Level-II


General Level-II settings are also found in the main Auction Visualizer™ settings window. In particular, you can adjust appearance here, including the width of the display.

Display


Auction Dashboard™ implements an "unrestricted" display of the Level-2 data provided by your data provider. The depth displayed on the "inside book" is all of the data that your provider sends updates on.

Note on "outliers": the "unrestricted" display simply means that AD prints the last update sent by your provider on any price. It is possible for updates to get lost on the network (typically rare, though possible). If that may happen, you may be left with an "outlying" price on the book that NinjaTrader® never received a "remove" update for. In the Level-2 PopUp on the chart is an item to "Reset the Inside Book". Use this feature to remove outliers if you experience any issues like this. All of the data received so far is retained, and AD waits for fresh updates to the inside book to begin printing those prices again. Normally this feature is not needed.

Each price ever touched in your session in the book will be retained by AD, and we print that last-seen depth on each of those prices — we call them "Looks". The gray prices are the looks, and are a very powerful tool to understand and be prepared for the liquidity as the auction shifts up and down.

Deltas

Deltas show accumulation as traders add and remove themselves from the depth in the book. The delta begins counting when the price first appears in the book. If traders add to that depth, it climbs, and if traders pull away, it shrinks.

Therefore the delta is in fact relative to that initial depth. For example: if the initial depth on a price is 100, and the delta grows to 100, then the current depth will be 200 — and you will see the 100 delta on the price. On another price, the initial depth may have been higher, say 195; and the delta may be 5 — so this price also has a depth of 200 — and here, the delta only shows 5. We point that out only so that you can understand what is shown here. In fact, the relative balance between the delta and the depth is a valuable metric. In this example, the 100 delta reflects traders eager enough to join the given depth to show as much depth there as the price that was initially higher. You see where the trader activity is when the delta is growing — or shrinking.

The depth is what ultimately matters in terms of the liquidity shown to the auction; but the delta is an invaluable metric of the activity of the traders. We are much more aware of the activity by seeing the delta on each price.

Accumulation & Resetting

Auction Dashboard™ has two methods of accumulating and resetting the deltas. The settings are in the main settings window.

The default accumulation method for the delta begins counting as describe above: when a given price first appears in the inside book, the delta is at zero, and begins accumulating any changes to the depth on that price. If the book lowers, a given offer may "fall off" the top of the inside book. In the default mode, AD will reset the delta on that price. If the book lifts again, and the price comes back into the inside book, the delta is at zero and will begin accumulating again from the depth now there on that price. The same is true for bids: if the book lifts away from the lowest bid price in the inside book, the delta will reset on that price.

The same behavior happens at the best bid and offer. If an offer in the inside book becomes the current best offer, then the delta resets on that price at that moment. You can watch the inside auction for delta on the current bid and offer. If the price is not swept, and the book lowers to bring that offer to the next-best offer level, then again the delta begins accumulating from zero with the depth there on the price. The same is true when a price goes bid.

This way, in the default accumulation mode, the deltas are showing you all of the trader activity going on in the inside book, up to when the price gets bid or offered. You will gauge the pressure and sentiment based on all of the activity this way.

You can also change the accumulation mode in the settings, to have AD reset the delta each time the current bid or offer is swept. In this mode, the accumulation ,ingers on every price as described above, and every offer in the inside book will reset the accumulation if the current offer is swept on the inside auction. In this mode, the deltas will show only the activity through each sweep on the inside bid and offer — a more rapidly updating picture.

The benefit of the first mode is in being able to see all of the activity accumulate until the price itself falls off of the book. The overall state of the market accumulates together. Traders that focus more on the inside bid and offer may be interested to learn more detail by resetting more frequently.

When individual deltas grow high, the display brightens. You are able to control the size at which the delta brightens: you will find the setting in the Markup and Alert Strategy Settings window, in the main menu.

Sentiment Display

The sentiment display shows more valuable information about the state of the book. The image above shows what is displayed: average depth, total volume, and total delta for each side of the book. The Total Delta is essentially the sum of all the displayed deltas on the book.

The sentiment display outlines the total volume in the color of the side with higher total volume.

Higher total volume is a valuable metric, yet the display goes further to identify imbalanced pressure. The imbalance display appears when the combination of total volume and total delta reach an imbalance on one side. This is a unique feature of our Level-2 display, and is an excellent metric of imbalanced pressure. In the image above, the total volume is higher on the bid side; yet only by 5.6%. However, you can see that the the total delta on the bid side is nearly 10 times the offers. The bidders have been adding heavily to begin to overtake the offers. The imbalance display identifies this condition and alerts you.

