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Volume Nodes Detector NT8   download

Please, download and try the add-on before buying. Evaluation period is 14 days.

Add-on for NinjaTrader 8 Trading Platform.
NinjaTrader

dt Volume Nodes Detector NT8 Overview

Index


I. Add-on Installation/Update

It is recommended to use the standard way to remove/install add-ons in NinjaTrader. The most recent versions of all add-ons is always available to download from the homepage.

  1. Remove previous assembly if you have one installed:

    • Run your NinjaTrader, go to the 'Tools' menu and click 'Remove NinjaScript Assembly…' menu item.
    • In the list of installed assemblies appeared select the indicator you wish to update and press 'Remove' button.
  2. Restart NinjaTrader.

  3. Download the latest assembly (.zip file) from the homepage or request a direct link by email.

  4. Install downloaded assembly:

    • Go to "Tools" → "Import" → "NinjaScript Add-On…", select downloaded .zip file and press "Open". Then if the installation was correct you will see the success message.
    • Restart NinjaTrader!

Note: Various Dt add-ons are relying on the same "DiscoTrading.Common.dll" library. NinjaScript Assembly contains the most recent version of the library, so you have to click 'Yes' when asked for replacement of the file during installation.
Replace the common dll library

Remember, it is required to restart NinjaTrader after add-on installation before you can add a just installed indicator to a chart.


II. Overview

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

Early detection of the volume clustering within a small price range on a short time frame 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:

Maths: All computations in VND are based on the most recent trades (a group of recent trades of constant total volume hereinafter referred to as Bracket). A 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).

A visual representation of "Bracket":
'Bracket' Illustration

The Bracket-based concept makes it possible to visualize traces of traded volume (On-Chart Mapping) on a bar chart. There are two forms of on-chart maps in VND which may be interested to observe: the gradient map of volume distribution and the gradient map of average trade size.
The common bands of volume-based Value Area and Point of Control are available either.

Volume Nodes Detector NT8 turned into a versatile tool aimed at discretionary scalpers and intraday traders.

dt Volume Nodes Detector


III. Initial Chart Setting Up

1. Volume Nodes Detector NT8 is a tactical tool intended to use on short-term intraday charts (intraday scalping). Please set feasible amount of 'Days to load' on your live charts to reduce data loading time on start up. There is no need to load many days on chart aimed at focusing on the most recent intraday price swings:
Set feasible 'Days to load'

2. One of the important things is which bars type to use with VND. Assuming the volume mapping is the most high-usage feature of VND, the common Ninja's volatility-based Range bar type appears to be most suitable as it helps to see more clearly how the volume distributes within price swings. Moreover the building of Range bars are based on consistent, simple and clear logic, this bars type is compatible with Ninja's Tick Replay feature as well as with the majority of 3-rd party indicators as opposed to the most of Renko bars types, for example.

Nevertheless, if you're accustomed to Renko bars please take notice of the Consistent Renko Bars Type NT8 which is specially designed for better compatibility with order-flow tools.

3. Do not set too densely spaced bars to avoid rendering speed degradation:
Use untight bars spacing
Notice that you may use
[Ctrl + Down Arrow] shortcut key to increase bar spacing and
[Alt + Up Arrow]/[Alt + Down Arrow] shortcut keys to adjust bar width.

4. You may swap relative position (z-order) of Price Bars and Indicator's output to avoid their overlapping: use a standard way in NinjaTrader — select candlestick series, hold down the Ctrl key and scroll mouse wheel. This way does not work sometimes. Thus you can use alternate way — a special command from VND Control Panel:
Toggle Z-Order via VND Control Panel

5. Remember that you may also need to increase the 'Right side margin' parameter in Chart's properties window to add more space for the current (developing) bar. This comes in handy when using Bracket Multi-Profile feature:
Adjust 'Right side margin' if using Multi-Profile


IV. Settings

Note: Changing a value of some complex property in 'Indicators' setting window may not activate 'Apply' button and leave NinjaTrader unaware about change in settings is made, so the new indicator setting will not be actually applied after clicking 'OK'.
In this case, after you click 'OK' you just need to press F5 button (or use the 'Reload NinjaScript' command from chart's context menu) to reload the indicator with the actual settings applied. Apply new settings assuredly

General Parameters

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

The “Bracket Threshold Volume” parameter limits the volume of Bracket. As mentioned above, 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.

classic tool

If you have got accustomed to working with classic volume profiling tools please try the Range Volume Profile for NT8. Users of Volume Nodes Detector NT8 can request a special extended evaluation licenses for Range Volume Profile NT8. Just email us.

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


Please, download and try the add-on before buying. Evaluation period is 14 days.

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