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DOM_Bands_v2 by ZTrade101 updated for NT7

The upper plot is the total number of shares or contracts offered for sale in the Level 2 order book. The lower plot is the total number of shares or contracts bid to buy in the Level 2 Order Book. The yellow plot is the bids minus the offers.

Maxrows is the user setting that controls how many rows of the order book are counted. In panel 2 we have the totals for all ten of the bid and all ten of the ask rows. In panel 3, with Maxrows set at 5, we see the totals for the 5 inside rows of bid and ask.

This will work in realtime or market replay mode. Changing any chart settings deletes existing plots, and there is no backfill. This limitation is because of the way Ninjatrader stores data. I started working on a DOMRecorder indicator to correct this. May take a while.

Thanks ZTrade for the idea of this indicator, and for the original implementation which worked fine in NT6.5 but had problems because of undocumented changes in NT7.

NinjaTrader 7.0: Yes - Zondor

Details: DOM_Bands_v2 by ZTrade101 updated for NT7

February 1st, 2010
Size: 3.32 KB

Keywords: dom tape zondor ztrade101

RJay's jtRealstats_v2 for Ninjatrader 7

NEW! Updated on March 1 because of run time errors in NT7B10. Cleaned up the code in the OnMarketDepth method, and removed list row creation from Plot method.

The Histogram Width Factor gives you full control of that width, and is a double, not an integer. For the ES you might want to go as low as 0.15. Also note that the bar opacity is on a scale of 0 to 255.

The histogram will auto scale according to the width of the chart, to always leave some space to the left of the longest histogram bar regardless of your Histogram Width Factor setting.

You can also select the number of rows to display with MaxRows, under Level II Settings. For most instruments, you can get a maximum of ten levels of bid and ask.

Thanks to John Thom for the original version and to RJay for the updated version. All I did was make it run in NT7. I am a strong advocate of migrating to NT7 ASAP.

NinjaTrader 7.0: Yes - Zondor

Details: RJay's jtRealstats_v2 for Ninjatrader 7

January 27th, 2010
Size: 9.92 KB

RJay's Level 2 Bid/Ask Supply Total (Line Version)

This is a level 2 indicator. It measures market supply, not market volume.

This indicator can display all levels, a range of levels, or just a single level of supply in the level 2 book.

There are three variables with this indicator that can be set.

Beginning level, ending level, and smooth.

The first two sub panels are displaying all levels, raw data, then smoothed.

The last two sub panels are displaying just level 0, raw data, then smoothed.

( Note: Level 0 supply is the supply that current best price Market Orders transact with.)

Because of the spike nature of book levels, I have built in the optional smooth feature which takes an EMA of the last 5 bars, minus the highest and lowest values of the five.

In the smooth setting, this indicator begins plotting after the fifth bar.

THIS INDICATOR IS FOR NT7 ONLY !!!!

Upload Date 4/10/2011

Details: RJay's Level 2 Bid/Ask Supply Total (Line Version)

January 22nd, 2010
Size: 8.04 KB

RJay's Level 2 Bid/Ask Supply Total (Bar Version)

Details: RJay's Level 2 Bid/Ask Supply Total (Bar Version)

January 22nd, 2010
Size: 8.03 KB

RJay's Level 2 Bid/Ask Supply Delta

This is a level 2 indicator. It measures market supply, not market volume.

This indicator can display all levels, a range of levels, or just a single level of supply in the level 2 book.

There are three variables with this indicator that can be set.

Beginning level, ending level, and smooth.

The first two sub panels are displaying all levels, raw data, then smoothed.

The last two sub panels are displaying just level 0, raw data, then smoothed.

( Note: Level 0 supply is the supply that current best price Market Orders transact with.)

Because of the spike nature of book levels, I have built in the optional smooth feature which takes an EMA of the last 5 bars, minus the highest and lowest values of the five.

Also, the bar colors reflect the raw data direction, even on the smoothed version. This accounts for some red bars above and green bars below the center line in the smoothed version.

In the smooth setting, this indicator begins plotting after the fifth bar.

THIS INDICATOR IS FOR NT7 ONLY !!!!

Upload Date 4/10/2011

Details: RJay's Level 2 Bid/Ask Supply Delta

January 22nd, 2010
Size: 8.08 KB

BuySellVolumeTotal with Data Persistence

Feb 18: Version Update

NEW! Version G35 updated on Feb 18. (If you already have an older version, please remove it before importing this latest version, or the import may fail. The installer was prepared by NT7. If the import into NT6.5 fails, remove the info.xml file from the zip folder and try the import again.) All volumes now display as integers. In zero centered mode, trades above the ask and below the bid are overlaid on the buy and sell bars in colors you can select. Set those colors to transparent if you do not want to see those trades. In the new BelowBidAndAboveAsk filtermode, ONLY the volumes of trades meeting those criteria are shown.

Zero-Centered display option shows buy volume above, and sell volume below, the zero line. PaintSpecialColor setting assigns a different color to bars having buy and sell volume within 5% of each other. The buy, sell, and total volumes can be set to any desired widths without hiding each other. You can choose to show the actual values from the zero line of buy and sell volume, or show the bar composition, where the buy and sell volumes are stacked to equal the total volume.

