cls71

Hello, maybe my experience could be useful for someone ... I'm working on analyzing the Level2. I had problems with the Level2 of NinjaTrader + Zenfire (however the Level1 was fine). I could see that not all events were processed. So I decided to work with Rithmic. I have developed a tool from scratch to see the market delta (Level1 analysis) and I am now developing another tool for analyzing the Level2. Everything is programmed from scratch, using Rithmic's API and VisualStudio (.NET and C#). I have not had any problems with the multithreading. Rithmic events come with microseconds Regards

I do not understand the criticism of Zen-Fire + NinjaTrader, to process the tape. I have programmed my own tools to analyze the tape (one full session) and found that match with CME (for mini-sp) I use NinjaTrader and Zen-Fire. I searched the forum but have not found any evidence to show that the flow of Zen-Fire is wrong, or NinjaTrader can not process it.

I thought that E-Signal was a great datafeed. At 18-ago-2009, I received a print with volume zero from e-signal for eurostoxx (FESX-09-09) and my indicator crashed. From that day I only use Zen-Fire. About OFA, I think that can be programmed in NinjaTrader easily. It is very similar to the action bar of fin-alg.com. The unique problem is know when a new bar is added. I have been watching theirs videos and looks like if a new bar is added when the maximum volume cell is exceeded. If anybody want collaborate we can program this tool for academic purposes (non-commercial, of course). Only need know the reason to add a new bar. Regards

Thanks for this amazing thread. I am going to expose my point of view to focus the intensity trade. Maybe can be helpful for somebody. I developed a NinjaTrader indicator to measure the intrabar pressure, some months ago. It looks like MD. I added a summary at the bottom to measure the volatility of the volume and the volatility of the pressure. Volume Volatility (w) = Bar's Volume / Time Pressure Volatility (d) = Bar's pressure / Time Bar's Pressure = Bar's Bid Volume - Bar's Ask Volume At that moment, I didn't know about intensity trade. When I finished reading this thread, I thought how I could implement this issue in my indicator. So, I developed a custom bar type to display equisize bars, ie, all bars have the same size expresed in ticks (prints). Hence, the shorter the time that has consumed the bar, the greater the intensity. You can see in the attachment how took place an "ask intensity trade" at 17:30. The price rose to 1,060.00 at 18:10. At this moment took place other intensity trade incident. It was an "ask intensity trade" also, however the price fell down. Regards