dxFeed Full Depth Of Market Order Flow For Stocks In NinjaTrader 8
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- Опубліковано 12 вер 2024
- That's right dxFeed now offers full depth of market for stocks, and it's available with NinjaTrader 8. Order flow data is becoming more available in the stock market, and completely change the retail trading game.
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Hypothetical Performance Disclosure:
Hypothetical performance results have many inherent limitations, some of which are described below. no representation is being made that any account will or is likely to achieve profits or losses similar to those shown; in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk of actual trading. for example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all which can adversely affect trading results.
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While this occurs less on stocks but using limit orders or dom data isn't really enough. Most tradings are algos now. So they can put limit orders to scare you into selling only to pull them at the last second. Similarly they use technics like iceberg that they dont put the orders on the book until the price is on where they want it and that information is not available on the dom visually since it occurs in micro or millisecond intervals. You will need bookmap to see that.
That is incorrect. Icebergs and other such techniques are visible on the DOM. In many ways you can see them better on the DOM than you can on bookmap charts.
The example I'm showing though is a very obvious and persistent imbalance in market orders. That can't be faked. There appears to be some significant edge that is mostly gone in futures, but still available in individual stocks.
@@SpeculatorSeth no you can't on dom directly. Its literally a small partial limit order and you can detect it after execution and estimate it with same size lots in the order queue. DOM wont tell you that.
I tried DxFeed with Ninjatrader and IBKR; after watching this video; and quite frankly this data feed is untradeable at the moment. The DxFeed connector adds a "_DXFEED" postfix to every symbol ( MasterInstrument.Name) which basically means that position updates from the broker will not show up on the chart. This also makes parts of Ninjascript order strategy manged or unmanaged which references the symbol name not work correctly.
Though the NASDAQ TotalView L2 feed works quite very well on NT8.
TLDR - This feed feels like a BETA release at the moment. But way cheaper that the alternatives like Kinetick or DTN feed.
So if you are connected to a broker that lets you execute stock trades from within NinjaTrader then perhaps we can get around this with a little hack? Just add two data series to the chart. One with the _DXFEED name, and the other with the regular name.
From there you can drag one series onto the other so that they display on top of each other in the same panel. Then change the bar colors of one series to be transparent.
That should allow you to display the entry and exit markers from your broker, and still show any kind of order flow metrics based on the DXFeed.
I kinda figured that anyone that would be doing this would be executing on a different platform provided by their broker.
I haven’t seen any follow up on this being a game changer. Any updates ?
Is the ladder better than conventional LVL2 window?
Your dx video @ 5.35min you mentioned "how many market orders it took to lift" is that part of your indie package.
I'm not sure what I was looking at 7:28 because none of the columns had any headers, so I don't know what those numbers mean.
Very interesting video. I have bookmap with dxfeed for stocks. Are you saying I can use it in jinja trader to see heatmap, bom etc...right now I am paying money for bookmap and sx feed. But other datafeed for my footprint chart n ninja trader for tick data.
Please give a reply
That's awesome thanks for the video!
Hey mate, the coupon code for Jigsaw has expired... Do you have another one?
So is this only for nasdaq stocks?
Hi Seth. i checked your website. do you have the Dom section?
Look on the channel page for the order flow playlist.
Hi what is your setup in ninjatrader with jtconector?? Not working well, price jump around in jigsaw with no priding on current trades at bid ask columns and same on bad ask profile columns
I haven't changed any settings in the jtconnector. Perhaps try different instruments? I mostly tested with aapl
I love it
we want moreeeee about them more Screening
Oh nice
Interesting find. Thanks for all the info on DXFeed. From this video, I'm most inclined to switch market data providers. But honestly, who cares about BBBY, how about using a strong stock (like Apple or Microsoft) to show us how your cumulative delta indicator and other products work?
I simply looked at the most active stocks, and BBBY was particularly wild that week. It really was some of the craziest flow you'll ever see.
@@SpeculatorSeth Agreed. That was a pretty insane flow!
How do I get data feed for jigsaw trader
I looked at around but I’m having some trouble. I’m not looking to trade with it just need real time data to watch
@@bobby6493 Most traders are using CQG or Rithmic data. I would suggest picking a broker first, and they'll have more information on data feeds.