to accumulate.
This meter is very 'whippy'. On a move down it'll be mostly red, then you'll see it fo aggressively blue - and of course that doesn't guarantee a tick up but it will often preceed a move.
So it goes mostly blue - then ticks up. Right after that tick up, it'll be neutral, then in an aggressive move it'll bounce back up on the blue side, then tick up. It repeats this cycle - tick up, go neutral, go blue, tick up, go neutral, go blue.
You could turn it into OHLC bars as it does have an open, high and close value but then you'll get one bar per tick.
For cumulative, you could just accumulate the closing value I guess. The one issue with this would be scaling because after 10 ticks up you'd have a fairly hefty number in there. Then on the first aggressive tick down, whilst you'd have a decent number there, it'd show as a fairly minor blip on a graphically represented form unless you used a weighted average or something.
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Well its the same principle as CD, but more like Level II Delta. The numbers do get big(I had a working cumulative level II delta tool coded up, but it was a resource hog), but they scale VERY close to PA. I actually like when the numbers got big, because they quit looking so jumpy on a cumulative chart. Another idea could be time based accumulation,,,say the past N-minutes. This is just something I had been experimenting with, but could not got lean code.
London Calling
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