Hello,

stacked imbalances are coming in two forms.
without momentum but much volume or with momentum and low volume.
I wouldn't recommend to just enter a position on stacked imbalances, specially not if there is momentum, because you will get some slippage.
Executing such trades manually and even automatic, often results in a bad fill.
When you are watching the chart, you will see them forming anyway and if you just want to be alerted to quickly click a button without watching the chart, then i doubt this will be profitable in any way.

As stacked imbalances often act as support/resistance zones, i would instead recommend to trade a pullback to or into the zone.
Checking for stacked imbalances on each tick doesn't bring much value but does cost a significant amount of performance, specially in fast moving markets.

I am thinking about publishing a stripped down FootPrint Engine which doesn't print anything to the chart but will provide some public methods to get "realtime" signals for Indicators and Strategies.
This would be much more efficient than to pack this all in an indicator which does so many things at once.

All the best,
Mike

Freedom303 

Hello Mike, Thanks a lot as always for your quick action. i have set it up and working fine. One question, i use 5 min candle, the yellow zone marking for highlighting imbalance happens after candle is closed. by then it's too late for an action, is there any setting which i am missing to alert immediately after imbalance yellow zone is formed. i fully unterstand that imbalance needs to be formed and confirmed. which can only happen after candle close. but still is there any setting in chart which you know of? Many thanks in advacne,

Dear Mike,
I agree. I am not using only stacked imbalances as an entry but combined with S/R and Harmonic patterns. i am using it today in live market. it formed alert only 3 to 4 times some time before market open. i just marked these levels, after getting audio alert and it is playing in that range till now...please see the result in Sim account, offcourse, for now..:-).. I have full respect and appreciation for your creation. Keep it up

Please ignore autoscale.. footprints are squeezed in i am still figuring out optimum way to watch them.

Regards,
Freedom303

mk77ch 

Hello, stacked imbalances are coming in two forms. without momentum but much volume or with momentum and low volume. I wouldn't recommend to just enter a position on stacked imbalances, specially not if there is momentum, because you will get some slippage. Executing such trades manually and even automatic, often results in a bad fill. When you are watching the chart, you will see them forming anyway and if you just want to be alerted to quickly click a button without watching the chart, then i doubt this will be profitable in any way. As stacked imbalances often act as support/resistance zones, i would instead recommend to trade a pullback to or into the zone. Checking for stacked imbalances on each tick doesn't bring much value but does cost a significant amount of performance, specially in fast moving markets. I am thinking about publishing a stripped down FootPrint Engine which doesn't print anything to the chart but will provide some public methods to get "realtime" signals for Indicators and Strategies. This would be much more efficient than to pack this all in an indicator which does so many things at once. All the best, Mike

Screenshot_20221107_201015

Hello,

First off, thanks so much for your fantastic work bringing free open source order flow tech to the community. Secondly, I would like to point anyone interested in the direction of a similar free and open source project posted in the ninja trader ecosystem.

https://ninjatraderecosystem.com/user-app-share-download/nt8-orderflow/

I'd highly recommend checking out the git hub link for any useful forks or feature inspiration. Thanks again for all the great work!

Hello again, going through this conversation pointed me towards the work done by gemify in the NT forums. There was recent discussion in that post about sniffing out iceberg orders. In response gemify created an interesting type of DOM column: "These columns display*cumulative*executions that exceed the corresponding bid and ask sizes. I'll let you decide if there's real alpha in this data that is displayed in these columns..." And includes the code attached in his post. The link to which I will paste below. I believe being able to visualize these occurrences on a chart may be where the most utility for these data points could be found. I have a hunch that it could pair very nicely with how stacked imbalances are displayed in this orderflow indicator, allowing for further signal confirmation. I'm by no means an orderflow expert and would love other folks opinions on this, especially those participating in both conversations. Thanks everyone!

https://forum.ninjatrader.com/forum/ninjascript-file-sharing/ninjascript-file-sharing-discussion/1173134-free-orderflow-ladder-superdom-column?p=1222045

Hello,

i'm currently thinking about adding an alert and a visual signal for absorption/ice berg orders in the footprint.
the alert is easy, the visual signal is still an "in progress" :-)

