Edit Title: What kind of blockvolume is visible? - order processing

Hi everyone here,

how is blockvolume and volume in general calculated? I am wondering this since several months and one vendor didn't answer the question really and the NT support neither. I still don't know whether the blockvolume indicator (specifically NT8) shows blockvolume of both limit and market orders or only of one of them.

The indicator gets its volume from a 1 tick data series and simply detects volume above a given size. 1 tick = 1 trade. Therefore I believe it shows block market orders only. But I am not sure.

Let's say there is a 500 contract sell limit and 400 individuals buy market into it. Probably this would create 400 ask-side ticks with roughly 1,25 volume each. But open interest for eg. shows both sides of the trade. So if this would apply for normal volume as well, this example would create 401 ticks with the last tick, when the block order is worked off, 1 tick with a volume of 500.

Now the question how are orders processed really, and which block orders do really show up? I hope someone here knows!

I will try to help you but don't have a ton of time.

There is no difference in volume between Limit Orders and Market Orders.

Buy Market Orders can only pair up with sell Limit Orders. Sell Market Orders can only pair up with buy Limit Orders.

If a trader is selling a 1 lot on a Limit, best ask (also called offer) or higher, then they have to wait for another trader to "lift" (Market Order) the offer, (also called ask), buy into it. Once this happens a volume of "1'" has happened and is recorded as such. This is a transaction. "Lift" the offer can also be called "take" the offer.

If a trader is buying a 1 lot on a Limit, best bid or lower, then they have to wait for another trader to "hit" (Market Order) the bid, selling into it. Once this happens a volume of "1'" has happened and is recorded as such. This is a transaction.

Limit Orders are generally passive. Market Orders are considered more aggressive. A liquid market is one that has many Limit orders, asks and bids, waiting to be filled. If a trader is not interested in waiting to be filled and doesn't care about exactly what price to be filled at they can just hit the bid or lift the offer and get filled. Provided it is a liquid market.

Ron

I appreciate you took the time to answer.







What you wrote makes perfectly sense. So the displayed volume is the total volume and not double the volume like with open interest.



But then I still wonder how this would look like with block orders? When 1 tick is one trade and one trader lifts one tenth of a 10 contract sell limit order, it would probably create 1 tick with 1 volume. Therefore only block market orders are visible and never block limit orders. This is the logical conclusion.



The thing is what iritates me so much is why you (and the others I have asked) say that it wasn't clear whether it's a block limit or market order? If it was not clear it would show both, limit and market block orders, and then I would again ask how does it do it exactly by reading a 1 tick data series?



Greetings

What kinds of tools do you have to view market data?

I think a better understanding for you will come with witnessing, over time, market data. Time and Sale compared to the DOM provided you have good tools that can show all the trades happening.

I will put together something for you and post it in this thread.

Ron

Hi Ron,

this would be awesome, and that's a great idea! So far I only have and use NinjaTrader 8. I guess I would need some addons to see the data clearer than with the standard times & sales, maybe a footprint chart? Though I doubt to be able to see there the block volume thing.

Sebastian

Hi Ron,

this would be awesome, and that's a great idea! So far I only have and use NinjaTrader 8. I guess I would need some addons to see the data clearer than with the standard times & sales, maybe a footprint chart? Though I doubt to be able to see there the block volume thing.

Sebastian

I'm uploading a video, of the DOM and T&S, to YouTube right now and will post it here for you once it's done. The idea being, watch how the trades happen over time thereby obtaining a better understand how the market works.

My DOM shows everything and is easy to understand. It's not just the regular NT DOM. The market I choose is ZN, 10-Year T-Note.

You'll see shortly. Video is 1 hr and 34 min so it takes a little time to upload. With a nice long video you will have plenty of chance/time to see what's happening. I also have my PriceSquawk running which always helps a lot.

Ron

Here it is....Hope it helps.....
Ron

Hello Ron,

great you did the recording! Thank you!!! Could you explain shortly why numbers in the columns nearest to the price disappear or diminish sometimes when the voice says offer taken for e.g. From what I know, I thought in this column completed orders get accumulated. And I thought that the columns furthest on the outside (on the left and right of the sitting limit orders) represent canceled limit orders, but somehow these columns change while limit orders remain the same.

Hello Ron,

Anyways that's not really the point of my question (whether both block limit and market orders are visible as blocks or only one of these types?). It became clearly proved that the blockvolume indicator doesn't anything else than filtering the tape for orders > blocksize.
So, if it was able to detect a 200 contract sell limit order and also a 200 contract market order, for e.g., than sometimes after a few market orders went through, it should show one bigger order in the opposite color that doesn't get added to the column of the transacted orders nearest to the price in the middle. But I didn't see this. Apart from the confusion I told you at the beginning, I see every order from the tape appearing also on the respective side of transacted bid or ask. Thus the tape shows solely market orders that lift or hit the ask or bid, isn't it correct?
(I mean to detect a limit block order vs a market block order in terms of on which side the block sat. Sure every market order meets a limit order, but the decisive point is which of the two was the block).

Best regards,
Sebastian