GOMRecorder - futures.io
futures.io futures trading

Go Back   futures.io

> Trading Wiki > Platforms, Tools and Indicators


Gomi has created a framework (a group of inter-related indicators), built around the GOMRecorderIndicator, which allows NinjaTrader to record bid/ask volume data and save it to your local computer. Specifically, it stores bid/ask data (from OnMarketData()) which NinjaTrader itself is not capable of storing. This allows for persistent indicators using the same framework, indicators can read from the local computer storage file(s) and re-assemble the bid/ask data even over multiple NinjaTrader sessions (thereby making it persistent).

The GomRecorderIndicator contains a file class called fm (which stands for file manager). This class has a RecordTick method. Whenever a trade occurs, the fm.RecordTick method is called, and a record is written to a data file that we'll call the GomFile. For each trade, there is one record. The record consists of a timestamp (to the nearest one whole second), an integer representing the TickType, and the price and volume of the trade.

Whenever the fm.RecordTick method is called, it's followed by the GomOnMarketDataWithTime event. This event recovers the tick data from the recorded file and makes it available to be passed on to another indicator.

The TickType is determined by comparing the price of the trade to the most recent bid and ask prices. The most recent bid and ask prices are obtained from the OnMarketData event. The bid price is the e.price when the OnMarket Data DATA TYPE is BID and the ask price is the e.price when the OnMarketData DATA TYPE is ASK.

The TickType records the relationship between the trade price and the bid and ask prices. The values of the TickType correspond to the string values of the TickTypeEnum, a type of C# list called an ENUMERATION. These values are BelowBid, AtBid, BetweenBidAsk,AtAsk,AboveAsk, and Unknown. So, you see that what the GomRecorder is doing is just recording a ticker tape, like the time and sales -- but with that little bit of extra information from the TickType that allows you to characterize a trade as either a Buy or a Sell. Cumulative Delta can be calculated by keeping a running total of buy volume minus sell volume, and bar by bar delta can be calculated by starting from zero for each new bar then calculating buy volume minus sell volume just for that bar.



GomRecorder was nominated for the Best Indicator Of The Year for 2010, and won 2nd place (Silver).

You can see all the results here:
Best Of Trading 2010 - Big Mike Trading


This article is a stub. Please edit the article to improve it and add additional details.
[top]Video Tutorial

There are not currently any references cited in the article.

Attached Images
Register to download File Type: jpg gominstall.jpg (76.4 KB, 30140 views)
Created by  Big Mike , July 6th, 2010 at 10:16 PM
Last edited by  Big Mike , May 27th, 2011 at 05:20 PM
Last comment by omrangassan on April 8th, 2016 at 11:38 AM
3 Comments, 36,201 Views
Page Tools
Search this Page

Posting Rules
You may not create new articles
You may not edit articles
You may not protect articles

You may not post comments
You may not post attachments
You may not edit your comments

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off

All times are GMT -4. The time now is 06:43 PM.

Copyright © 2016 by futures.io. 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.

Page generated 2016-10-27 in 0.09 seconds with 28 queries on phoenix via your IP