This screen shot has FIVE instances of the indicator showing the different display options. If you change the colors, note that BuyVolume and BuyVolume2 should be the same color.

For data persistence it is best to have an environment variable named GOMFOLDER, which designates a destination folder that can be located and named any way you choose. If there is no GOMFOLDER Environment Variable, the data files will be stored in your My Documents folder. You also need a GomRecorderIndicator that is "Recording OK". You can turn on recording from the settings panel of THIS indicator without having to run a separate GomRecorder.

Only Total Volume will be plotted for periods when the GomRecorder was not "Recording OK".

Gomi made this possible, with his outstanding, incredible, generous contributions. Note the "Recording Off" text in the lower left corner of the indicator windows. That shows that this indicator is a subclass of the GomRecorder Indicator.

Many thanks to ZTrade101 for great ideas and inspiring feedback, and to RJay for valuable insights into market action.

I recommend running CalcuateOnBarClose=false. Ninjatrader 7 is more efficient, so is preferred to keep CPU usage reasonable.

NinjaTrader 6.5: YES
NinjaTrader 7.0: YES (sam028)

Details: BuySellVolumeTotal with Data Persistence

January 22nd, 2010
Size: 13.94 KB

RJay's Total, Delta and Churn Tick indicators

These indicators, originally posted in a thread, are being relocated here in the download area for easy access.

Accompanying thread is here.

https://nexusfi.com/

All three indicators are in the same zip file.

This file has been updated to latest revisions for NT 6.5 10/30/2010

THESE INDICATORS ARE NOT NT7 COMPATIBLE!!!!

These indicators has been updated to improve their overall accuracy.

Upload Date 11/01/2010

New versions has the same name with a 2 at the end.

NinjaTrader 6.5: YES
NinjaTrader 7.0: NOsam028)

Details: RJay's Total, Delta and Churn Tick indicators

January 21st, 2010
Size: 5.47 KB

RJay's Total, Delta and Churn Volume Indicators

These indicators, originally posted in a thread, are being relocated here in the download area for easy access.

Accompanying thread is here.

https://nexusfi.com/

All three indicators are in the same zip file.

THESE INDICATORS ARE NOT NT7 COMPATIBLE!!!!

These indicators has been updated to improve their overall accuracy.

Upload Date 11/01/2010

New versions has the same name with a 2 at the end.

NinjaTrader 6.5: YES
NinjaTrader 7.0: NO (sam028)

Details: RJay's Total, Delta and Churn Volume Indicators

January 21st, 2010
Size: 5.39 KB

RJay's AboveBelowMarket Volume Indicator

It appears that a number of large traders are choosing to place their trades, buying above and selling below the current best market prices.

With this volume indicator, you can clearly see them trading.

THESE INDICATORS ARE NOT NT7 COMPATIBLE!!!!

This indicator has been updated to improve its overall accuracy.

Upload Date 11/01/2010

New version has the same name with a 2 at the end.

NinjaTrader 6.5: YES
NinjaTrader 7.0: NO (sam028)

Details: RJay's AboveBelowMarket Volume Indicator

January 21st, 2010
Size: 1.93 KB

CCLBands

This is the final version of the older CCLFibBands. I took Fib out of the title because it is much more than Fibs and indeed Fibs are not necessarily a core component. Users can input Fib ratios for the band widths but apart from that it's really a multi-band-type tool which can be used in a wide variety of ways.

1. Mean price based on various types of MA including BMT collective and other collectives, vwap (24 hr).
2. Mean based on day-range midprice or manually input price such as the Open, Yesterday Close or whatever you like.
3. Several types of band: ATR-based, StD based or custom default which is combination of ATR and percentage of price; also can be more or less responsive to short-term volatility; also can be based on looking back to see average maximum ranges over time to fix the outer bands and work the inner ones back from there.
4. One more minor wrinkle: can average any midline with the vwap. Also dynamic PVP is available as a mean.
5. Has target printing capability as DataSeries onetime plot dots or more extended text prints (which cannot be autoscale = falsed unfortunately), based on instant crossover of a band or later confirmed swing points (in Calc Bar Close mode only for swing option).

As far as I can tell, the indicator works well with no errors. When choosing any option involving the targets based on swing, have to keep indy in CalconBarClose = true; that confused me for a while. This because the Swing Indicator used to determine swing prices is calconbarclose only.

The attached picture shows Jan 6 am action in Gold with the mean price based on the POC/PVP price from yesterday afternoon. This is using the Manual MAtype and having a price typed into the ManualOverridePrice input. Also in this case I had the Lookback option on the band calculations. The Std bands probably would have contained price better but the purpose of this setup was to gauge whether or not the morning was looking like a rangebound day or a trend day. The price charging way above the old PVP and the outer bands clearly indicated a trend day. So in this case not used for trading signals per se, simply perspective on market situation.

There are many ways this indicator can be used. Hopefully the comments are helpful given how many options there are, but hopefully also anyone who finds bands helpful will take the time to simply experiment with different options.

NinjaTrader 6.5: YES
NinjaTrader 7.0: NO (sam028)

Details: CCLBands

January 6th, 2010
Size: 85.01 KB

Keywords: collectivema envelope vwap cclsys

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