Dynamic Excel Linking

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JSPriceMap Chart Overlay Integration

 

 

 

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JSNotes Bookmap Integration

JSAnalytics provides context for dynamic order book events which improves awareness and offer a framework to apply a more systematic trading approach.

 

BookMap xRayMap xRay delivers a configurable heat map display that visualizes both real-time order flow and live trade analysis, showing you exactly how the limit order book evolves over time. This granularity is essential to improve awareness of the micro dynamics so trading tactics can be optimized and make the execution of a macro trade strategy more effective. It is also true that micro order book trading tactics can be made more sustainable when they are aligned with macro conditions or more specifically the structure of the market state.

JSPriceMap

JSAnalytics incorporate both technical and behavioral variables, that have been developed from observations over the past 30 years, into a quantitative model, to define the structure of the market state. This structure or PriceMap Framework is integrated into the BookMap Order-Book Heat-Map display as an independent “JSNotes” column.

PriceMap Framework                                                 Heat Map – JSNotes Column

Macro Structure                                                 Micro Structure

 

The integration is strengthened by JSServices Desktop application which identifies the current market state and optimal strategy theme, along with the PriceMap market structure framework, to provide a complete picture of the macro condition.

 

STATE                                         STRUCTURE                                STRATEGY

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Clarity of real time events is achieved by observing order flow dynamics within the PriceMap Framework in the context of the market State and PlayBook Strategy themes. JSAnalytics more than anything else, is an awareness tool that provides clarity to what the current conditions are, so trading methods can be optimized by aligning tactics with these facts.

 

Practical Application – Creating a Structured Trading Approach

The following is a practical application of standardizing JSAnalytics with trading tactics that incorporate dynamic order flow events to improve their effectiveness and make them more sustainable.

STEP 1

What is the CONTEXT of the current condition?

  • Identify the market State, Structure and PlayBook Strategy themes as an underlying macro foundation.

JSDesktop displays the JSAnalytics

CONTEXT

  • FACT is the MKT is in a BULL TREND
  • FACT is that trend is engaged above the R LEVEL
  • FACT is the Optimal Strategy Theme is a BUY BREAKOUT
 STEP 2

Where is an order book event occurring within the Structure of the State?

  • Identify the order book event within the PriceMap framework. IF the order book event is occurring within the PriceMap Risk Parameter Entry Acceptance Zone THEN the it has value. IF the event is not occurring within the zone it has less value.

 Example of a Liquidity Shift event occurring at the top of the PriceMap Entry Acceptance Zone

 

STRUCTURE

  • FACT a Liquidity Shift is occurring in the order book
  • FACT the shift is occurring within the PriceMap Entry Acceptance Zone
  • FACT the Liquidity Shift is supported with price structure that is in alignment with PriceMap metrics
 STEP 3

What PlayBook Strategy theme is the order book event in alignment with?

  • Identify if the order book event is in alignment with a PlayBook Strategy theme. If so use the PriceMap risk/reward parameters to optimize trade entry/exit techniques using order flow dynamics displayed in the Heat Map.

BUY R BREAKOUT Strategy Theme is “in play”

STANDARDIZE

  • TRADE ENTRY – Entry Limit orders are standardized within the Entry Acceptance Zone using PriceMap market metrics that are aligned with of historical Resting Paper.
  • STOP EXIT – The PriceMap risk parameters provide a unified approach to standardize trade exit techniques which can be applied across all markets and optimized using historical resting paper alignment.
  • EXIT LIMIT – The PriceMap reward parameters identify the price segment movement the market is trading in or in other words the reward that the market is “paying out”. Standardizing Exit Limits to this fact using the PriceMap framework offers a systematic approach to defining exit targets which can be optimizes by incorporating dynamic order flow events.

 

Trade tactics can be optimized when executed within Entry Acceptance Zones and their effectiveness improved by using real time order book events that are in alignment PriceMap market metrics. By standardizing trading tactics with JSAnalytics trading methods become more structured and sustainable.

 

DEMO JSNotes Integration and JSDesktop

The JSNotes integration works in conjunction with the JSDesktop so you will need to download both applications.

  1. Please click here for a  JSNotes DEMO
  2. Please click here for a  JSDesktop DEMO

For more information please contact us at info@jsservices.com

 

 

 

 

Webinar – Optimizing TradeTactics with Order Book Dynamics

This webinar demonstrates how to optimizing Trade Tactics using JSServices analytics which define a markets macro structure and Jigsaw Trading micro structure order book display.

11-22-2016-1-04-22-pm

 

Application Integration Bookmap

The JSServices PriceMap integration with Bookmap is contained within the Bookmap application itself as an “John Slazas Notes” or “JSNotes” Add-On.

