NexusFi: Find Your Edge


Home Menu

 





Logic behind detecting large trades


Discussion in NinjaTrader

Updated
      Top Posters
    1. looks_one Photon66 with 3 posts (1 thanks)
    2. looks_two Trailer Guy with 2 posts (1 thanks)
    3. looks_3 trendisyourfriend with 1 posts (1 thanks)
    4. looks_4 losterminator with 1 posts (0 thanks)
      Best Posters
    1. looks_one Hulk with 2 thanks per post
    2. looks_two trendisyourfriend with 1 thanks per post
    3. looks_3 Trailer Guy with 0.5 thanks per post
    4. looks_4 Photon66 with 0.3 thanks per post
    1. trending_up 931 views
    2. thumb_up 5 thanks given
    3. group 6 followers
    1. forum 7 posts
    2. attach_file 0 attachments




 
Search this Thread

Logic behind detecting large trades

  #1 (permalink)
 Photon66 
New York, NY, US
 
Experience: Intermediate
Platform: NinjaTrader, TOS
Trading: Stocks, Options, Emini ES
Posts: 9 since Jun 2020
Thanks Given: 24
Thanks Received: 1

Hi, There is a closed-source order flow indicator in NT that detects large trades. Does anybody know what is the logic behind it? What is being calculated? Do they look at tick data? Does such an indicator exists in this forum? I appreciate your comments.

Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Better Renko Gaps
The Elite Circle
ZombieSqueeze
Platforms and Indicators
New Micros: Ultra 10-Year & Ultra T-Bond -- Live Now
Treasury Notes and Bonds
Are there any eval firms that allow you to sink to your …
Traders Hideout
Exit Strategy
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
60 thanks
Funded Trader platforms
43 thanks
NexusFi site changelog and issues/problem reporting
24 thanks
GFIs1 1 DAX trade per day journal
22 thanks
The Program
19 thanks
  #2 (permalink)
 
trendisyourfriend's Avatar
 trendisyourfriend 
Quebec Canada
Market Wizard
 
Experience: Intermediate
Platform: NinjaTrader
Broker: AMP/CQG
Trading: ES, NQ, YM
Frequency: Daily
Duration: Minutes
Posts: 4,527 since Oct 2009
Thanks Given: 4,171
Thanks Received: 6,018


Photon66 View Post
Hi, There is a closed-source order flow indicator in NT that detects large trades. Does anybody know what is the logic behind it? What is being calculated? Do they look at tick data? Does such an indicator exists in this forum? I appreciate your comments.

https://github.com/gbzenobi/CSharp-NT8-OrderFlowKit

Reply With Quote
Thanked by:
  #3 (permalink)
 Photon66 
New York, NY, US
 
Experience: Intermediate
Platform: NinjaTrader, TOS
Trading: Stocks, Options, Emini ES
Posts: 9 since Jun 2020
Thanks Given: 24
Thanks Received: 1




Thank you for your suggestion. Probably I could not find that feature in trade indicator in the github indicator you mentioned. As I understood, the github indicator has an indicator that detects volume above a threshold for each price which seems to just sum the total buy/sell volume at that price; however, the trade indicator in NT seems to find large trade initiated from a single order not just total volume. Please correct me if I am wrong. Thank you.

Started this thread Reply With Quote
  #4 (permalink)
 
Hulk's Avatar
 Hulk 
Texas, USA
 
Experience: Advanced
Platform: TT, Custom
Trading: Futures, Spreads
Posts: 369 since May 2014
Thanks Given: 731
Thanks Received: 901


Photon66 View Post
Hi, There is a closed-source order flow indicator in NT that detects large trades. Does anybody know what is the logic behind it? What is being calculated? Do they look at tick data? Does such an indicator exists in this forum? I appreciate your comments.

It will be difficult for you to find something that accurately detects large order execution consistently. Many brokers have a suite of execution algos that do a pretty good job of hiding large orders. Some of these are easy to understand like splitting a large order across time but some are slightly more complicated like concurrently executing nearly half of the order passively and the rest aggressively.

Besides, large orders are also executed as a basket spanning intra and inter product instruments. In commodities with a liquid forward curve, positions can also be taken in spreads to express a bias. Plus there are TAS markets that you don't hear about much but have decent volume every day. So unless your indicator program is analyzing many instruments simultaneously, it will be difficult to get any sort of accuracy and consistency detecting large orders using anything that is commercially available, let alone for free.

Best option, if this is truly something you want to go after, is to build your own to implement specific hypothesis, not generic, like specific to a product, and that has its own challenges which are not trivial. Sorry, probably not the answer you are looking for but I have been down this road and its tough creating something meaningful.

