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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.
Trading: 6C (Low Margin,) 6E, CL, GC, ES and Maybe DX for smaller tick value
Posts: 1,394 since May 2011
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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:
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.