All the best,
Mike

Stone78 

Hello again, going through this conversation pointed me towards the work done by gemify in the NT forums. There was recent discussion in that post about sniffing out iceberg orders. In response gemify created an interesting type of DOM column: "These columns display*cumulative*executions that exceed the corresponding bid and ask sizes. I'll let you decide if there's real alpha in this data that is displayed in these columns..." And includes the code attached in his post. The link to which I will paste below. I believe being able to visualize these occurrences on a chart may be where the most utility for these data points could be found. I have a hunch that it could pair very nicely with how stacked imbalances are displayed in this orderflow indicator, allowing for further signal confirmation. I'm by no means an orderflow expert and would love other folks opinions on this, especially those participating in both conversations. Thanks everyone! https://forum.ninjatrader.com/forum/ninjascript-file-sharing/ninjascript-file-sharing-discussion/1173134-free-orderflow-ladder-superdom-column?p=1222045

@mk77ch

Could you explain how the heat map is calculated/how the data is interrupted into a "heat map". I understand the basic definition of a heat map but would like to understand how you get the info you do.

Thank you,

-P

Stone78 

So I've been doing some more research into order flow tools and I came across the fascinating concept of market entropy in this YouTube video of a guy who uses it as a parameter in his orderflow trading system. ... What really struck me about this video is this trader really dives into the academic and statistical literature behind this concept. Although he really only scratches the surface, it was enough to get me interested in the concept and dig a bit more. I eventually came across this research paper which is an absolute tour de force on the concept, chalk full of great explanations and fantastic references for further study. https://www.mdpi.com/1099-4300/23/5/568/htm

MiniP 

I don't want to start rumors but I've been following this guy for awhile and im convinced they simply stole the indicator from the first version of @mk77ch if you go back and look at his previous videos the two indicators match each other to a T, even the displayed label is the exact same. Also after talking to people who have bought his auto trader, it seems like it something that needs to be modified ( the imbalance % ) on a semi daily basis due to volatility.

Stone78 

@MiniP yikes thank you for the helping of due diligence. If this guy is monetizing a free open source indicator that's definitely scummy and I do not support or condone it. However, I don't want that to take away from my personal examination of the literature surrounding market entropy in the second half of the post. Which I still believe has great potential as an add on to this tool suite and is in no way related to that YouTube channel. I simply used that content as my jumping off point.

Moderator Notice All this has added some complication to this thread, which I will attempt to unwind. Generally speaking, it usually is better to comment on commercial trading-oriented software in the "Trading Reviews and Vendors" section. It provides a place for others who have experience with the software to chime in about it, and also for traders who are interested to conveniently find different opinions and experiences. It also gives a place for critiques and controversies about the product, if there are any, and it doesn't intrude on an existing thread such as this one, where these discussions can get somewhat off topic. As it happens, there already is a review thread for this vendor, which can be viewed here: Futures Analytica AnalyticaChart3 + Polarity ATI I'm curious if there is anyone out there familiar with Futures Analytica and their products AnalyticaChart3 or Polarity Automated Trading Interface (ATI). AnalyticaChart3 is a order flow footprint profile add-on for NT8, and Polarity ATI an order … It is preferable not to bring up a discussion of this vendor here, so the posts that include the screenshots of his video will be deleted. @Stone78, your desire to retain the rest of your post is understandable. You are beyond the 24-hour time limit to edit a post, but you could simply copy and paste the text you wish to keep into a new post. I'll give you some time to do this, or to let me know you have decided not to, and then I'll delete both these posts. Also, although the discussion of the theory in the referenced paper is somewhat relevant to the thread, please remember that this thread was started by @mk77ch about his software, and be respectful of that fact. A long discussion of the subject of that paper probably should go elsewhere. Bringing up related ideas can be fine, but the thread does have its topic and we should stay reasonably close to it. Thanks. Bob.

