Accessing MBO data for stop orders

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TheBidWhacker
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Joined: Fri Jul 12, 2019 2:33 pm
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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
Posts: 4
Joined: Fri Jul 12, 2019 2:33 pm
Has thanked: 1 time

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.

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