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #5 (permalink)
 Photon66 
New York, NY, US
 
Experience: Intermediate
Platform: NinjaTrader, TOS
Trading: Stocks, Options, Emini ES
Posts: 9 since Jun 2020
Thanks Given: 24
Thanks Received: 1


Hulk View Post
It will be difficult for you to find something that accurately detects large order execution consistently. Many brokers have a suite of execution algos that do a pretty good job of hiding large orders. Some of these are easy to understand like splitting a large order across time.... l.

Thank you for the comment. You introduce some concepts that I was not familiar with. I appreciate it.

Started this thread Reply With Quote
Thanked by:
  #6 (permalink)
 Trailer Guy 
Aguanga, CA USA
 
Experience: Advanced
Platform: Ninja Trader 8
Broker: IB, NinjaTrader Brokerage, Schwab
Trading: ES
Posts: 215 since Sep 2014
Thanks Given: 68
Thanks Received: 387

Yes stuff showing large trades is available. There are two packages that do that with an expensive data flow. They re-assemble the info after the brokers algos break up the trade. Convergent Trading's in house program and the other one Futures Trader 71 was using before his in house program came out. Occasionally he will show the cumulative delta for the day broken out between small, mid and large trades on his free morning U Tube video.

Hulk is correct in that most programs do not re-assemble from markers in the order flow that most data providers do not show you. Not sure why you want to know when some hedge fund is active because in the end it is just another component of price. Haven't seen anyone around here saying how Edge Clear has made a huge difference to their trading because of that one feature.

Reply With Quote
  #7 (permalink)
 losterminator 
lisbon portugal
 
Experience: Intermediate
Platform: ninjatrader
Trading: future
Posts: 3 since Jul 2022
Thanks Given: 2
Thanks Received: 0


Trailer Guy View Post
Yes stuff showing large trades is available. There are two packages that do that with an expensive data flow. They re-assemble the info after the brokers algos break up the trade. Convergent Trading's in house program and the other one Futures Trader 71 was using before his in house program came out. Occasionally he will show the cumulative delta for the day broken out between small, mid and large trades on his free morning U Tube video.

Hulk is correct in that most programs do not re-assemble from markers in the order flow that most data providers do not show you. Not sure why you want to know when some hedge fund is active because in the end it is just another component of price. Haven't seen anyone around here saying how Edge Clear has made a huge difference to their trading because of that one feature.

Hi, can you help me to understand the logic between small and large trades. I follow future trader 71 and I was trying to understand how to use this elements in my analysis. In one of his live he told that small is between 1-9 lots. I don't really understand what is really detected. For example a filter up to 9 means that you can see multiple of order 9, 8, 9 max done in the book? Instead if we assume large trades we filter with min 40 lots. Means that a single order contain 40 lots?

Reply With Quote
  #8 (permalink)
 Trailer Guy 
Aguanga, CA USA
 
Experience: Advanced
Platform: Ninja Trader 8
Broker: IB, NinjaTrader Brokerage, Schwab
Trading: ES
Posts: 215 since Sep 2014
Thanks Given: 68
Thanks Received: 387

Yes and no. Small traders are us little guys trading one to 9 contracts at a time. Mid size traders could be independent or my guess someone managing some money for family and friends. FT 71 and most others call that fewer than 100 contracts. Big hedge funds, CTA's etc. are the large lots and their motivation can be very different. Like they may be hedging their long-term positions in the market. So why do we not see their large orders? Mostly because the standard is any order over 20 contracts will move the market. As others have stated in this thread all the brokerages and software outfits that cater to the pros offer a system that breaks up a large order into smaller chunks.

Personally, I follow a system where I have blended PATS (price action) with an overlay of volume profile. With decent volatility I trade 4 contracts at a time with a typical hold of 5 minutes. I am background noise. I subscribe to an Elliott Wave service that I guy I have followed for years runs as a hobby. Last week he had 8.5 million dollars in the market spread over 20 positions. He is a large trader and his trading choices reflect that reality. He is swing trading and holds positions for several days. I would not know how to use our trades as an actionable forecasting tool. In fact, I did waste half a year going down rabbit holes looking for a system that would take advantage of the COT reports. Those weekly reports are wonderful and you would think they are valuable to trading. But I could not find anything that really used them directly. They are more like government numbers.

I have an MBA and that requires some statistics courses. The one thing I learned from that is wet sidewalks cause rain. If you don't get their motivation right their actions are meaningless.

Reply With Quote
Thanked by:




Last Updated on February 5, 2023


© 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