Getting values from OrderFlowCumulativeDelta Indicator

[speedytrade02]

Hi, I'm trying to get the values from OrderFlowCumulativeDelta Indicator on 1 min timeframe. I have the following code:

#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion

//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies
{
    public class test2 : Strategy
    {
        //private NinjaTrader.NinjaScript.Indicators.Sim22.Sim22_DeltaV2 Sim22_DeltaV21;
        private OrderFlowCumulativeDelta CumDelta;
        private EMA EMA1;
        private SMA SMA1;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description                                    = @"Joan strategy";
                Name                                        = "test2";
                Calculate                                    = Calculate.OnEachTick;
                EntriesPerDirection                            = 1;
                EntryHandling                                = EntryHandling.AllEntries;
                IsExitOnSessionCloseStrategy                = false;
                ExitOnSessionCloseSeconds                    = 30;
                IsFillLimitOnTouch                            = true;
                MaximumBarsLookBack                            = MaximumBarsLookBack.Infinite;
                OrderFillResolution                            = OrderFillResolution.Standard;
                Slippage                                    = 0;
                StartBehavior                                = StartBehavior.WaitUntilFlat;
                TimeInForce                                    = TimeInForce.Gtc;
                TraceOrders                                    = false;
                RealtimeErrorHandling                        = RealtimeErrorHandling.StopCancelClose;
                StopTargetHandling                            = StopTargetHandling.PerEntryExecution;
                BarsRequiredToTrade                            = 20;
                // Disable this property for performance gains in Strategy Analyzer optimizations
                // See the Help Guide for additional information
                IsInstantiatedOnEachOptimizationIteration    = true;
            }
            else if (State == State.Configure)
            {
                AddDataSeries("YM 03-23", Data.BarsPeriodType.Minute, 1, Data.MarketDataType.Last);
                AddDataSeries("YM 03-23", Data.BarsPeriodType.Second, 15, Data.MarketDataType.Last);
                AddDataSeries("YM 03-23", Data.BarsPeriodType.Tick, 1, Data.MarketDataType.Last);
                AddDataSeries("YM 03-23", Data.BarsPeriodType.Volume, 1, Data.MarketDataType.Last);
            }
            else if (State == State.DataLoaded)
            {                
                CumDelta = OrderFlowCumulativeDelta(CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Bar, 0);
            }
        }

        protected override void OnBarUpdate()
        {
            if (BarsInProgress != 0)
                return;

            if (CurrentBars[1] < 1)
                return;

            Print("------------------");
            // [0] means that we want to get the actual bar ([1] would be 1 bar ago)
            Print(Time[0] + " --> " + CumDelta.DeltaClose[0]);
        }
    }
}
​

And when I execute It, I'm getting the correct values as output, as you can see on the screenshot:



But I don't understand why does it output 30 time the same Time (6:00:00) and with different values. The output shouldn't be something like:

20/01/2023 5:58:00 --> 4
20/01/2023 5:59:00 --> 1
20/01/2023 6:00:00 --> 5

Thanks so much in advance.

[NinjaTrader_BrandonH]

Hello speedytrade02,

Thanks for your post.

I see in the code you shared that the indicator is set to use Calculate.OnEachTick.

This means that OnBarUpdate() logic would process for each incoming tick that occurs. If there are multiple ticks that occur within the 1-Minute timeframe, you would see multiple prints in the Output window for that 1-Minute bar.

You may consider running the script with the Calculate mode set to OnBarClose for prints to only occur each time the 1-Minute bar closes.

See this help guide page about Calculate: https://ninjatrader.com/support/help.../calculate.htm

Also, please note from the Order Flow Cumulative Delta help guide page that it is important toupdate the secondary series of the hosted indicator to make sure the values we get in BarsInProgress == 0 are in sync. An example of this could be seen in the sample code on the help guide page linked below.

Order Flow Cumulative Delta: https://ninjatrader.com/support/help...ive_delta2.htm

Let me know if I may assist further.

