i dont think there is much purpose to the diff levels, mabye combined with the ratio would be better.
There is no easy way to do it. I was told that sinceninja is .net application soemone who knows it really well can do anything, but it is not easy to do this link. Ninja has 3 experts listed on their website who do custom development, you can try them, but search the forum first. It is really east to link x trader or ib Dom to excel, if you interested let me know.
I am glad to find such an excellent thread. I have a few questions: (1) Is IB's DOM better or worse than Ninjia or TS? (2) Suppose you have found a promising algorithm based on DOM, how do you test it in real trading? For retail investor, the commission fee easily eats away profits. The only way this can be useful is to become a market maker or exchange member, am I right?
Hi Mizhael, 1) Not better or worse, about the same. The only thing is that Ninja with zen-fire will give you more ticks. Also, IB updates data every 250 ms. 2) Even at retail level commissions are not too bad, since if you trade successfully 1 tick of profit will easily pay several commissions on most products. The key is of course to be in the green. The only way to test is is screen time, ninja is excellent tool for sim trades as well. I would strongly suggest testing your stuff of sim. If you can not make $ in sim, no way you will make $ in real trading. Once successful in sim, start with 1 contract and see how you can handle it. Regards, redduke
Thanks a lot Redduke for your insights. I now understood the DOM, but I don't seem to understand your trading strategy, how did you beat the transaction costs based on DOM info?
I am not sure I understand your question. DOM has nothing to do with transaction costs. The purpose of DOM is to provide information that helps in filtering trades that have low probability of success.
Red - interesting thread. Found it from a link you posted elsewhere. Spent a little time reading this thread and a bit of the VSTscalper thread but have 1 question... Do you use ACV and/or walls to initiate trades or to monitor trades initiated on other things? Interesting observation today - noticed a 2:1 ACV on the EURO this afternoon, price went directly to wall (which created the 2:1) and did not take long to bounce off that level and move up. And pretty much did not look back. In this example, great place to get long if using the ACV/Wall premise to initiate trades.
Hi Brownsfan019, I only use wall to initiate trades. Then I trail every trade via price action. I use it as a filter. It is not perfect obviously, but the amount of bad trades skipped far outweight the amount of good trades missed. Regards, redduke
Red - thanks for replying, helps to know how you are using the ACV. As I mentioned above, I only noticed 1 wall today on the Euro, but it sure provided a spring board effect from there. Have you considered taking some screenshots and posting to the thread? One big disadvantage to using the ACV/Wall is that you can't backtest it by simply looking at your chart. You have to see it in real-time, note it and then reference later... unless you have a better method. Regardless, good thread that probably died off too quickly imo. Maybe we can give it a little charge back to life.