[Challenger]

Hello,

Can you suggest me what charting software will show the resting inventories/traded contracts on every price level?

Probably something like time and sales profile to say in other words.

I use Ninja Trader 7 and it does not have such tool.

I want a free tool/indicator or one time payment, not monthly paid fee!

Is there anything available? My data is Zenfire.

Thank you.

[Crazynasdaq]

Originally Posted by Challenger »

Hello,

Can you suggest me what charting software will show the resting inventories/traded contracts on every price level?

Probably something like time and sales profile to say in other words.

I use Ninja Trader 7 and it does not have such tool.

I want a free tool/indicator or one time payment, not monthly paid fee!

Is there anything available? My data is Zenfire.

Thank you.

Hi Challenger,

I don't use Ninja Trader, I use Multicharts and I've coded this tool myself, but I don't give it away for free. It is one of many indicators that I lease with a monthly fee in an unique pack.
Here is probably what you mean (see the picture attached).
It's accurancy is tick precision and it works well in real time and it's not cpu instensive. Maybe you can find some NinjaTrader programmer who can code it for you, based on this picture, if it's what you look for.

[Forex Renegade]

Originally Posted by Challenger »

Hello,

Can you suggest me what charting software will show the resting inventories/traded contracts on every price level?

Probably something like time and sales profile to say in other words.

I use Ninja Trader 7 and it does not have such tool.

I want a free tool/indicator or one time payment, not monthly paid fee!

Is there anything available? My data is Zenfire.

Thank you.

What I'd do would be to put Ninja Trader on a 30 tick chart, then press Control + D to open the data window, and it will give me all the volume/price/time info I need.

Hope this helps.

[BlowFish]

Resting inventories will be the problem. This requires accurate order book data and charting that has tick precision across multiple data streams. MC does not have the internal precision and is prone to sequence issues and race conditions across multiple data streams (like bid ask and last). In fact race conditions can occur with a single data stream.

Profiles of actual trades are pretty straight forward and if you look around you will find public domain snippets for both MC & Ninja. Have a look for Gomi's stuff for ninja.

[Crazynasdaq]

Originally Posted by BlowFish »

Resting inventories will be the problem. This requires accurate order book data and charting that has tick precision across multiple data streams. MC does not have the internal precision and is prone to sequence issues and race conditions across multiple data streams (like bid ask and last). In fact race conditions can occur with a single data stream.

Profiles of actual trades are pretty straight forward and if you look around you will find public domain snippets for both MC & Ninja. Have a look for Gomi's stuff for ninja.

Multicharts can give an accurate synchronization between bid -ask and Trade if you use some datafeed like DTN IQ feed which is very accurate and can retrive historical bid-ask-trade back to 30 days.
If you consider as benchmark X_Study from TradingTechnologies which is the creator of Cumulative Volume Delta which is a registered TradeMark of TradingTechnologies and which is certified in its accurancy from TT which sends its value from TT servers to client PC and it's not calculated in the client PC of each customer (in this way we assume that the TT CVD with X_Study is accurate to single tick and synchronized with the trade as they certified), you can compare each datafeed and each Cumulative Volume Delta to TT CVD.
If You create a copy of CVD equal to TT CVD using a good datafeed, you can assume that your datafeed and your code works as it should work, so you can trust in it because it replies the original one that you assume as the correct one.
In this way you can create a code using some functionality of Multicharts which collects and gives you an accurate indicator such the one I've posted some minutes ago.

Below a comparison between X_Study CVD from X_Trader and my own CVD using DTN IQfeed on Multicharts (you can compare each CVD and you can see that they are very very close each other). This way I suppose that I can trust in my code and in DTN IQfeed data.

I'm agree with you that not all the datafeeds are equal and accurate and not all can be done even with MC or Ninja, but if you use the correct "ingredients", a good work can be achieved.
This my humble opinion.

CrazyNasdaq

[BlowFish]

I would argue that TT is perhaps not a great benchmark! Arguably DTN.IQ is currently the one to judge from. The thing is it can all change again within 3 months!

If one is using delta to gauge order flow or resting inventory it is not a precise measure anyway. It's a question of whether things are good enough. Of course that is no reason not to strive for perfection and to pressurize the companies that make this software to offer greater precision.

Out of interest how do you deal with the fact that MC only has 1 second precision for historical data? This kind of make the 30 day history form DTN academic dosen't it? I guess you can only run your indicators live? This is actually my biggest criticism of both MC and NT as it make any sort of qualitative testing on historical data ....well.....impossible really (without writing your own database and data handling).

[BlowFish]

Just looked at the charts more carefully. They look quite close in 'shape' (though not quite the same) but the absolute numbers seem quite different (maybe an artifact of how things are reported).

I notice that the bands (presumably VWAP & SD Bands) look slightly different. There are a couple of discussions on those calculations on Jperls trading with market statistics threads. I wonder if you are re weighting all the old bars when a new bar completes? Just thought I'd mention it though I am sure it's good enough.

[Crazynasdaq]

Originally Posted by BlowFish »

Out of interest how do you deal with the fact that MC only has 1 second precision for historical data? This kind of make the 30 day history form DTN academic dosen't it? I guess you can only run your indicators live? This is actually my biggest criticism of both MC and NT as it make any sort of qualitative testing on historical data ....well.....impossible really (without writing your own database and data handling).

I've chosen X_Styudy from X_Trader TT because they certify the accurancy of their CVD that is not calculated in the client PC of the customer, but is recieved as a quote value from TT Servers as is close, high or low. They have patented their CVD as reported in the US patent storm System and method for calculating and displaying volume to identify buying and selling in an electronic trading environment - US Patent 7403921 Full Text and they certified it for its accurancy, so I assume that they have a good synchronization between bid-ask and last which are the fields on which CVD is calculated.
For now, Multicharts is limited to 1 second as the smaller time stamp, but you can collect up to 3000 different ticks or more for each second (the tick precision is the maximum accurancy that you can have). The accurancy and the synchronization of your data is not based on Multicharts technology, but in the accurancy of your datafeed and DTN for now seems very good, so if you trust in DTN, you can trust in your synchroniztaion between bid and ask and in the accurancy of your bid- ask volume.
Then my indicator isn't calculated ONLY in real time, but even for historical data because of DTN IQ Feed permits you to retrive historical data for LAST, BID or ASK back to 30 days back and Multicharts is able to collect that historical BID, ASK and LAST in different fileds which can be compared each other in an historical way and not only in real time. This is sure because is what I've made with my indicators and is verifiable in Multicharts site which is able to collect data and create an own historical database about bid and ask fields. In the same way you can verify it in DTN IQ feed site.

Originally Posted by BlowFish »

Just looked at the charts more carefully. They look quite close in 'shape' (though not quite the same) but the absolute numbers seem quite different (maybe an artifact of how things are reported).

It's not an artifact but they probably are different because of X_Study has a different way to calculate SD bands and you can't modify the way they are calculated in X_Study combine with X_Trader.

Originally Posted by BlowFish »

I notice that the bands (presumably VWAP & SD Bands) look slightly different. There are a couple of discussions on those calculations on Jperls trading with market statistics threads. I wonder if you are re weighting all the old bars when a new bar completes? Just thought I'd mention it though I am sure it's good enough.

My code is right in the same way is right Jperl's code and logic. I weight each new tick/volume with the old bars/volume. I know Jperl's logic and post and to him goes all my thanks for sharing those greatfull posts.
The differences from X_Traders SD bands are based on the logic on X_Trader calculates those bands which is a lock code/logic.