Note on how the delta accumulation mode affects the imbalance alert. Since as described, the imbalance alert is measuring total delta to identify imbalanced situations appearing as traders add heavily on one side, if the deltas are changed to reset more frequently, then the total delta will not accumulate as much; and the imbalance alert may appear less frequently. You are able to control the ratio or imbalance at which the imbalance alert appears: you will find the setting in the Markup and Alert Strategy Settings window, in the main menu.

Alert Strategy Settings

Auction Dashboard™ consolidates alert and markup strategy settings in one window found in the main menu.


The reason is that the different categories of settings — strategy and volume settings versus display settings — are grouped together where the settings may be instrument-based, versus simply display choices. Saved chart Views also distinguish between the settings.

The Level-2 has some settings in this window. You can control the imbalance alert here. You can also control when the bright deltas appear.

Large Adds/Removes

The Level-2 display also has a column where alerts appear when a single trader adds or removes large volume from the price. The image above shows the alerts. The settings window allows you to control when those alerts appear. The alerts can be valuable to track specific size as traders add or pull away from a price.

Filter Volume

Our Level-2 book has the unique and extremely powerful ability to track "filtered" volume. Settings are found in the Filter Settings window in the main menu.

This feature is similar to the chart-wide Volume Filter; but there are some differences. With printed volume, the trade prints "one-way" only: by which we simply mean, when a trade of a certain size prints, then we know the volume, and we track it so the volume filter can filter it out. Volume on the Level-2 is more like "two-way" volume: traders add depth, and also remove depth. A trader may make a large add at your filter size, but then pull half of that back off.

Filter volume on the Level-2 is tracked when a large trader makes a single add at your filter size. At this point, AD has identified the large add at your filter size; and you will see that volume in the filter display.

AD then begins to track the depth on the price; and attempts to determine when and if that volume is traded away or pulled off. The depth tracking attempts to identify trades that consume part of that large add; and identify if and when some or all of the large volume is pulled away. When the large add is first identified, it appears as the total "filtered volume" on the price in the book. If trades print into the volume, or some is pulled away, then the remainder of the large initial add still appears as "filter volume" on the price: even if the remainder has dwindled under your filter size. The initial large add is tracked until it appears to AD that it has all traded away or been pulled off.

In this way, AD will show the filter indication on the price until all of the volume is accounted for as having been traded away or pulled off. The prices that have been added in by large traders continue to linger in the filter display until that point.

Filter Volume Indications

As shown in the image at the top, AD draws depth in bright text on looks that have lingering filter volume. On the inside book, you will not see an indication of filter volume unless you turn on the Level-II Filter, or, of you tick the option to "Underline Filter Volume" in the filter settings. With the underline option selected, depth will be drawn in underline font where there is lingering filter volume, similar to underlining in other parts of the chart.

Level-II PopUp Button


Many more extremely powerful features are available from the PopUp button on the chart.

All Time Highs

AD has been tracking the largest depth seen on every price touched in the book throughout your session. AD is also tracking the largest adds and pulls on every price. When you switch the display to this mode, the depth will show you the largest seen on the price. It is colored red if the price was an offer, and green if a bid. The largest visible depth in that display is bolded, and the largest of all will also be underlined. The delta display shows the largest change on the price: positive for an add, negative for a pull. And again, the delta is colored green if the change was made to a bid, red for an offer, and AD identifies the largest visible change and the largest of all.

This display can reveal incredibly powerful information in finding where large traders have held the auction, where large depth has ever appeared, and where large traders have had activity. It can reveal very useful information about price tiers,acceptance, and rejection.

Left-Behind Ask/Bid Depth

Technically, this display does not show Level-II data. It is Level-1 data. Left behind ask and bid depth is: the depth left on an offer when the auction ticked down and away; and depth left on a bid when the auction ticked up and away. This is the same data shown by default in the hash marks on each price as shown in the image at the top.

Just as with the hash marks, the display is very illuminating is seeing how the traders are accepting and leaving the bids and offers.

Max Volume Touches

Similar to the inside hash marks show in the image at the top, AD can draw hash marks at the largest depth seen on each price since these touches were reset.

Since you reset these touches manually, you can use them to track activity through ranges in the auction.

Inside Touches

The inside touches can be switched to display a few other metrics.

Initial Depth is simply the depth first shown on the price when it appeared in the book (It is reset when the price is swept or falls off the book.)

First Accepted Depth is the depth that was on the price when a trade first printed there. This will be reset when the prices is swept or falls off the book; and it will not appear until a given price has become bid or offer. The touch will linger if the auction lifts or lowers, until the price is swept or falls off the book.

Highest Volume at Price Since a Lift or Lower is like the Max Volume touch, but this touch will reset any time the book lifts or lowers. It shows you the largest depth reached on the price as long as the auction has been on a given bid or offer.

There are options to scale the histogram to include the visible touches that you have selected; and to also include the Looks in the scaling.