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$199.00

Volume Nodes Detector NT7   download

Please, download and try the add-on before buying. Evaluation period is 21 days.

Add-on for NinjaTrader 7 Trading Platform.
NinjaTrader

dt Volume Nodes Detector

Index

The natural and comprehensive way to see the flow of the Market…

Early detection of the volume clustering within a small price range along with observation of how the volume distributes over time and price are the basic purposes of this add-on. It has various facilities to achieve these goals:

All computations are based on the most recent trades (a group of recent trades of constant total volume hereinafter referred to as the Bracket). The Bracket represents a such quantity of the most recent trades that are amounting to user-specified value in the sum of its volume (see the 'Bracket Volume Threshold' parameter). However, even emphasizing in that way on what the market is doing right now the add-on has natural handy tools of showing the past. For instance, such Bracket-based basic concept makes it possible to implement such valuable visual tool as on-chart mapping that has two most interesting forms in this version: the gradient map of volume distribution and the gradient map of average trade size. In addition, the classic bands of volume-based Value Area and Point of Control are available for use.

Some features:

So, Volume Nodes Detector overgrew its name and was turned into a versatile tool where all numerous functions complement each other harmoniously.

dt Volume Nodes Detector

General Parameters

1. Bracket Threshold Volume and 2. Reinitialize at Session Beginning

The “Bracket Threshold Volume” parameter limits the volume of the Bracket. As mentioned above, the Bracket is just an abstraction representing the most recent trades that are having in total the volume equal (or not exceeding) the specified value of the “Bracket Threshold Volume” parameter. This parameter has an influence on all parts of the indicator: volume map, volume/tick profiles, volume/tick delta sub-graphs.

The threshold value you should use depends mainly on the liquidity of your chosen instrument. There is no strict rule on this, however there are standard recommendations for intraday traders which might be helpful (at least to be aware on): A simple rule of thumb to define a suitable 'Bracket Threshold Volume' value is to set it to 1/10...1/5 of average daily volume of traded instrument. This gives around 10000 to 30000 contracts for 6B and CL, or 100 000 to 200 000 for ES, for instance.

Sure enough, this value has an influence upon the range and sensitivity of the Bracket. The more the threshold volume the wider the range and less the sensitivity to the most recent changes in price & volume.
Thus, using lower Threshold values allows to reveal local short-term volume congestions (or holes in the volume aka low volume nodes, which sometimes more important than congestions).

VND is too customizable, so, what settings to choose is actually dependent on your trading style and thereby on what you're attempting to track on your chart.

The “Reinitialize at Session Beginning” parameter defines whether the Bracket (i.e. all related volume/tick profiles and calculations of delta sub-charts) be cleared and rebuilt over again starting from the beginning of each session or it should be calculated continuously.

Tip

If you have got accustomed to working with classic Daily Volume Profile then you do not need to use any other indicator besides Volume Nodes Detector. It can simply be customized to a classic daily volume profile with the common Value Area bands.

3. Number of Ticks of Volume Node

Common Volume-based Point of Control (VPOC) is just one tick wide. So, estimation of the VPOC value is a simple way of volume congestion analysis, but it is not such robust way as to be hoped for, especially when it comes to fast and highly volatile instruments. The Volume Node is a more robust alternative to the VPOC. The Volume Node relates to several ticks instead of just one and represents an area where the most trading occurred (within the Bracket naturally).

You can observe location and migrations of Volume Node by using both the “staple” mark at the side of the multi-profile and the track on price chart.

VPOC and Volume Node appearance


General Appearance Parameters


Multi-Profile

Multi-Profile is a sort of container that can be composed of an unlimited number of profiles (histograms, ladders) of one of four different kinds: Volume Profile, Ticks Profile, Volume Diagonal Ladder, Average Trade Size Histogram.
Each kind of profile/histogram has own properties besides the generic appearance settings.

