Welcome to NexusFi: the best trading community on the planet, with over 150,000 members Sign Up Now for Free
Genuine reviews from real traders, not fake reviews from stealth vendors
Quality education from leading professional traders
We are a friendly, helpful, and positive community
We do not tolerate rude behavior, trolling, or vendors advertising in posts
We are here to help, just let us know what you need
You'll need to register in order to view the content of the threads and start contributing to our community. It's free for basic access, or support us by becoming an Elite Member -- see if you qualify for a discount below.
-- Big Mike, Site Administrator
(If you already have an account, login at the top of the page)
Does anyone know what platforms have ability to place orders dependent on the volume at specific level ? (except TT and Stellar - I know that these platforms have such functions. I have used it on Stellar but don't know if it is possible on "average" platforms )
What I mean is e.g.:
- stop order that is triggered only if the limit on level is less than xx or is triggered if the price is traded by xx contracts
- limit order that is pulling off if the volume is less than xx, and pulling in again if is higher than xx
Can you help answer these questions from other members on NexusFi?
I use NinjaTrader and have quite a bit of entry, exit logic I have built over the years that is based on the bid / ask volumes.
In NT the syntax would be like this:
if(GetCurrentBidVolume() < 50)
{
EnterLong();
}
But here is the catch.... You will need to run a 1 tick data series to use the Bar Update methods, GetCurrentBidVolume() and GetCurrentAskVolume() anything less than this, and you will not be granular enough to matter. For example running this type of logic on even something like a 25 tick series would be like traveling in a giant warehouse with a strobe light that only flashes every 30 seconds. You are going to be missing too much. To be more clear here, the GetCurrent.... Volume methods pull the volume off of the bar which is based on the time series and type. This will always be based on this regardless on which event handler you run it from.
Alternatively you can run volume based entries off of OnMarketDepth and use the volume levels there as well. This will be a time / data series independent option, because it updates on every change in the level 2 book and not based on bars in a chart for example. But the level 2 data can at times lag behind the OnBarUpdate events even though it is more granular. You will also need logic to point the level 2 feed to only update the best bid / ask, but this is fairly easy. The event handler for this will run updates on every single bid price and every single ask price any time any of them change, so you have to create logic to filter this. If you are interested I can share more on this topic.
I would imagine any platform that has access to level 2 data can do what you are looking for as this would be considered normal blocking and tackling. However I will caution you... doing any type of canceling of the best bid / ask prices based on the volumes on the best bid / ask prices will often times fail as you will be too slow. You can use volumes fairly well 2 + levels and cancel without issue but once your order = the transaction level, you will likely be too slow, as this enters the world of low latency. This also applies to entering and exiting based on action on the best bid / ask price. Especially lately on the ES the action here has been in the 10 millisecond range, then Bam the price level is cleared and it's onto the next one. If the market was moving slowly you would have a chance though, but lately though.... not so much.
Hope this helps.
Ian
In the analytical world there is no such thing as art, there is only the science you know and the science you don't know. Characterizing the science you don't know as "art" is a fools game.
Thank you fot very comprehensive answer and useful information
On Stellar dom it was very easy - there was pre build order type (many of them) and in the case of limit orders it worked automatically (not sure if it was server side order or not but worked well)
I found it useful on thick markets (notes, bonds) and spreads
)
