JTOOLS 3D DEPTH MAPPER (RealTime)


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Project Location: \JTools_DepthMapper3D_RT ( Real Time Version )


The 3D Depth Mapper application takes viewing futures depth into another dimension. Developed at Nanex to examine liquidity expansion and contraction in the futures markets to see potential patterns that may not be obvious on a 2D display. It works in one second intervals and is is one of our more advanced (and unique) real time charting applications. The 3D Depth mapper does not simply provide a static image for viewing but lets you navigate through the image, allowing deeper investigation of individual components.

The four primary components of the 3D Depth Mapper are the depth price level and trade price, volume, ask-side depth size terrain and bid-side depth size terrain. The following image shows the various components (only price levels 5 and 10 are shown for clarity):




The depth mapper comes in two flavors, the "Static" version and the "Real-Time" version. The static version allows you to capture a complete data set given a start time and amount of seconds to capture and let you navigate through the quote/trade/size landscape as you see fit. Additionally because the terrain is pre-build it can be smooth shaded if desired. The "Real Time" version lets you do the same, but is always updating from the tape and recycling old data with new data. This small tutorial is for the "Real Time" version of the sequencer.

Showing all depth price levels (along with trades), volume and flat shaded size terrain:


Moving around in the scene, getting close to the price bars as they fly by:



Showing action in NATGAS during news release:


Symbol, Capture Time and Status:


  • Symbol - Symbol of the future being plotted.
  • Start Time - Time the sequence begins plotting.
  • Min - Number of minutes to plot (each point in the plot represents 1 second).
  • Status - Status of request (Complete, Symbol not Found, etc).

Global 3D


  • Z World Bar Unit - How many units each item occupies on the Z-axis. Once changed, pressing "Redo" will rebuild the current sequence with the new value.
  • Hither Plane + -- Hither plane distance.
  • HUD Stats - Display stats about the timeframe.
  • HUD Legend - Display the levels legend.
  • HUD Wlrd Stats - Display stats about the 3D engine.
  • Speed - Speed at which you navigate through the 3D world.
  • R Axis- Axis to rotate on when navigating through the 3D world.
  • Reset All - Resets all settings to the defaults and rebuilds the current scene..
  • Rst View - Resets the viewpoint to the default position and orientation.
Size Terrain:


  • Wframe - Display terrain in wireframe.
  • Solid- Display terrain flat shaded.
  • Max World Scale - How much Y axis space the terrain should scale to. Once changed, pressing "Redo" will rebuild the current sequence with the new value.
  • Unit Width - How much x axis space each size level occupies. Once changed, pressing "Redo" will rebuild the current sequence with the new value.
  • Visible - If checked the size terrain is visible. If unchecked the size terrain is not rendered.
  • Altitude + - - Raises or lowers the height position of the size terrain.
  • Separation + - - Increases or decreases the amount of distance between the bid and ask terrain sides.
Price, Volume and Depth Bars and Polygons:


  • Wframe - Display trade price and volume in wireframe.
  • Solid- Display trade price and volume flat shaded.
  • Smth - Display trade price and volume smooth shaded.
  • Max World Scale - How much Y axis space prices should scale to. Once changed, pressing "Redo" will rebuild the current sequence with the new value.
  • Unit Width - How much x axis space each price level occupies. Once changed, pressing "Redo" will rebuild the current sequence with the new value.
  • Price Bars Visible - If checked price bars are visible. If unchecked price bars are not rendered.
  • Volume Bars Visible - If checked volume bars are visible. If unchecked volume bars are not rendered.
  • Depth Polys Visible - If checked depth polys are rendered according to the individual on/off toggles. If unchecked depth polys are not rendered.
  • All On - Toggles all available depth levels on.
  • All Off - Toggles all available depth levels off.
  • D1 - D10 - Allows you to toggle individual depth levels on or off.
Symbol Convention:

Since this application is specific to futures, you may enter symbols with or without the lowercase 'f'. Examples would be "fES.U12" (the standard NxCore convention for futures) or just "ES.U12".

Furthermore, at any point in time two exchanges may use the same future symbol to represent different futures (while this is rare, it does happen). Should this occur you may get a future you were not expecting when entering the symbol. To correct this you would also specify the exchange the symbol is listed on. For instance NG.U12 was listed (at the time of this writing) on both the NYMX (as Sept12 Natural Gas futures) and on the CBOT (as Sept12 5 Year US Int Rate Swap futures). As an example of how to specify the listing exchange in the symbol:
  • NG.U12:25 - Natural Gas future on the NYMX exchange (exchange # 25).
  • NG.U12:24 - 5 Year US Int Rate Swap future on the CBOT exchange (exchange #24).

Note that not all future exchanges provide depth. The exchange designators correspond to the default NxCore exchange codes found here: NxCore Exchange Codes

You may enter a new symbol at any time. Simply type in the symbol and press the ENTER key. If the symbol is valid, the display will clear and begin populating with current trades.

If the symbol entered is not valid, a "Symbol Not Found" message is displayed in the Name field.

You can cancel listening to a symbol by simply clearing the symbol and pressing the ENTER key.

If you have not started NxCore prior to entering a symbol then NxCore will be started when you press ENTER. When doing this, it may take a couple seconds for the symbol's name to appear as NxCore has just started and the category information (with company names) does not become available for the first few minutes of the tape. When entering symbols after the tape has been started all information is delivered immediately.


Navigation:

Navigating through the 3D world is accomplished with the mouse in the following manner:
  • Holding the left button down and moving the cursor towards the top 1/2 of the display moves you forward while moving the cursor towards the bottom 1/2 of the screen moves you backwards.

  • Holding the left button down and moving the cursor towards the left 1/2 of the display moves you left while moving the cursor towards the right 1/2 of the screen moves you right.

  • Holding the right button down and moving the cursor towards the top 1/2 of the display moves you up while moving the cursor towards the bottom 1/2 of the screen moves you down.

  • Holding the right button down and moving the cursor towards the left 1/2 of the display rotates you left while moving the cursor towards the right 1/2 of the screen rotates you right (the axis of rotation is dependant on which RAxis setting you have chosen).


Colors:

You may change colors for he entire application by clicking on the application icon in the upper left corner, and choosing 'Color Prefs':





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