Search found 18 matches

by Jan123
Tue Jun 22, 2021 4:38 am
Forum: Bookmap API
Topic: Reading out OrderBookMbo
Replies: 4
Views: 106

Re: Reading out OrderBookMbo

Thank you Andrey! How do I then get all current orders that are sitting at a price level?  Currently my code filters out large orders at every price level and redraws the heatmap accordingly, but it doesn't happen right when i activate the plugin, but instead it happens for every level one by one wh...
by Jan123
Mon Jun 21, 2021 11:50 am
Forum: Bookmap API
Topic: Reading out OrderBookMbo
Replies: 4
Views: 106

Reading out OrderBookMbo

Given a variable of type OrderBookMbo, how do I read out all orders at a given price level?

It doesn't seem like OrderBookMbo has a method retrieving this information in a simple way. The only method I can see is getOrder, which retrieves orders by order ID, which doesn't help. 
by Jan123
Mon Jun 21, 2021 11:43 am
Forum: Bookmap API
Topic: Do not understand examples.
Replies: 3
Views: 105

Re: Do not understand examples.

Hi AndreyR,

Thanks for this information. So the orderBookMbo variable is filled by the "send" method or the "onMboSend" method with all the orders that are currently sitting in the orderbook, and the regular orderBook variable is filled via the "onDepth" method?

 
by Jan123
Mon Jun 21, 2021 6:09 am
Forum: Bookmap API
Topic: variable sliders in @Layer1UpstreamDataEditor ?
Replies: 1
Views: 54

variable sliders in @Layer1UpstreamDataEditor ?

I am trying to make a program that changes the displayed heatmap by changing the orderbook (filter out large orders from the MBO orderbook). Below is the "DataEditorBasicExample.java" from your github.  How can i add sliders to this? For example the file has two parameters: PRICE_OFFSET and SIZE_MUL...
by Jan123
Sun Jun 20, 2021 12:15 am
Forum: Bookmap API
Topic: Do not understand examples.
Replies: 3
Views: 105

Do not understand examples.

I am having trouble following the examples DataEditorBasicExample and MboVisualizerNoHistory.  In both cases there seems to be no line that fills the newly created orderbooks with initial values, yet they are used as if they already contain the current orderbook. Yes, I see the "onDepth" of the "Lay...
by Jan123
Wed Jun 09, 2021 9:40 pm
Forum: New Features and Requests
Topic: No recording of data when market is closed; eliminate dead space
Replies: 3
Views: 890

Re: No recording of data when market is closed; eliminate dead space

This is also important for the construction of trend lines. There can't be any dead space in order to get correct trend lines. 
by Jan123
Wed Jun 09, 2021 9:24 pm
Forum: New Features and Requests
Topic: Wait for some time for reconstructing large order, so that orders are correctly put back togther
Replies: 0
Views: 65

Wait for some time for reconstructing large order, so that orders are correctly put back togther

I noticed that Bookmap does not correctly reconstruct the tape, even though it claims to have 100% accuracy. I did a thorough comparison with other software and the actual Rithmic data feed that has the aggressor ID. In fact large trades often get fragmented because part of the order arrives a tiny ...
by Jan123
Wed Jun 09, 2021 9:10 pm
Forum: New Features and Requests
Topic: use exchange time of data, so that orderbook doesn't lag behind
Replies: 0
Views: 55

use exchange time of data, so that orderbook doesn't lag behind

As far as I understand from interaction between me and support, in order to display data, arrival time at the computer is used instead of exchange time. This can cause issues with the synchrony between the order book and the trade history. But also other issues like the consolidation of large orders...
by Jan123
Fri Apr 30, 2021 4:13 pm
Forum: New Features and Requests
Topic: avoid platform lag due to surge events by temporarily aggregating data into 100 msec chunks
Replies: 0
Views: 863

avoid platform lag due to surge events by temporarily aggregating data into 100 msec chunks

Currently when there is too much data coming in (lets say due to an unforeseen market event) the platform starts lagging behind and even freezing (depending on your computer). It is nice that the lag is communicated in the upper left corner of the chart.  It would be nice, if bookmap could instead b...
by Jan123
Fri Apr 30, 2021 4:01 pm
Forum: New Features and Requests
Topic: Merge trades on times and sales that sweep the book into one trade
Replies: 0
Views: 877

Merge trades on times and sales that sweep the book into one trade

Some very large market orders get executed across several levels in the order book. They "sweep" the book. Currently (I believe) those orders are shown as individual events for individual levels even in the reconstructed tape. Ideally those trades would be merged into one, or at least give the optio...