Data Bridge

min $50 USD / hour

In Progress

Posted about 1 month ago

min $50 USD / hour

Data Extraction: Accessing s_VolumeAtPrice and s_MarketDepth in real-time to identify VAH, VAL, POC, LVNs, and Big Trades (>150 contracts). Order Flow Logic: Calculating Cumulative Delta, Delta Divergences, and detecting "Cazzotto" (Absorption/Stalling) at specific price levels.

Project ID: 40363825

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@JasonMe

ECHNICAL DATA MAP (26 VARIABLES): Group A: AMT Context (Study: "Volume by Price") Current VAH Current VAL Current POC Prev. Day VAH Prev. Day VAL Prev. Day POC Nearest LVN (Low Volume Node) Session High Session Low Session State (0 = Globex, 1 = RTH) Value Relation (0=Inside, 1=Above, 2=Below Prev. Value) Group B: Order Flow DNA (Study: "Numbers Bars" / "Cumulative Delta") 12. Cumulative Delta (Session) 13. 5-Minute Delta (Last closed bar) 14. Delta Divergence (Boolean: 1 if Price Up/Delta Down or vice-versa, else 0) 15. Imbalance Ratio % (Buy/Sell Imbalance) 16. Big Trades Count (Trades >150 contracts in current area) 17. Absorption Buy (Cazzotto/Stall Detection at Highs) 18. Absorption Sell (Cazzotto/Stall Detection at Lows) Group C: Tape Dynamics & Price 19. Last Price 20. Bid/Ask Spread 21. Tick Speed (Ticks per second) 22. Daily Open 23. Vol-at-Bid (Last 1 minute) 24. Vol-at-Ask (Last 1 minute) Group D: Risk Management (Calculated via Script Logic) 25. Suggested SL (Price level behind nearest LVN/Absorption) 26. Suggested TP (Price level for 1:3 Reward/Risk ratio) FINAL PASTE STRING FORMAT (26 FIELDS): [WARDEN_V2|Timestamp|1|2|3|4|5|6|7|8|9|10|11|12|13|14|15|16|17|18|19|20|21|22|23|24|25|26]

$50 USD in 10 days

5.0

(1 review)

0.9

5 freelancers are bidding on average $56 USD/hour for this job

@KirtikaKataria

Hi there, I understand you need a real-time market data analytics system focused on advanced order flow and volume profile logic, including VAH/VAL/POC detection, market depth extraction, cumulative delta calculations, divergence detection, and absorption (“Cazzotto”) identification. My approach will begin with building a real-time data ingestion layer to access s_VolumeAtPrice and s_MarketDepth feeds efficiently. Next, I will implement core analytics modules for volume profile construction (VAH, VAL, POC, LVNs), followed by order flow logic including cumulative delta, divergence detection, and large trade filtering (>150 contracts). Finally, I will develop an event-driven detection engine to identify absorption/stalling patterns at key levels and structure outputs for visualization or strategy integration. Deliverable: A modular real-time analytics system (Python-based) with structured outputs for volume profile, order flow metrics, and trade signal detection, ready for integration with trading dashboards or execution systems. QUESTION: Could you clarify which data source/API you will be using for real-time feed (e.g., CQG, Rithmic, Binance, Interactive Brokers, or custom exchange feed)? I have built similar real-time market data and order flow analytics systems, focusing on low-latency processing and structured trading signals. Regards, Shehwani.

$50 USD in 40 days

5.0

(5 reviews)

4.4

@Kashifscode

Hi, good day. The primary technical challenge for this project is High-Throughput Latency Management in Real-Time Order Flow Serialization, specifically processing thousands of s_VolumeAtPrice updates per second to maintain an accurate micro-structure map without dropping packets. With my experience in high-frequency trading (HFT) data structures and NinjaScript/Sierra Chart C++ development, I will solve the problem of data lag by implementing a circular buffer architecture for efficient memory management. My technical solution involves three big steps: first, engineering a custom data handler to aggregate s_MarketDepth into discrete price-level arrays for instant VAH/VAL/POC recalculation; second, developing a sophisticated logic engine to detect "Cazzotto" absorption by correlating high-volume prints with zero price progression; and third, implementing a real-time delta-tracking module that filters Big Trades (>150 contracts) to visualize institutional aggression. I suggest we communicate for further discussions on the project.

$50 USD in 40 days