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DOM flow analysis on NT8 replay data


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  #11 (permalink)
 
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 Big Mike 
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Please explain the need of the EXE, so the mods and myself can determine if an exception is warranted.

As you know, EXE's can result be malicious, and we want to do our best to protect our members. But some situations do require exceptions.

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  #12 (permalink)
 
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 andby 
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So, kept working on this for a while ... and hopefully will get this on Windows (10 x64) Store! Till then, you guys can see the read-me & download link for setup file under:

https://futuresalgo.wordpress.com/2020/04/13/domrunner-tool-setup/

Happy to post it here as I do value the NinjaTrader 8 community and would love to contribute. Just to clarify: I'm not a vendor and this is a free tool. It's an MSI (installation file), as it's a quite complex piece of software that requires installation of various (non-free) GUI components ... nonetheless fear not, it's a completely clean installation.

New stuff:


1) Ability to "replay" order flow built-in market updates for CME ES & 6B futures instruments.
2) Ability to hook into / play order flow updates that are fed by the aUDP NinjaTrader 8 custom indicator provided with DomRunner.
3) Ability to SAVE orderflow updates (for one or multiple instruments) into local binary files.
4) Ability to replay locally saved order flow updates.
5) Ability to issue orders on the dom price ladder for ES.
6) Last but not the least, ability to slow down replay of locally saved order flow files for one or multiple instruments.
a) Now, you get to see which is first: the ES update or the NQ update
b) Now, you get to go sub-second / microscopic view and see what really happens in the order flow ... NICE !!! Especially that NinjaTrader replay speed cannot be tuned "down, under 1x speed".
c) Now you get to see the "trigger point" - what triggered the "just happened" waterfall? And who fell first ...

Don't be afraid of reporting bugs ... it's ... well, free stuff.

Some screenshots:

Replay


Capture


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  #13 (permalink)
 
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 andby 
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Big Mike View Post
Please explain the need of the EXE, so the mods and myself can determine if an exception is warranted.

As you know, EXE's can result be malicious, and we want to do our best to protect our members. But some situations do require exceptions.

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It's an MSI installation file, it has to be installed as it's using 3rd party (DevExpress) component libraries. It's as clear as it can be, built in .NET VStudio 2019.


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 jakobe 
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This is very very cool. I've always been looking for something that is free and shows order flow comparable to Jigsaw. I love being able to see the absorption of contracts at certain levels. This looks promising!


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  #15 (permalink)
 
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 andby 
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Published on Windows Store! anyone with Windows 10 x64 English US on latest update (called 1909 I believe) can search by DomRunner in Windows Store, install it and play w/ the 2 built-in playback files. If NT8 already present on the system before installation of DomRunner, Install and start DomRunner, then a new indicator called (aUDP.zip) can be imported from ~Documents~/NinjaTrader 8/bin/Custom) and used to stream data (historical playback or not) through. Be warned though, not all features are rock solid, in fact you might stumble into a few bugs.


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andby View Post
Published on Windows Store! anyone with Windows 10 x64 English US on latest update (called 1909 I believe) can search by DomRunner in Windows Store, install it and play w/ the 2 built-in playback files. If NT8 already present on the system before installation of DomRunner, Install and start DomRunner, then a new indicator called (aUDP.zip) can be imported from ~Documents~/NinjaTrader 8/bin/Custom) and used to stream data (historical playback or not) through. Be warned though, not all features are rock solid, in fact you might stumble into a few bugs.

Please, can we have some notes on how to place trades/orders on LIVE (not the in-built ES data) demo data connection.

Lolu


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  #17 (permalink)
 
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 andby 
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lolu View Post
Please, can we have some notes on how to place trades/orders on LIVE (not the in-built ES data) demo data connection.

Lolu

1) Make sure you have Ninjatrader 8 (latest) installed. You may have either the SIM license or prod serial. Make sure this folder: { C:\Users\<your-windows11-user-name>\Documents\NinjaTrader 8\bin\Custom } exists, as is not empty.
2) Open Windows Store (tested on windows 11 x64 US English language - latest update, with a Radeon RX 9060 XT), install BookFlow free application (from FuturesAlgo/NetAlgo). You should get/see a desktop shortcut once installed.
3) Start Ninjatrader 8 (answer to yes when NT8 warns you it detected a new add-on during the start sequence), download market replay data, or start a live chart / market-analyzer window (add one or multiple symbols in the market-analyzer). Apply either on the chart, or add a new indicator column in the market-analyzer, with indicator BookFlowIndi, then start the data stream within your market replay, or make sure you've got data streaming on your live chart.
4) Either way (market replay, or real time data), once you see incoming data and you applied the indicator, you should see data print logs in the NinjaScript Output window - this is a sign the AddOn/Indicator got applied correctly. Otherwise, make sure you have files: "NT8DataEngine.dll" and "BookFlow.Shared.dll" in the above Ninjatrader 8 folder.
5) Start your BookFlow.App from the link on your desktop. Within your BookFlow Controller window, click Connect, if successful, you should see a drop-down list of instruments having the BookFlowIndi applied on them within NT8. Choose one, and click Launch-DOM.
6) The DOM is first empty. But once data is flowing (upon receiving the first tick), the columns and price ladder get populated, and you can start trading by left (place order[s]) / right (withdraw order[s]) mouse-click on the Bid Depth or Ask Depth columns.
7) Orders placed on the DOM are immediately visible within Ninjatrader 8 Orders / Executions window. Obviously, orders will get executed should the price ladder move towards/through them.
8) Needless to say, this would work on a live account too (there is a bidirectional synchronization between account data from NT8 towards BookFlow DOM), but this was tested only on market replay / sim - please report any issues. Connectivity glitches should be fixable through an app re-start.

Screenshot 2025-08-01 161818


Screenshot 2025-11-15 192634


While "yet another DOM app?" is a legitimate question please observe the following:
a) Awaiting suggestions in terms of additional features to be added. Adding Binance connectivity is in-the-works, for live crypto data. You could then have 2 DOMs up, one on @ES, another on @BTCUSDT (or any other combination).
b) Underneath lies a solid design with one of the fastest data processing/display path on the market - free.
c) It is modular and flexible - your feedback is welcomed, and there is a list of new features on the roadmap.


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andby View Post
Published on Windows Store!

What is the difference between DomRunner and DomRunner2

Also, I don't see a link to BookFlow on the Microsoft Store


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  #19 (permalink)
 
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 Fi 
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andby
While "yet another DOM app?" is a legitimate question please observe the following: a) Awaiting suggestions... b) Underneath lies a solid design with one of the fastest data processing/display path on the market - free. c) It is modular and flexible - your feedback is welcomed...

@andby,

The data processing speed claim matters more than most realize. DOM latency compounds during high-volume events - a 5ms rendering delay becomes 50ms when the queue backs up. If BookFlow's architecture truly eliminates the render bottleneck, that's a measurable execution advantage.

One integration risk to test: some platforms cache price level data for performance, which can create stale DOM views when switching between BookFlow and NT8's native DOM. If you're running both simultaneously, verify timestamp synchronization on the bid/ask updates - particularly during rollover when the feed switches contracts.

For those testing BookFlow: how does the left/right click order placement feel compared to other DOMs you've used? Muscle memory matters with execution tools. Breaking established click patterns can cost you in fast markets even if the new tool is technically superior.

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