API Add-Ons

This indicator provides a continuous reading of the difference (delta) between the volume size associated with buy aggressors and the volume size associated with sell aggressors. The CVD reading changes with every executed trade. For example, current CVD reading is 100 then two trades are executed with respective sizes of 10 and 27. The aggressor side on the first trade is the seller and the buyer is the aggressor of the second trade. Accordingly, the new CVD value following the second trade will be 100 – 10 + 27 = 117.
It is recommended to gauge CVD in relation to price to gain additional insight into possible short term price action. Note that CVD may be less beneficial when price trends strongly.

Configuration

• To add a CVD line on the chart check the CVD checkbox and open the indicator panel by clicking the arrow at the bottom of the price ladder.
• You can add several CVD lines for the same instrument and assign different colors to each of them. This can come in handy if you want to reset the lines at varying frequencies.
• You can either reset each CVD line manually or set a predefined reset interval by clicking the Add button next to Reset Now. Reset sets the CVD value to 0.
• You can set the minimum or maximum volume size to be accounted for in the CVD calculations. For instance, you can define that only volume size of 10 contracts or above will be considered.

Use case examples

• A trader is looking for price absorption at a level of interest – a price level at which CVD value increases (or decreases) while the price do not change. For example, a trader wants to go long from a certain price level or area. The trader may look for CVD to decrease while price remains steady. This may be a clue to enter a long position at that price level.
• A trader can set the minimum and maximum accountable volume size to try to gauge small and large players activity. For example, if the trader sets the ‘Minimum accountable trade size’ to 20 the CVD will only read trades that are 20 contracts or above, whereas if the trader sets 1 as the Maximum accountable trade size’ CVD will only account for trades of a single contract.

Keep the limit order at a distance of N or less levels from the best price

The Chase strategy is designed to keep the limit order following the market. It can also be combined with other strategies such as Escape or Execute strategies

Cancel or Move limit order(s) if the limit order is at a distance of M or less ticks from the best price AND the total size of the first N price levels at the limit order’s side is less than X% of the size of the opposite side.

The Escape strategy attempts to cancel / move a limit order away from the market if there is an order book imbalance disadvantaging the order’s side of the book.

Notes

• The higher the X percentage configured the more chances that the strategy will be triggered.
• Using larger M values reduces the risk of undesired execution, because in case of significant order book imbalance it has bigger chances to cancel or move the order before the market sweep the limit order.
• Using smaller N values increases the chance of order book imbalance reading.

Move a limit order to K ticks ahead of the best price if the total size of the firstN price levels at the limit order’s side is X% bigger than the size at the opposite side

This strategy will move the order into the market when there is an order book imbalance favoring the limit order’s side.

Notes

• If K parameter is set to 1 and the spread is greater than one tick then even if the strategy is triggered the order may fail to execute

A trader wants to buy ahead of a large Bid liquidity. The trader places a buy limit order 1 tick above this large liquidity and sets the strategy as follow:

If my limit order is within 3 price levels from the best ask price AND the total size of the first2 price levels at the order side is less than 60% of the opposite side then cancel the order.

If the price goes down and the bid price withing a distance of 3 ticks from the buy limit order, Bookmap will check the order book imbalance (the total of the first 2 bid levels vs. the total of the first 2 ask levels). In case the total size of the first 2 bid levels is less than 60% of the total sum of the first 2 ask levels the buy limit order will be cancelled (or moved away from the market if that option has been configured instead of cancel).

A trader wants to go long. The trader place a buy limit order with the following strategy conditions: if the total size of the first (1) levels at the buy limit order’s side is more than 200% than the size of the opposite side, move the limit buy order 2 ticks above the best bid.

In this scenario the buy limit order will wait at the original price until the best bid size (first level) will be 200% greater than the best ask size (twice the size). When this happens the buy limit order will be replaced 2 ticks above the best bid. Assuming the spread is not larger than 2 ticks the order will be executed immediately

A trader sets the following:

keep the buy limit order at a distance not bigger than 2 ticks from the best price. In addition, if the buy limit order is within 2 ticks from the best price AND and the total size of the first (1) level at the buy order’s side is less than 60% of the opposite side THEN cancel the limit buy order

The trader’s buy order will follow the best price distance of 2 or less ticks. If the market price will go up, the buy order will follow the best price to maintain a distance of 2 or less ticks. If price will go down the order order will remain on its last price until execution, as long as the conditions of order book imbalance (total best bid is less than 60% of the best ask) are not met.

• How do I activate the strategies?
Watch this video


• Why do I need Bookmap strategies?
Bookmap strategies are based on the order-book and order flow. You will be able to automate your trading and act faster than with manual trading.
• How can I test my strategy?
You can run Bookmap in replay / simulation mode and also test it live with a demo (paper money) account.
• What is the advantage of Bookmap strategies vs. strategies of other platforms?
1. Bookmap is very good in dealing with depth of market data and order flow handling. These strategies demonstrate basic abilities of Bookmap API that will be published soon and will allow the users to create a more sophisticated strategies.
2. Bookmap provides in depth analysis of each order which will enable you to zoom in, asses the impact of latency of your strategy performance and improve / update your strategy.
3. You get developer level algorithms for entry and exit.
• Does Bookmap have an API? Can I build my own strategies?
Yes, Bookmap has a Java based API. If you wish to join the group of Bookmap API beta users, please contact us at info@veloxpro.com.
• Do you offer custom solutions via the API?
Yes, feel free to contact us at info@veloxpro.com for further information.
• Why can’t I operate the strategies in real trading?
At this beta stage and in order to test the strategies properly, we decided to disable the strategies from real trading. Soon, we will complete the beta testing phase and will enable real trading. Please note that you can run it in demo/live mode.
• Can there be a conflict between the strategies?
Yes, it is your responsibility to configure the right parameters in a way that there will be no conflicts. Also it is important you test your strategy in depth before executing it in real trading environment.
• My order was executed even though the strategy was configured to cancel / escape in such market conditions. Why is that?
Most probably it is because of narrow range configuration, latency and fast market action that swept your order. You can zoom in with the Bookmap chart and investigate.
• Can I use the strategies in Basic package of Bookmap?
Yes.
• Is the same strategy settings apply to both buy and sell orders?
Yes.
• If I modify the parameters in the strategy while I already have working orders managed by the strategy, will these orders be affected by the change of strategy parameters?
Yes, working orders are affected by the change of the strategy parameters.
• How can I tell if the strategy is active or not?
You need to open the strategy configuration panel and activate it.
• Can the strategy work on stop order?
No, stop orders are not affected and not managed by the strategy.
• Do strategies affect orders that were sent before I activated the strategy?
Yes, once enabled, strategy will manage all working orders.