Hello

I'm looking for a ninjascript to filtering and displaying big limit orders from DOM directly on chart.
NT7

for example 6E > display 100 contracts on candle

Thanks in advance

I am not 100% sure what you are looking for here but my interpretation is that you would like to see a view of the resting (not yet transacted) limit orders on the DOM that are > a predefined amount that you deem "large".

You can do that, but it's a bit tricky and you likely won't ever see what you are really wanting to see. The level 2 feed that NT uses shows aggregate totals per price level, so to capture large orders at a given price level you would have to find the deltas in every book update to a given level 2 price like this.

Update Sequence

150
170
190
160
260


So the last update sequence was a 100 contract order hitting the price level. You are wanting to show this on a chart somewhere but ignoring all the other orders that comprise the total 260.

Considerations: If the aggregate total ever reduces by the same amount as one of your "large orders" then you will need to take it off your chart. So you will need logic for that. So what you really need is a full map, tracking every add and subtract above x for any price level you are tracking.... I am guessing you want all the level two's.

You could do all this, but it will be a pain, and likely not tell you much. Most real big orders are going to be broken up. In fact I would argue that anyone putting 100 contracts or more out there is just doing this to prop up a level they like, even though they don't expect to transact. Also most large orders will cancel all or partial.

What are you wanting this information for if you don't mind me asking, there may be better data that could help you other than this.

Ian

cygi 

Hello I'm looking for a ninjascript to filtering and displaying big limit orders from DOM directly on chart. NT7 for example 6E > display 100 contracts on candle Thanks in advance

Thanks for reply Ian.

I'am looking for this indicator to find algos and spoofing (big limits can attract price).

It can looks like that:


Is that on elite area?

Hi cygi,

I will let others post on if someone has already created something like this or not.
As I mentioned it can be created, but it is just a major pain.

Some data feeds such as the MBO feed (Ninjatrader does not have this) would have more granular detail that is order specific, so one could get to what you are looking for fairly easily without having to deconstruct aggregate volumes. But as best I can tell, the only way to do this with Ninja would be to deconstruct aggregate volumes on every update for every price and then put them into a list object or table, and then track if any of the ones that are in your "large order list" come off and then remove them.

Like I said, it can be done but it would be a pain, and at the end of the day, I don't know if it would tell you much beyond where potential spoofers are hiding. At any point in time you are likely to find dozens of orders > 20, but I doubt that more than a few will do more than just cancel.

Best of luck!

Ian

cygi 

Thanks for reply Ian. I'am looking for this indicator to find algos and spoofing (big limits can attract price). It can looks like that: Is that on elite area?

I think book map does that better than anyone. Maybe look for a heat map indicator that will show the large orders? I find most of those orders to be fake so i don't pay attention to then

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