So I recently purchased Level 2 Market Data on ninjatrader and have been coding on nt8 for about a year now. I am pretty confident that I can make a Volume Profile indicator on my own coding in NT8 and after trying to do so. I feel like I am not seeing the data that I am paying for with a level 2 market data subscription. Of course then I go and do my research and see that there is this Order Flow + subscription that is 60 dollars for something I easily could make myself. So when you purchase the Order Flow +, am I just purchasing the indicators within this package, or am I also unlocking the ability to utilize the level 2 data itself?
The Level 2 and the Order Flow+ are different. Level 2 gives you more data on the DOM itself. Most people don’t even need Level 2. The Order Flow+ package gives you access to the the Volumetric (Foot Print) data. With that package you can access the calculated values. https://ninjatrader.com/support/helpGuides/nt8/NT%20HelpGuide%20English.html?order_flow_volumetric_bars2.htm
You don’t necessarily need it, if you building your own from scratch. You’ll just need to keep track of everything yourself instead of relying on what is provided. However, Ninja currently doesn’t expose some data for it. For example, it doesn’t expose the imbalances or value area high/low. Which is why I just went ahead and implemented them myself but still leverage the data provided from the Volumetric data.
order-flow-bot/NinjaTrader/Custom/AddOns/OrderFlowBot/OrderFlowBot.DataBar.cs at main · WaleeTheRobot/order-flow-bot · GitHub
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All the details for the Volumetric bars are exposed and if you wish you can combine them programatically in all types of sophisticated ways. For example, GetDeltaForPrice(double price) wthin a bar.
Here’s the documentation: NinjaTrader Developer Community | NinjaScript Resources & Documentation
You don’t need Level 2 data for Volume Profile or Footprint. All you need is unaggregated (aka unfiltered) level 1 data. Level 2 data is for depth of market and not necessary for VP or FP. But your Level 1 data needs to be unaggregated to get accurate info.
It is true that you can obtain all information from Volumetric bars, but in order to do that, you need the Orderflow+ license otherwise, Volumetric API calls won’t work. And if you already have the Orderflow+ license, then you also have a working Volume Profile (offered by NT), so why bother writing your own.
If you don’t want to pay for Orderflow+ license, then you’ll need to figure out all the logic and implement it. I’ve been down this path and built a FP and VP from scratch. It isn’t impossible, but it isn’t trivial either. But definitely can be done if you know your way around NT and NinjaScript.
Good luck.
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