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jeffersondaarcy

Custom-coded DOM Columns

By jeffersondaarcy, in E-mini Futures

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jeffersondaarcy    10

jeffersondaarcy
Posted

Does anyone know of any software providers that allow its users to add custom columns to the DOM? For example, you'd still have your basic columns (ask size, Price, prints, bid size, Volume-at-price, position), but you could also add in your own coded columns. For example:

 

-A user-enabled volume at price column (would allow user to "clear" the volume when he wishes so he has a blank slate for when price retests a level)

 

-Number of trades at each price above (blank size) for those that still track trade size

 

-Some sort of orderbook analyzer such as the difference between the ask size when first arrived at the level minus the current ask size, divided by buy vol@price

 

Dont read anything into the examples, they were just what popped into my head first. I just wanted to give a visual. I'm just looking for something that actually gives the trader more control. My eyes get tired having to dart back-and-forth between a DOM and other market statistics/orderbook statistics in different windows.

 

Somewhat related note that just popped into my head: Anyone ever give any thought to replacing the ask size quantity in the orderbook with a horizontal bar representation? For example, the horizontal bar of an ask with 1,000 contracts would be half the size of an ask of 2000 contracts. The column to the right of the ask size would be the standard horizontal bar of volume at price... or something like that. Doubt this would be up my ally, but might be for the more visually inclined.

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BlowFish    10

BlowFish
Posted

The trouble is IB data is pretty much useless for that type of work :( It's absolutely fine for most 'regular' charting but the volumes they quote are aggregated/coalesced and bear little relationship to actual trades. They don't even report all volume at the correct price (though it does get reported). I am not sure what they quote for bid ask 200ms snapshots (at best) is my guess. As I said fine for most charting type apps but not for the sort of analytics you are after JD.

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BlowFish    10

BlowFish
Posted
I use DTN, so Im hoping to use Tams' as a template/something to work off of. Haven't had a chance to mess around with it yet though. If I can get something working, I'll post it.

 

Yeah the spreadsheet should be a good template if you can get the data in, please do post it if you get it going.

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jeffersondaarcy    10

jeffersondaarcy
Posted

It looks like I'm not going to be able to get to this as soon as I was hoping. Had to bump it down the "priority" list a couple notches. I'll definitely throw it up though if I can get it working. I'll keep you guys posted no matter the outcome though.

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jeffersondaarcy    10

jeffersondaarcy
Posted

Hey Guys,

I messed around with this today, but couldn't figure out how to get market depth (I can get best bid and best offer) so I called DTN. The guy I talked to had no clue if DTN provides market depth or not as a DDE. He said as far as their DDE info goes, there is a one-page sample file and that is the extent of their information/support for users. Unfortunately, the one-pager is pretty bare bones. I looked through the DTN message boards and didnt come across anything of value either. So... I got nothing. Anyways, just wanted to let you guys know how this panned out.

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