DEMO Bookmap with JSNotes Integration and JSDesktop

The JSNotes integration works in conjunction with the JSDesktop so you will need to download both applications.

  1. Please click here for a  JSNotes DEMO
  2. Please click here for a  JSDesktop DEMO

For more information please contact us at info@jsservices.com

Bookmap Clients

Bookmap clients are able to subscribe to the John Slazas Notes through the Member area Add On section.

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JSNotes Set-Up

Once enabled the John Slazas Notes column can be inserted by right clicking on any column.

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The full PriceMap Framework is presented in the JS Notes column along with the Market Metrics associated with each level.

Directional and Major PriceMap levels will have both a VAR and AD metric identified as shown below. Minor PriceMap levels will only have there VAR displayed.

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Click here for more an Overview of the JSNotes.

 

Application Integration Jigsaw Trading

The Jigsaw Trading integration works with the JSDesktop so that the PriceMap Framework and Market Metrics are visible on both the Depth & Sales and Auction Vista.

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STEP 1

Be sure you are running Jigsaw Trading version 5.4 or higher.

STEP 2

Open the JS Desktop application, which will automatically create a file with the PriceMap levels for that day. The REFRESH button can be used to request an update.

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STEP 3

  1. OPEN the Jigsaw TOOLS Depth & Sales Settings window and select the JSS tab.
  2. The DATA FILE path should be set to your C:\Users\???\Documents\JSServices\ directory with the \JSData.xml file extension that you want to LOAD
  3. Select LOAD to import JSData into Jigsaw

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STEP 4

The JSS Tab defines the different options for JS Services Jigsaw Integration.

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Data File – The location of the data file produced by the JSDesktop Tool. By Default this is the (My) C:\Users\???\Documents\JSServices\JSData.xml Documents\JSServices\JSData.xml

Instrument – The Jigsaw Depth & Sales Settings Instrument id defaults to the first 2 characters of the platform instrument id. The Instrument id must match the JS Symbol from the JSDesktop Market Grid. If it does not, then change the Instrument to the JS Symbol. For example IF ZN is entered in the Instrument box for the 10yr T-NOTE futures THEN change it to the JS Symbol TY to view the Price Map levels for the 10yr T-Note.

Load – Click the LOAD button to update the levels each day. The data is loaded from the JSDesktop which will automatically update if left open. Note the Desktop date to confirm it is current. If not then refresh the JS Desktop so it has the correct Date and then click LOAD in the JSS integration setting to update JIGSAW.

 

View Options– Allow you to customize the JSServices PriceMap levels to be displayed.

o Show CriticalRange – Check if you want to display CriticalRange

o Show All Major Levels – Check if you want to display all Major PriceMap Levels

o Show All Minor Levels – Check if you want to display all Minor PriceMap Levels

o Show VAR – Check if you want to display the Variance around the level

o Show AD – Check if you want to display the Alert Distance around the level

o Show MSD – Check if you want to display the Maximum Stop Distance level

Examples:

Show CriticalRange, all Major Levels and Minor levels

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Show VAR

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Show AD

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Show MSD

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Note: Use the open arrow key to show and hide the PriceMap levels on the Auction Vista.

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Web Videos

Daily Recap CL Example with Jigsaw Integration set-up

Strategy Recap: ES Example with Jigsaw Part 1

Strategy Recap: ES Example Part 2

Strategy Recap: ES Example Part 3

 

Webinar

Optimizing Trade Tactics Jigsaw Webinar http://www.jigsawtrading.com/auction-vista/optimize-trading-tactics-to-make-them-more-effective/?mc_cid=e69e9cca58&mc_eid=30deff3432

 

 

 

 

Application Integration Trading Technologies

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This document will go over how to integrate JSPriceMap Analytics with Trading Technologies MDTrader, XStudy Charts and ADL.

The JSDesktop Data Utility function creates an Excel (JSSheet.xls) in its Default Integration Script which is used to dynamically link into MDTrader, XStudy and ADL.

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The JSSheet.xls file is saved in the C:/Users/………../Documents/JSServices/ directory.

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STEP1 – OPEN the JSSheet that was created using the Default Integration Script 2 first before opening TT. The Excel sheet must remain open and stay open until after TT is closed to ensure the integrity of the dynamic linking. If you close the JSSheet prior to closing TT you may lose ALL you saved links.

JSSheet TT VIEW 11 Example

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MDTrader

STEPS to ADD JSServices PriceMap analytics to MDTrader.

