Here is a little indicator aggregating trades to approximate the original market orders that triggered these trades.
It can be downloaded from
(
I had the luck to get lots of code snippets and ideas from rounder8 and Xav1029, so thanks and credit goes to them.
It is a window that is structured the same way as rounder8s T&S.
Columns:
1 Time (cutting off hours for easier visibility)
2 Size of the print
3 Price
4 # of penetrated price levels
5 Ticks
6 Dominant Limit (an idea from rounder8)
Description from his thread:
These are the options showing default settings:
(
The options and settings should be all reasonably straight forward, if there are any questions I am happy to explain them in detail. Most of the not-so-straight-forward settings have a description that appears at the bottom of the indicator dialog when a setting is clicked.
Colors are with the exception of Lot Alerts all user selectable.
The indicator shows 3 different size levels of prints:
1 Normal prints above the minimum volume (set by user)
2 Block prints (size set by user)
3 Lot prints (size set by user)
Showing three different levels was one of the fabulous ideas I nicked from Xav1029.
Another one of his ideas was to show the print as soon as the size exceeds the volume filter and then update that print as opposed to showing it later when the final size is determined.
As I think people would like the option of aggregating trades by time, the logic is in there, BUT:
I am not convinced by it. It is using local time as the basis. There is the inherent difficulty with ping times often being considerably larger than the grouping timeout. This often means that one has no idea in which order the packages were sent by the exchange and with what time intervals. So this logic would require to use exchange time stamps to be robust. Unfortunately NT does not support that officially, and although I am certain that there is the possibility of a workaround, I do not know how, and it will likely be quite a lot of work....
THERE IS A KNOWN BUG: Sometimes at startup it will throw an index out of range exception and the indicator window will stay blank, if that happens, just refresh the chart, that should do the trick... The reason I did not remove this bug is that it would mean more lines of code and thus be (a tiny bit) slower.
This has been fixed.
Last but not least, this T&S neither is nor is intended to be a copy of DionysusToasts Reconstructed Tape! As a matter of fact, the results vary considerably between the two. As I have no chance of looking at the grouping logic of DionysusToasts indicator I could not possibly say which one is more accurate, but I can say that I bought his indicator quite a while ago and in deed am very happy with it. I have the highest respect for DionysusToast and his fabulous tools.
An updated description can be found HERE ( (Explains how the prints work and also explains quite a few settings).
And HERE ( (Header)
And HERE ((Pressure Bar and Price Delta Bar)
And HERE ((Histogram)
This indicator and XavGomRecorderMods ( are designed to have identical aggregation so they can be used in conjunction.
Changelog archive:
August 10 2012: Bug fix
August 13 2012: Fixed font size bug, font size now user selectable, added aggregation method Bid/Ask, optimized code, fixed digits to display for ES, RENAMED TO: vvAggregatedTS (this means the old version will stay untouched when importing the current version, you can delete it manually though)
August 14 2012:Added support to display up to four digit print sizes for instruments like ES, made default height changeable.
Added option to display a scroll bar
Changed the icon, if you want it , copy it (fish16.ico) from the zip file to Documents\NinjaTrader 7\bin\Custom, then (in any case) delete the icon from the indicator list.
August 16 2012: v2.3
1. extended the option how many digits to display, so cheap stocks can get displayed correctly
2.Fixed the width of penetrated price levels column
3. always on top option
4. added option to display hour
5. added option to set height and …