My indicator looks for three types of events:
Large individual buys or sells (Pro orders)
Large groups of orders at any price (Block orders)
Bars with a high proportion of low size orders (Amateur orders)
In order to create a threshold above which to print the markers I use some stats functions from the Math.NET library so if you want to use my indicator you will need to add the DLL and a reference to it of course. I'm not a stats guy so I guessed at a mix of standard deviations and percentile for the thresholds and I've left these internal to the code. Different instruments respond very differently to these settings. Personally I just looked for settings that didn't flood the screen with markers yet gave enough to be of use - very subjective.
[For minute bar users (I use BetterRenko) this does NOT print the markers at the actual price level - it prints in the middle of the bar (OnBarClose) - not something relevant to me so I probably wouldn't be that keen to change it.]
[Apologies to the expert coders here - I have used the Draw function for these markers - in most of my other stuff I use plots, but I just couldn't get a good look with the standard plots.]
My own experience is I couldn't make any sense of the Amateur orders and so I switch them off. The Pro orders really work for me and I add in the Block orders for good measure.
I use these in various ways which I intend to expand on, but generally use them to establish levels that the pros are working at. Bottom line - when you see a load of these markers together - something is brewing!
Oh and I have exposed series for both Pro bars (0, 1, 2, 3 [+/-] for various types) and an overall bias (+1/-1) which is based either off the sign of the order or the price movement - for me I use the price movement e.g. a large sell that causes price to go up is often a better clue than a buy that does the same.
Have fun.
Steve
Note: You will need MathNet.Numerics DLL and Delta Package V3 by Sim22 (thanks to him) : https://nexusfi.com/local_links.php?action=ratelink&catid=27&linkid=1773
P.S. I'm not aware of how version numbering works - an expert might want to let me know. Call this Version 1.
P.P.S. Discussion link - https://nexusfi.com/elite-circle/45801-proam-orders-ninjatrader-8-a.html
Category The Elite Circle
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