  1. Right click to open properties window and check ADD INDICATOR COLUMN. Set as default.
  2. Right click on the JSSheet Symbol and PriceMap level and select copy
  3. Right click on the MDTrader middle price column and paste. Do the same for both the left and right indicator columns. You don’t need to scroll to paste at the exact price for the links to work but you do need to link all 3 columns for each PriceMap level you want linked to the MDTrader window. You can scroll up and down the ladder after you have created the links to confirm that they are working.
  4. Save your settings

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XStudy Chart

STEPS to ADD JSServices PriceMap analytics to an XStudy chart.

  1. Right click on the JSSymbol PriceMap level column highlighting up to 10 price levels at a time and COPY.
  2. Right click on the Chart and click PASTE. The PriceMap level should show up on the chart in the correct color code.
    1. If the PriceMap levels come up in BLACK then you must remove the black border of the excel cells. Be sure there are no borders
    2. If PriceMap levels do not show up be sure you have cut and paste the correct JSSymbol and price to the same XStudy chart symbol.
    3. To customize the thickness of the PriceMap level highlight level on the chart and right click to edit font size.
  3. Save your settings

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ADL

STEPS to ADD JSServices PriceMap analytics to an ADL template.

  • Right click on the JSSymbol PriceMap level and COPY.
  • Right click on the ADL User defined variable and click PASTE.

 

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Application Integration Sierra Charts

 

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Sierra Charts Webvideo Tutorial Click here

 

There are 2 STEPS to ADD JSServices PriceMap analytics to a Sierra Charts. Step 1 is the JSData integration which creates the js_data.xml file that Sierra Charts needs to “read” the analytics and the Step 2 is the Set-Up procedures to load the PriceMap script into Sierra Charts with the proper display settings.

Step 1 : JSData Integration

A Sierra Chart Integration Script must be created in the JSDesktop Preference section.  The script must have a -outputFilename= “js_data.xml“. Sierra Chart uses the js_data.xml file to display the data. Below is a sample script which should be entered in the INTEGRATION SCRIPT tab 4 or 5.

Example

jsget -outputView=11 -outputType=xml -outputFilename=”js_data” -outputDirectory=” C:\SierraChart\Data” -dateRange=3 -overwrite –indent

After the script is entered click on the gear with the green check to confirm that everything has been entered correctly. If not an ERROR message will alert you to the issue. If the script has been entered correctly then a message of “No Issues found” will be shown. To test that the script is working, click on the small gears to run the script. The large gear to the left will reset the script to the default settings.

 

STEP 2 : Sierra Charts Set-Up

Note: Prior to the Set-Up process you must send mailto:info@jsservices.com your Sierra Charts User ID. Please let us know if you are on Transact. The JSServices Sierra Chart integration does not need to be downloaded separately it is all done with permissions using your User ID within Sierra Charts. Be sure to have the latest version of Sierra Charts loaded.

Set- Up procedures

  1. Open ANALYSIS –> STUDIES editor or type F6
  2. Select ADD CUSTOM STUDY to open the Add Study Window
  3. Locate STRATEGY ALERTS and select PRICE MAP OVERLAY
  4. Select PRICE MAP OVERLAY
  5. Click ADD

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6. Click SETTINGS to open the STUDY SETTINGS PRICE MAP OVERLAY window

7. Edit the JS Symbol. The symbol should match the symbol on the JSDesktop MarketColor Grid.

8. Click OK

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  • Note: You can right click on the chart tab and select DUPLICATE CHART. This will create a chart with the identical settings. To create additional market hit F5 to open the CHART SETTINGS menu and edit the SYMBOL of your choice. Save and then HIT F6 to open the STUDIES window and edit the JS SYMBOL SETTINGS. After you have created all the charts you want by repeating this process save them in a CHARTBOOK.

DAILY REFRESH

When you open the CHARTBOOK each day the PriceMap levels may not be visable until you change a chart parameter like the chart TIME from 3min to 5min for example. An alternative is to OPEN the CHARTBOOK and then CLOSE the CHARTBOOK. Then when you OPEN it again all the levels should be displayed.

CUSTOMIZATION

The PriceMap levels and Market Metrics can be customized by right clicking the chart.

  • Show Minor
  • Show VAR
  • Show AD
  • Show MSD
PriceMap BASIC VIEW

If no features are selected only the Major Price Map Levels (MPML) are displayed. This provides a nice broad overview of the key Market Structure PriceMap levels.

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PriceMap FULL view                                                                         

If the Show Minor Levels feature is selected the FULL PriceMap will be displayed.

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MARKET METRICS

The Market Metrics identify the area of influence around a PriceMap level. Each metric has its own variance and meaning. These metrics are dynamically updated each day in accordance to the volatility expectation of the trade period.

VARIANCE (VAR)

The VAR metric represents the optimal area to entry or exit the market. It also identifies the potential “slippage” area around a Major PricMap level.