Hello all,

I was doing some research around order flow and came across the concept of market entropy that I believe could be a valuable addition to this indicator. It is outlined in the following research paper:

https://www.mdpi.com/1099-4300/23/5/568/htm

The paper states, "Order imbalance has a significant influence on stock illiquidity, considerably more important even than volume." With the goal being, "The aim of this study is to introduce a new entropy-based market depth proxy that is exactly based on the definition of Shannon information entropy"

How this could play out as a potential feature in the indicator is the algorithm shown in the paper (and provided here with the attached screen shots) would be used to calculate the entropy of each bar. My hunch is that the final entropy read out would indicate the level of*chop*and variability within that bar based on the order flow. So a value closer to 1 would have more random*price action*within that bar and a value closer to 0 would have more neat and orderly price action. There us great potential utility here imo. This would be very useful for trying to*scalp*imbalances as you could now gauge your likelihood of getting*chopped*out of positions by having an indicator of how random/variable the price action is. Essentially, what this feature would display is*volatility*based on the tic by tic orderflow that occurs within each bar; intra bar volatility. This form of volatility is useful because it is not strictly derived from price action, and is non directional in nature. It could easily be displayed in the bottom row of values.

The following excerpt is taken directly from the research paper:

"The value-added of this research derives both from the new methodology and novel empirical findings. There are some advantages of the proposed indicator. Firstly, it can be treated as a new measure of stock market liquidity. The values of the entropy-based market depth are decimal fractions that vary between zero and the exactly defined maximal value equal to one. Therefore, the entropy-based market depth values calculated for different equities can be effectively compared to each other.

Moreover, based on the Shannon entropy definition, the entropy-based market depth indicator can be used to summarize the information content of a probability distribution, and it can be treated as a measure of stock market efficiency according to the Efficient Market Hypothesis (EMH). High values of entropy are related to randomness in the evolution of stock prices [26]. Higher values of market entropy inform about higher market efficiency, and are coupled with higher values of stock liquidity. Therefore, both market entropy and market liquidity can be directly measured by the proposed new indicator."

mk77ch 

Hello, stacked imbalances are coming in two forms. without momentum but much volume or with momentum and low volume. I wouldn't recommend to just enter a position on stacked imbalances, specially not if there is momentum, because you will get some slippage. Executing such trades manually and even automatic, often results in a bad fill. When you are watching the chart, you will see them forming anyway and if you just want to be alerted to quickly click a button without watching the chart, then i doubt this will be profitable in any way. As stacked imbalances often act as support/resistance zones, i would instead recommend to trade a pullback to or into the zone. Checking for stacked imbalances on each tick doesn't bring much value but does cost a significant amount of performance, specially in fast moving markets. I am thinking about publishing a stripped down FootPrint Engine which doesn't print anything to the chart but will provide some public methods to get "realtime" signals for Indicators and Strategies. This would be much more efficient than to pack this all in an indicator which does so many things at once. All the best, Mike

Hello All,
I will appreciate if we can share the settings we are having to spot optimum number of imbalances. With 0.3, i am getting only 3 to 4 confirmed imbalances per session.. any experience sharing would be helpful. Thanks.


Sent using the NexusFi mobile app

I took the imbalance ratio calculation from DiscoTrading:



He wrote:
"Diagonal bid-ask pairs having a ratio greater than the specified threshold are considered as imbalanced.
Therefore, the greater the threshold, the lower the sensitivity of imbalance detection.

Examples of relationship between ratio and percentage:
Ratio 0.1 ↔ if the bid (or offer) value is 22% greater than the offer above (or bid below) value…

0.2 ↔ 50%
0.273 ↔ 75%
0.333 ↔ 100%
0.429 ↔ 150%
0.5 ↔ 200%
0.6 ↔ 300%
...

Note: All numbers are given just for reference. Don't get too stuck with any numbers and exactness.
Remember, the Market is very visual. And this tool is also a visual tool in the first place.
The renunciation of an absolute certainty and exactness in trading is the first step to the peace of mind and profitability."

All the best,
Mike

Freedom303 

Hello All, I will appreciate if we can share the settings we are having to spot optimum number of imbalances. With 0.3, i am getting only 3 to 4 confirmed imbalances per session.. any experience sharing would be helpful. Thanks. Sent using the nexusfi.com mobile app