Accessing MBO data for stop orders

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TheBidWhacker
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Accessing MBO data for stop orders

Post by TheBidWhacker » Sun Sep 29, 2019 10:28 pm

Hello,

I'm trying to code a strategy that takes stop runs into consideration. I've noticed that the advanced CVD module requires MBO data to filter by aggressive stop orders. Is this something that we can access via the API? I might have missed it but didn't see anything in the docs.

From what I can tell, you might be able to derive stop orders by keeping a list of passive order IDs from the order book. If a stop run occurs they would be using a newly created market order and it's OrderId would not be in the list that's being kept.

If not is there any documentation/whitepapers/ etc.. on tracking those events? I assume a naive solution would be to look for a large number of market orders hit within a very small time frame and assume they were stops being filled.

Thanks in advance!

TheBidWhacker
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Re: Accessing MBO data for stop orders

Post by TheBidWhacker » Mon Oct 07, 2019 1:11 pm

nm, figured it out. You need to use MarketByOrderDepthDataListener and get the order IDs from there.

macbartin
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Re: Accessing MBO data for stop orders

Post by macbartin » Mon Jan 20, 2020 1:07 am

Do you have this API ? is very usefull for Thick market same as FGBL, ZN, ZB :)

AndreyR
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Re: Accessing MBO data for stop orders

Post by AndreyR » Wed Jan 22, 2020 10:51 am

Do you have this API ?
Could you please clarify your question.
Bookmap API is a communication protocol between Bookmap and clients' modules (in this case). MarketByOrderDepthDataListener is a part of the Simplified API.
Ypou can learn more about the API here.

macbartin
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Re: Accessing MBO data for stop orders

Post by macbartin » Tue Feb 04, 2020 2:10 pm

AndreyR wrote:
Wed Jan 22, 2020 10:51 am
Do you have this API ?
Could you please clarify your question.
Bookmap API is a communication protocol between Bookmap and clients' modules (in this case). MarketByOrderDepthDataListener is a part of the Simplified API.
Ypou can learn more about the API here.
Data is on rithmic or CQG bookmap don't have acces for stop order volumetric, but possible in local mode on your computer directly
 

AndreyR
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Re: Accessing MBO data for stop orders

Post by AndreyR » Thu Feb 06, 2020 7:58 am

If an exchange provides MBO data it comes to your module if it implements MarketByOrderDepthDataListener. So you can analyze it and make decisions and take actions based on that data

mpxtreme
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Re: Accessing MBO data for stop orders

Post by mpxtreme » Fri Feb 14, 2020 11:33 pm

macbartin wrote:
Tue Feb 04, 2020 2:10 pm
AndreyR wrote:
Wed Jan 22, 2020 10:51 am
Do you have this API ?
Could you please clarify your question.
Bookmap API is a communication protocol between Bookmap and clients' modules (in this case). MarketByOrderDepthDataListener is a part of the Simplified API.
Ypou can learn more about the API here.
Data is on rithmic or CQG bookmap don't have acces for stop order volumetric, but possible in local mode on your computer directly

Rithmic's API does have sever-side volume conditions for stops called conditional release orders.Many are just waiting for it to be added to the Bookmap API...locally it make little sense.

macbartin
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Re: Accessing MBO data for stop orders

Post by macbartin » Mon Apr 06, 2020 10:22 pm

mpxtreme wrote:
Fri Feb 14, 2020 11:33 pm
macbartin wrote:
Tue Feb 04, 2020 2:10 pm
AndreyR wrote:
Wed Jan 22, 2020 10:51 am

[font][font]Pourriez-vous clarifier votre question. [/font][/font]
[font][font]L'API Bookmap est un protocole de communication entre Bookmap et les modules clients (dans ce cas). [/font][font]MarketByOrderDepthDataListener fait partie de l'API simplifiée. [/font][/font]
[font][font]Vous pouvez en savoir plus sur l'API [/font][/font][font][font]ici[/font][/font][font][font] .[/font][/font]
[font][font]Les données sont sur un bookmap rithmique ou CQG n'ont pas d'accès pour l'ordre d'arrêt volumétrique, mais possible en mode local directement sur votre ordinateur[/font][/font]

[font][font]L'API de Rithmic a des conditions de volume côté serveur pour les arrêts appelés ordres de libération conditionnelle.Beaucoup attendent simplement qu'elle soit ajoutée à l'API Bookmap ... localement, cela n'a pas de sens.[/font][/font]

[font][font]yess thanks, it's possible to have MBO for Eurex data with Rithmic ? [/font][/font]

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