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ALERT DISTANCE (AD)

The AD identifies the value area or sweet spot around a PriceMap level. This is the distance that defines the zone that most profitable trades will occur within. In addition it is a good metric to identify when market price is “through” a level.

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MAXIMUM STOP DISTANCE (MSD)

The MSD is the maximum distance for any influence a PriceMap level with have and confirmation that the level has been violated.

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PriceMap Market Metric FULL VIEW

In the FULL VIEW the Minor PriceMap levels will only have the AD displayed. There are no VAR or MSD metrics for the Minor PriceMap levels.

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Additional Features

The default setting displays the current trading session PriceMap data. Up to 3 days’ worth of data can be requested by adding the following parameter to the Integration script : -dateRange=3. Below is an example that will grab 3 days’ worth of JSData. 3 is the maximum number of days that can be displayed. This may slow the daily retrieval down slightly.

 

 

Script Example:

-outputView=11 -outputStyle=5 -outputType=xml -outputFilename=”js_data” -outputDirectory=”C:\SierraChart\Data” -dateRange=3 -overwrite –indent

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Application Integration NinjaTrader

JS Services PriceMap Integration Script

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How to set-up the JSNinjatrader Integration Video click HERE

JSNinjaTrader Integration

The JSDesktop includes a JSData utility component whose default settings create a JSData.XML file which is needed to run the NinjaTrader JSServices PriceMap Chart Overlays application. The JSData.xml file is located in your C:\Users\”???”\Documents\JSServices\directory. Your computer User name will replace the “???” in the directory location. For example my JSServices directory is in: C:\Users\John\Documents\JSServices\.

The image below shows the JSData.xml file in the default directory.

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JS Services current NinjaTrader integration uses a file named JSData.xml for its PriceMap chart overlay indicator.

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STEP 1 – Download and Save JS NinjaScript (JSPriceMap.zip)

a. Click on the preferred NT7 or NT8 .zip file link and download the JSPriceMap.zip file which contains the Ninja Script:

JSPriceMapNT7.zip

JSPriceMapNT8.zip

b. Save the downloaded JSPriceMap.zip file in your …\Documents\NinjaTrader7\bin\Custom directory

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STEP 2 – Import JS NinjaScript

On the NinjaTrader Control Center Go to FILE –> UTILITIES –> ImportNinjaScript

If you are already have an older version of the JS indicator select Remove NinjaScript Assembly 1st and remove the older version then import the new version.

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STEP 3 – Add JS Services Price Map Indicator

Open an intra-day chart and select the NinjaTrader INDICATORS icon to open the Indicator Edit box.

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  • Find the JS Services Price Map in the Indicator list and select it
  • Click “NEW” to add it to your active indicators
  • Edit the XML Path with the directory address the JSData.xml file is located including the file name and extension
  • Click APPLY

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The PriceMap levels should be displayed on the chart with the correct CREATION DATE.

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Trouble Shooting

PriceMap levels do not show up

  • Be sure you are connected to the internet and data source
  • Be sure to check the spelling of the XML PATH
  • Be sure the JSData.xml file is in the directory you entered in the XML PATH and it has the correct date. If it not:
    • Re-fresh the JSDesktop
    • Be sure the Refresh box is checked in the default Integration Script 1. To check go to VIEW –> PREFERENCES –>

 

KNOWN ISSUES

JAPANESE YEN

JSSmbol = JY     NinjaTrader Symbol = 6J

The Multiplier must be edited for the PriceMap level to display properly. To do so change the MULTIPIER from 1 to 10.

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Additional Features

The default setting displays the current trading session PriceMap data. Up to 3 days’ worth of data can be requested by adding the following parameter to the Integration script : -dateRange=3. Below is an example that will grab 3 days’ worth of JSData. 3 is the maximum number of days that can be displayed. This may slow the daily retrieval down slightly.

 

Script Example: jsget -outputView=11 -outputType=xml -outputFilename=”JSData” -outputDirectory=”%JSDIR%” -dateRange=3 -overwrite -indent

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Additional Features

JS Services PriceMap Daily Integration Script

In addition to the intraday JS Services Price Map application there is also a Daily (JS Services Price Map Daily) which is designed to work with HISTORICAL CHARTS.

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The default setting only displays the PriceMap Directional level (R, UP, DP) which forecast a change in the market state. This provides a nice MACRO view. The difference with the intra-day application is that the levels extend across the chart. When the Minor level is selected the rest of the Major PriceMap levels will be displayed. It is recommended to create separate DAILY Charts when using this application and separate ones for the Daily.

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JSDesktop NinjaTrader Integration VIDEO