Big trades, iceberg orders, aggressive and predatory trades and more

Indicator name: mzBigTrade

  • BigTrade for NinjaTrader 8 features

    • Full orderflow control: Tape reconstructon on/off
    • Variety of big trades visualization: Line, Bubble, Box, Bar
    • Power filtering: by trade size, by iceberg order size with customized AND/OR logic
    • Three algos for iceberg orders searching: Hard, Soft, Fuzzy
    • Aggressive trades searching like initiative and stop triggering
    • Smart mode for predatory algo trades detection
    • Market-Limit orders
    • DOM pressure
    • Inside bar aggregation (not implemented yet)
    • Popups with detailed trades information
    • Levels with alerts
    • Notifications via sound alrets, in Alert window and via emails
    • Proprietary settings window with auto apply feature. Chart reloading does not required any more!
     Box and Line markers

    In Line marker mode size of trade coded by saturation, line length and thikness. Generally some orders filled by several price levels. Trader might choose a level where line will be drawn: First (at first tick price), Last (at last tick price), Hi (at maximal price), Lo (at minimal price), POC (Point Of Control of the trade).

    Reconstruct tape mode

    MZpack orderflow core is able to reconstruct single (tick) trades into aggregated trades. Turn ‘Reconstruct tape’ option on (default setting) to see aggregated trades. You can change this option on-the-fly.

     Aggressive trades

    An aggressive trade eats liquidity on two or more price levels to get filled. An aggressive trade can be initiative market order or triggered market stop-loss orders. To display aggressive trades (or trades with slippage) use Bar marker and Aggression filter.

    Smart mode

    Smart mode is for predatory algo trades or ‘smart money’ trades detection. Algo absorbs exact quantity of conrtacts available in market by the price or in some price range. Microstructure pattern: pay attention on smart trades imbalance in small ranges or brackets to find momentum direction before it will start.

    MARKET-LIMIT orders

    To see Market-Limit orders choose ‘Market-Limit’ for Order type parameter.
    Big or ‘smart’ money and institutional traders often act by Market-Limit and Stop-Limit orders. Market-Limit orders are executed at the best price available on the market. If the Market-Limit order can only be partially filled, the order becomes a limit order and the remaining quantity remains on the order book at the specified limit price. Learn more at CME Group Wiki. In case of buy Market-Limit order limit part of the order will be a support for the price whereas for sell Market-Limit order limit part will be a resistance.

    mzBigTrade indicator Market-Limit CME orders type

    DOM pressure

    When we see new liquidity was added right after a trade against trade direction we call this DOM pressure. See pic. 50 Lots were added at best bid after 65-Lot sell trade. Therefore, in order to reduce the price, someone must sell 50 lots more. In this example DOM pressure is a kind of support for the price. In case of buy trade DOM pressure will be a resistance

    mzBigTrade indicator DOM pressure

    Settings window

    Click NinjaTrader toolbar to open settings window. This window is top most and resizable. You may apply settings by changing or typing values, Apply button and chart reload is not required.

    Levels with alerts


  • In opposite to other big trades indicators this indicator displays big trades as exact as one tick of price. You will see exact levels and prices instead of fuzzy overlapped spots on the chart.

    Bigtrade NinjaTrader Indicator features

    • Searches big trades with high accuracy
    • Aggregates trades and “iceberg” orders by time
    • Display and aggregation filters
    • Support/resistance autolevels with just one parameter for easy setup
    • Popups with detailed trades information
    • Notifications via sound alrets, in Alert window and via emails

     

    Bigtrade NinjaTrader Indicator

    Bigtrade NinjaTrader Indicator

     

     

     

    Using Autolevels feature

    Autolevels is build by indicator’s algo wich based on market microstructure events processing. We recommend plan trades on autolevels lines with Aggregation option is On. By this setting you can draw realy strong levels of support and resistance. Length and thikness of autolevels line depend on volume of big trade. You can set base length of lines measured in chart bars.

    Synergy. The combined use of Bigtarde and other MZpack indicators

    Bigtrade NinjaTrader indicator mainly is a tool for daytrading. To enhance your vision as a day trader you can use Bigtrade indicator with MarketDepth indicator and Market-Limit indicator on 1-5 min chart.

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