Emini ES Volume Surge

Discussion in 'Strategy Development' started by BuySellSideTrader2020, Nov 14, 2018.

  1. I have a strategy I would like to implement on an algorithm, but do not know where to get started. When I trade the ES volume surges and claim 5-10 ticks or more on the discretionary side, I am use to hearing "50 lift" - "100 lift" - "Max Volume" then the price surge occurs. I know its an impulse/breakout/momentum strategy, I just don't know how to code this strategy into NinjaTrader.
  2. This is an example of entry and exit points based upon the surges
  3. fan27


    What chart indicators are you using to visually determine the volume surge preceding the price surge?
  4. Pricesquawk (Audio to the some visual), order flow trend detector, volume, and the EMA
  5. fan27


    Forget the audio. Try and code a strategy with:

    order flow trend detector
    SMA of volume
    EMA of close

    so maybe your strategy would look something like this (pseudo code with up parameters/values):

    var orderFlowTrendDetector = orderFlowTrendDector();
    var smaVolume = sma(volume, 10);
    var emaClose = ema(close, 10);

    if (orderFlowTrendDetector[0] > 20 &&
    smaVolume[0] x 1.5 < volume[0] &&
    emaClose[0] < close[0]) {
    // signal encountered. do something


  6. as I did further investigation into this, the audio is the trend detector. My current settings are 50 and 100 whether it be the bid or offer. I can easily create the MA signals, but the trend detector without seeing the source code is more difficult to define. I am continuing to investigate into the issue, I may reach out to NT platform support Thursday.
    fan27 likes this.
  7. REDP1800


    can you include a chart of what you are talking about.. i think you mean flipping and you would code it with 2 limit orders to open that do not cancel each other and would move manually by you. only way to have computer do it is to have a max move