Looking for some assistance with getting a single MARKET_DEPTH value from the DOM as the output for my RTX. I have declared the "MARKET_DEPTH depth;" instance and, let's say, I want the BID size at level 5.
output1[i] = depth.[5].bidsize;
does not give me what I expect. I want to see my RTX output reflect the BID size at level 5 that I see on the DOM and I expect to see it update as the DOM does.
Changing the level value should make it possible for me to acquire any single BID size I see on the DOM. By the same token, by requesting "asksize" I should be able to acquire the book volume at any level on the ASK side in real time.
I looked at the ORDER FLOW METRICS RTX extension to see if I could make that work. But it will only work with both BID and ASK if I request it to accumulate the X inside levels.
Thanks for the assistance.
Mike
Hi Mike,
Have a good look at this video - This should answer your questions - Solutions lies inside the Trail of Intentions Indicator
https://www.linnsoft.com/videos/resting-order-candles
To access (in real time) any bid or ask Market depth size at any level, no need to create a dedicated RTX indicator, all kind of MD data will be accessible through the following type of Trail of Intentions RTX setup (using the Custom result)
Below is a setup example to recover the order book BID SIZE of the "5th level" for example
To recover/store historical MD size value (reminder : such data are not natively stored in the Investor/RT database), follow the procedure in the video ie
a) add a TINT indicator to an ES chart, with such TINT "custom result" setup and check "the store value into V#10" box
If the ES chart has a 1 second chart periodicity, you will recover one BIDSIZE data for each 1 sec bar (possibly more depending on your recalc settings)
b) create a @ES#(V#10) type of cash instrument that will store every historical MD ask/bid size value you wish to recover
Best Regards
Eddy Fromentel
Eddy,
Thanks for pointing that out on the TINT. Will give it a go.
Mike
In general depth[index].bidsize for index = 0...9 give you the first ten levels using the RTX SDK, so depth[5].bidsize is the 6th level, not the 5th level.
Thanks for the clarification. But the output for the RTX was not showing anything remotely resembling the volume at either level. Neither was it updating to reflect the changes I was seeing in the DOM. I'm really desiring to "see" the output of the RTX match the numbers in one level of the DOM. Once I know I have that code confirmed I can build anything I want from those pieces. What am I missing?
Mike