Multi-Profile Components

General Appearance Settings of Multi-Profile

Volume Diagonal Ladder

This simple bid-ask ladder uses coloring based on “diagonal” ratio between the bid value and the corresponding ask (offer) value. In other words, the bid value is compared with the offer value located right above, and then, if the difference (or ratio) exceeds some predefined threshold, then it means we have a significant volume imbalance between that particular bid and ask. So, such diagonally imbalanced bid-ask pairs will be highlighted by noticeable colors (see the “Strong Selling Color”, “Strong Buying Color” and “Weak Color”).

Diagonal Bid-Ask Ladder

All bid-ask diagonal pairs that are not imbalanced will be colored by the 'neutral' “Text Color”.
Diagonal Ratio Threshold and Diagonal Volume Threshold parameters jointly define the sensitivity of imbalance detection.

Settings of the Volume Diagonal Ladder


Volume Maps & Tracks

To track price levels of volume congestion you can use both VPOC Track and Volume Node Track. In addition you can use such order-flow mapping tools as Volume Profile Map and Average Trade Size Map. All tools has similar setting and computation modes.

Tip

Before we proceed notice that VND's toolbar button provides an extended functionality — it has drop-down menu that gives you quick and easy access to the mostly used visual settings of volume based and tracks.
Watch short demo:

VPOC Track

As it was mentioned, Volume Point of Control (VPOC) is the price level where the most volume was traded within the Bracket.

Volume Node Track

As it was mentioned, the use of Volume Node Track instead of VPOC Track might appear to be more appropriate way for an analysis of volume congestion when working with fast and volatile instruments like GC or CL. Volume Node (VNode) relates to several ticks instead of just one and represents an area within the Bracket where the most trading occurred.

Volume Profile Map

This kind of order-flow mapping implements shading of all price levels within the Bracket in accordance with the volume traded on each particular level.

Tip

What is the difference between these two mapping modes in practical applications?
The opacity of map sectors for a given time (given price bar) is normalized relative to the VPOC value of the same time with the mapping based on Level Volume / VPOC Value ratio. Since the VPOC value is dynamic, such king of volume map shows us how the volume is distributed within the Bracket.

Mapping mode = Volume/VPOC

At the same time, the second mapping mode is based on volume normalization relative to the total volume of the Bracket. While being destined to show distribution of volume traded, such approach reveals also how a character of distribution was being changed over time.

Mapping mode = Volume/Bracket Volume: Smooth volume distribution behind the downward move was followed by rough sharp trading activity over the short-covering rally

Average Trade Size Map

This is the experimental kind of order-flow mapping.

Average Trade Size Mapping


Sub-Panes

Sub-Panes are serving to display up to three similar order-flow metrics in a traditional form of candlestick charts.

Those metrics are:
— Bracket Volume Breakdown,
— Bracket Volume Delta,
— Bracket Ticks Delta.

As you may have guessed, all of them are calculated for the Bracket.

1st — Bracket Volume Breakdown

Bracket Volume Breakdown shows how the volume delta (buying versus selling pressure) of the Bracket was varied on each particular bar separately.

2nd — Bracket Volume Delta

Bracket Volume Delta shows the volume delta accumulated for the Bracket.

Calculating the cumulative delta for the Bracket makes it similar to an oscillator-like indicator.

3rd — Bracket Ticks Delta

Bracket Ticks Delta shows the ticks delta accumulated for the Bracket — the difference between the total number of trades at offer and the total number of trades at bid within the Bracket. It also works like an oscillator. So you can use both volume and ticks delta to reveal divergence/convergence between price and order-flow. Price-Orderflow Divergence


Installation

If you are new to NinjaTrader please watch these two short videos on how to download and install add-ons:
Part I — How to install an indicator in NinjaTrader.
Part II — Purchasing and license generation.

1. Download the .zip archive with the NinjaScript assembly (see the link at the foot of the page).

2. Run your NinjaTrader trading platform, go to the “File→Utilities” menu and choose “Import NinjaScript…”.
Import NinjaScript

3. Select downloaded .zip archive and click “Open”.
Then if the installation was correct you will see the success message.
Install success

After that you can add installed indicator to your chart.
Adding the indicator

If you want to uninstall add-on, please use “Remove NinjaScript Assembly…” item of the “File→Utilities” menu.

Please, download and try the add-on before buying. Evaluation period is 21 days.

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