OrderFlowMetrics (RTX)

The OrderFlowMetrics RTX Extension (OFM) is a companion indicator to the DOM and provides a single column of data that can reflect change in size, size, volume, or delta over a user-specified period.   

A forum topic on OFM is available for questions and suggestionsn involving OFM.

OFM was original designed to focus on changes in size at each price on the book, but was expanded to provide a variety of data options which include Size, Size Change, Delta, Delta Change, Volume;Volume Change, Selling vs Buying Vol, and Sell vs Buy Vol Chg.  The background of each prrice cell can be highlighted in a vareity of formats including: None, Shaded Block, Histogram, Right, Histogram, Left, Histogram, Inside, Histogram, Outside, and Histogram Centered..  The changes in size, volume, and delta are computed over a user-specified period from 5 seconds to 2 minutes or every bar.  OFM is designed to be drawn in the sidebar to the left or right of the DOM.  The bid sizes are presented as positive values and the ask (offer) sizes are present as negative values.  With this in place, all positive values are considered bullish and all negative values are considered bearish, regardless of whether the data is size, chagne in size, or delta.  A "Consider Executed Trades" checkbox is available and takes into consideration the expected change in bid/ask sizes resulting from executed trades and backs those out of the Size Change computation.  An accumulation option is available which sums up the change in size over all levels or the inside X levels.  This accumulated value can then be stored in a V# variable which can in turn feed a custom instrument to track and chart this accumulated value over time.  A filter is available to show only Bid Prices, Ask Prices, Positive/Bid/Bullish Prices, or Negative/Ask/Bearish Prices.  A variety of aesthetic options are available for coloring, positioning, alignment, size and title.  

Presentation

  • Background Data: Provides a variety of data options which include Size, Size Change, Delta, Delta Change, Volume;Volume Change, Selling vs Buying Vol, and Sell vs Buy Vol Chg
  • Background Display: Background display format optoins include: None, Shaded Block, Histogram, Right, Histogram, Left, Histogram, Inside, Histogram, Outside, and Histogram Centered.
  • Shading: When checked, each price will be shaded relative to the maximum value in the column.
  • Scaling: The shading can be scaled automatically (to max value in column) or manually between custom min/max user-specified values.
  • Text: The data that will be reflected in the text at each price and includes options Price, Size, Size Change, Delta, Delta Change, Volume, Volume Change, Prior Delta, and Prior Volume.
  • Change Period: Period over which the change (in size, delta, volume) is computed and options include Previous Size, 5 Seconds, 10 Seconds, 15 Seconds, 20 Seconds, 30 Seconds, 45 Seconds, 60 Seconds, 90 Seconds, 120 Seconds, and Every 1 Bar.
  • Consider Executed Trades: A "Consider Executed Trades" checkbox is available and takes into consideration the expected change in bid/ask sizes resulting from executed trades and backs those out of the Size Change computation.
  • Show Only: A filter is available to show only Bid Prices, Ask Prices, Positive/Bid/Bullish Prices, or Negative/Ask/Bearish Prices.
  • Accumulate: An accumulation option is available which sums up the change in size over all levels or the inside X levels.  This accumulated value can then be stored in a V# variable which can in turn feed a custom instrument to track and chart this accumulated value over time.
  • Column Width: Width in pixels of the column.
  • Position: Options include Left of DOM, Right of DOM, Left of Pane, and Right of Pane.  Each has an offset in pixels (from the right/left of DOM or from the right/left of the sidebar pane).
  • Colors: Color options are available for background, border, buying and selling (bid and ask) and best bid and best ask.  The best bid and best ask cells will be bordered in the colors chosen along with the width selected.
  • Text Alignment: Options to align text in Center, Left, or Right within each cell of the column.
  • Title: Options for a automated title (which will reflect that data choices of OFM) or user may supply their own custom title for the column.
  • Sidebar: Chich sidebar to add the OFM to.  By default Sidebar 2 is the sidebar that the DOM and the OFM use.
lsOrderFlowMetrics (@ES#)
OrderFlowMetrics. This chart was uploaded by Investor/RT 15.1.1 showing symbol: @ES#.

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OrderFlowMetrics
OrderFlowMetrics (RTX)

The OrderFlowMetrics RTX Extension (OFM) is a...

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