NexusFi: Find Your Edge


Home Menu

 





Depth of Market and Accumulated Volume


Discussion in ThinkOrSwim

Updated
      Top Posters
    1. looks_one Cudashark with 2 posts (0 thanks)
    2. looks_two worldwary with 1 posts (1 thanks)
    3. looks_3 Massive l with 1 posts (0 thanks)
    4. looks_4 tigertrader with 1 posts (0 thanks)
    1. trending_up 11,847 views
    2. thumb_up 1 thanks given
    3. group 6 followers
    1. forum 5 posts
    2. attach_file 0 attachments




 
Search this Thread

Depth of Market and Accumulated Volume

  #1 (permalink)
 
Cudashark's Avatar
 Cudashark 
Sarasota Florida
 
Experience: Advanced
Platform: TOS,NT, Jigsaw
Trading: Treasuries/ZB
Posts: 33 since Dec 2011
Thanks Given: 18
Thanks Received: 75

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

Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Request for MACD with option to use different MAs for fa …
NinjaTrader
My NT8 Volume Profile Split by Asian/Euro/Open
NinjaTrader
ZombieSqueeze
Platforms and Indicators
NexusFi Journal Challenge - April 2024
Feedback and Announcements
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Retail Trading As An Industry
58 thanks
Battlestations: Show us your trading desks!
52 thanks
NexusFi site changelog and issues/problem reporting
48 thanks
GFIs1 1 DAX trade per day journal
31 thanks
What percentage per day is possible? [Poll]
31 thanks

  #2 (permalink)
 
tigertrader's Avatar
 tigertrader 
Philly, Pa
Legendary Market Wizard
 
Experience: Master
Platform: NinjaTrader
Trading: ES, ZB
Posts: 6,482 since Jul 2010
Thanks Given: 6,662
Thanks Received: 36,257


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, [AUTOLINK]Tape Reading[/AUTOLINK] Decision Support Software..

Follow me on Twitter Reply With Quote
  #3 (permalink)
 jmont1 
New York, NY
 
Experience: Intermediate
Platform: NinjaTrader8
Broker: Data = Rithmic -- Gives 70 Level II Data
Trading: 6C (Low Margin,) 6E, CL, GC, ES and Maybe DX for smaller tick value
Posts: 1,394 since May 2011
Thanks Given: 1,719
Thanks Received: 1,019




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:



Good luck!!!

Reply With Quote
  #4 (permalink)
 
worldwary's Avatar
 worldwary 
Williamsburg, VA
 
Experience: Intermediate
Platform: ThinkorSwim
Trading: Stocks
Posts: 522 since Mar 2010
Thanks Given: 259
Thanks Received: 791

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
Visit my NexusFi Trade Journal Reply With Quote
The following user says Thank You to worldwary for this post:
  #5 (permalink)
 
Cudashark's Avatar
 Cudashark 
Sarasota Florida
 
Experience: Advanced
Platform: TOS,NT, Jigsaw
Trading: Treasuries/ZB
Posts: 33 since Dec 2011
Thanks Given: 18
Thanks Received: 75

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

Started this thread Reply With Quote
  #6 (permalink)
 
Massive l's Avatar
 Massive l 
OR/USA
Legendary /NQ Trader
 
Experience: None
Posts: 2,129 since Mar 2011
Thanks Given: 1,859
Thanks Received: 5,106

No, I haven't seen that yet.

Visit my NexusFi Trade Journal Reply With Quote





Last Updated on December 18, 2011


© 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