Indicator: Advanced CVD, Stops, Icebergs, Large orders

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fibdax
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by fibdax » Sat Mar 16, 2019 4:10 pm

hi, RTY there are no values
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fibdax
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by fibdax » Sun Mar 17, 2019 4:43 pm

I used old archived data files but the CVD shows no value. I am attaching photos taken from my diary where instead on that day it showed values ​​and now from zero. I have also included the liquidity tracker that works. If I also select only aggressive orders it will not work .
Finally I tried to open archived files this week and the cvd marks values
For now I finish my tests here I can't go on if it doesn't work .
Thanks for your attention
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fibdax
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by fibdax » Wed Mar 20, 2019 11:14 am

sorry but there is no one ?? I didn't see an answer to my questions, this morning I had to restart bookmap that had slowed down (started on Monday). The indicators do not consider the previous historian, I also reinstalled but the situation has not changed can you help me?also the liquidity tracker same problem I think is a problem of bookmap at this point
thanks
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AndreyR
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by AndreyR » Wed Mar 20, 2019 11:39 am

Hi fibdax
The problems you have described are being examined at the moment.
Thx.

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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by AndreyR » Wed Mar 20, 2019 1:12 pm

Hi again fibdax,
old archived data may not contain Market-By-Order data which is now required for ACVD to operate. The liquidity traker may show some values though. But recent data contains MBO and that is why the ACVD works with it.
The historical data does not get passed to indicators at the moment.
Please send us your recorded feed file (if you have one) so we can examine it and find the reason for Bookmap being slowed down.
Could you please give some more details on Bookmap slowing down (the way it looks or reacts to commands or whatever)
By the way we'd be thankful to you for providing us with full-window screenshots.

fibdax
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by fibdax » Wed Mar 20, 2019 2:41 pm

hello how do you pass the file with a link on a cloud? the file is very large. For slowdowns when I zoomed in after a while, stop moving the updated image. Should the last CVD not work on today's historical data?

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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by Serg » Wed Mar 20, 2019 3:53 pm

fibdax wrote:
Sat Mar 16, 2019 10:33 am
an information, but is it possible to take the value of an indicator and perhaps export it with the price?
I'll check the legal side and if it's ok, will make it available.

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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by AndreyR » Thu Mar 21, 2019 4:29 pm

Hi fibdax
Yes, you can upload the feed file to a cloud and give me the link using a forum message or sending me dicetly to andryr@bookmap.com
When you launch an indicator it processes only data from the moment it has been launched. Any data before that moment is considered to be historical.

Serg
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by Serg » Fri Mar 22, 2019 8:50 pm

fibdax wrote:
Sat Mar 16, 2019 10:33 am
an information, but is it possible to take the value of an indicator and perhaps export it with the price?
Why not?

An updated version 2.2 of the addon was published: https://bookmap.com/addons/acvd.
It's highly recommended also to update bookmap to the build 69+ due to latest hotfix: https://bookmap.com/current/beta

The new version allows to import transactions as a text file in json format:
export.png
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Here is an example of such export:
transactions.zip
(959.58 KiB) Downloaded 138 times
In the beginning the exported file contains some metadata, here is an example:

Code: Select all

  "instrumentInfo": {
    "alias": "ESM9.CME@RITHMIC",
    "minPriceIncrement": 0.25,
    "contractSizeMultiplier": 50.0,
    "comment": "Multiply all prices by minPriceIncrement"
  },
  "statistics": {
    "numTransactions": 17417,
    "volumeBuy": 58671,
    "volumeSell": 61420,
    "volumeTotal": 120091,
    "vwapBuy": 11334.615329549522,
    "vwapSell": 11333.953858677954,
    "vwapTotal": 11334.277023257364
  },
Then there is a list of all transactions. Here is an example of a single transaction:

Code: Select all

    {
      "timestamp": "20190322 144740.74283589 UTC",
      "isBuy": true,
      "isStop": false,
      "orderSize": 6,
      "passiveOrdersList": [
        {
          "orderId": "645553480806",
          "isIceberg": false,
          "price": 11331,
          "transactionSize": 1,
          "orderSizeBeforeTrade": 1,
          "maxSizeDisplayed": 1,
          "numberOfOrderUpdates": 0,
          "lifetimeMilliseconds": 4,
          "totalSizeFilled": 1
        },
        {
          "orderId": "645553480807",
          "isIceberg": false,
          "price": 11331,
          "transactionSize": 5,
          "orderSizeBeforeTrade": 5,
          "maxSizeDisplayed": 5,
          "numberOfOrderUpdates": 0,
          "lifetimeMilliseconds": 4,
          "totalSizeFilled": 5
        }
      ]
    },
Note:
  • The transaction object refers to the aggressive order. And because it can be executed against more than one passive orders, there is a list of these passive orders, each with its own details.
  • The number of affected passive orders can range from 1 to hundreds
  • The total size of a transaction is the sum of transactionSize of affected passive orders. Note that it may be lower than the orderSize field of the transaction. For example, only 5 contracts of an aggressive limit order of size 100 are executed, and the rest 95 contracts appear as a new limit order. In this case the sum of transactionSize field of passive orders will be 5, but the orderSize field of the transaction (the aggressive order) will be 100.
  • Currently there are stability issues in Bookmap API itself, which didn't manifest frequently before historical re-computation (when user changes settings) of addons became available. Now it happens more frequently and we are trying to identify and fix the cause. For now it's recommended not to use the addon in real trading. Alternatives are: 1) to record the data and then run the addon in Replay; 2) to have another instance (requires another license and another computer) that runs in parallel.
  • The computation of the addon itself also were not well tested yet, but we decided to publish it due to a number of requests.
Enjoy

SuperDriveGuy
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Re: Indicator: Advanced CVD, Stops, Icebergs, Large orders

Post by SuperDriveGuy » Wed Apr 03, 2019 10:34 am

Hi Serg,

====================
Important: Advanced order flow analysis requires Market-By-Order full market depth data, original trades data, and in general "exactly the same information (not necessarily in the same format) and in the same order as provided by the exchange". Because of this requirement, this addon works only on CME data and only with direct Rithmic->Bookmap data connection (not to confuse with connection like Rithmic->NinjaTrader->Bookmap).. It's supported in Replay mode only if the data was recorded with the latest build 7.0 b60 (see link below) or above. More MBO based indicators to follow. Your feedback, questions, and suggestions are welcome.
===================

As said ABOVE, this indicator ONLY works with MBO data on CME from Rithmic. I understand requirement is good quality, unfiltered data maybe also MBO.
Is it possible to have a version that works with RIthmic Data, but on other exchanges namely Eurex? since the only thing missing would be the data would be non-MBO

Thanks

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