[speedytrade02]

Hi Brandon, thanks for the info. I've just tryied to change Calculate.OnBarClose but still have the same problem, where it doesn't show only the close value of each delta candle

​#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion

//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies
{
    public class test2 : Strategy
    {
        //private NinjaTrader.NinjaScript.Indicators.Sim22.Sim22_DeltaV2 Sim22_DeltaV21;
        private OrderFlowCumulativeDelta CumDelta;
        private EMA EMA1;
        private SMA SMA1;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description                                    = @"Joan strategy";
                Name                                        = "test2";
                Calculate                                    = Calculate.OnBarClose;
                EntriesPerDirection                            = 1;
                EntryHandling                                = EntryHandling.AllEntries;
                IsExitOnSessionCloseStrategy                = false;
                ExitOnSessionCloseSeconds                    = 30;
                IsFillLimitOnTouch                            = true;
                MaximumBarsLookBack                            = MaximumBarsLookBack.Infinite;
                OrderFillResolution                            = OrderFillResolution.Standard;
                Slippage                                    = 0;
                StartBehavior                                = StartBehavior.WaitUntilFlat;
                TimeInForce                                    = TimeInForce.Gtc;
                TraceOrders                                    = false;
                RealtimeErrorHandling                        = RealtimeErrorHandling.StopCancelClose;
                StopTargetHandling                            = StopTargetHandling.PerEntryExecution;
                BarsRequiredToTrade                            = 20;
                // Disable this property for performance gains in Strategy Analyzer optimizations
                // See the Help Guide for additional information
                IsInstantiatedOnEachOptimizationIteration    = true;
            }
            else if (State == State.Configure)
            {
                AddDataSeries("YM 03-23", Data.BarsPeriodType.Minute, 1, Data.MarketDataType.Last);
                AddDataSeries("YM 03-23", Data.BarsPeriodType.Second, 15, Data.MarketDataType.Last);
                AddDataSeries("YM 03-23", Data.BarsPeriodType.Tick, 1, Data.MarketDataType.Last);
                AddDataSeries("YM 03-23", Data.BarsPeriodType.Volume, 1, Data.MarketDataType.Last);
            }
            else if (State == State.DataLoaded)
            {                
                CumDelta = OrderFlowCumulativeDelta(BarsArray[1], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Bar, 0);
            }
        }

        protected override void OnBarUpdate()
        {

            if (BarsInProgress != 0)
                return;

            if (CurrentBars[1] < 1)
                return;

            Print("------------------");
            // [0] means that we want to get the actual bar ([1] would be 1 bar ago)
            Print(Time[0] + " --> " + CumDelta.DeltaClose[0]);

        }
    }
}
​

It show the following output



Any guess on what could be the problem?

Thanks!!

[QuantKey_Bruce]

Did you change the Calculate to Calculate.OnBarClose in the code but not change the one that's already on the chart? Those are just defaults in the code and can be overridden by the specific instance on the chart.

If you want to enforce that they can't change it, set Calculate = Calculate.OnBarClose in your strategy's State.Configure.

[speedytrade02]

Thanks Bruce, the problem was what you've said. I've added Calculate = Calculate.OnBarClos to State.Configure. and worked fine

[QuantKey_Bruce]

Okay. Just FYI you probably don't want to do that as a matter of course - just change the properties of the one on the chart. But, if you're certain you want to ignore the user's selection and always run the strategy as OnBarClose you can do it that way. Understand that this isn't enforced completely for indicators, only for strategies - the reason is because indicators can be nested so if you put an indicator inside of a strategy, and the strategy is running with Calculate = Calculate.OnEachTick or Calculate = Calculate.OnPriceChange, then just because you set Calculate = Calculate.OnBarClose in State.Configure of the nested indicator does not mean it will be enforced there - it will always run as the Calculate mode of the outer (hosting) NinjaScript. So, for this reason, best not to get too comfortable with the idea that you can force it in all circumstances because you cannot. What you could do, if your script is not designed to run properly in other modes, is simply check if it's in the wrong mode and give an error message explaining to the user that it must be in the mode it was designed for, then exit.

[speedytrade02]

Just another question. How can I get the 3 values from 15s candle inside 1m candle?. So wahat i want to do is that if a Delta value on 1m candle is greather than 100 or less than -100, i want to check the delta value of 15s candle inside this specific 1m candle, and place a short or long

[QuantKey_Bruce]

You'll need to have an instance of that nested indicator attached to the 1 minute series and a different instance attached to the 15-sec series. You will also have to stop doing "if (BarsInProgress != 0) return;" because otherwise you won't run the code below that except on the chart bars. You can check if BarsInProgress is equal to the series in question as needed.

[speedytrade02]

Nice, thanks!!

And how can I get the 3 15seconds delta values which are inside 1m specific candle?

[QuantKey_Bruce]

You could either do that using the timestamps to see which ones they are or by keeping track of the bar number on the 1-minute candle to see when a new 1-minute bar has begun. There are probably other ways as well. Remember they are sequential so you could just note when a new 1-minute bar has begun and get the next three 15-sec ones or something like that. Try it and see what works for you.

[speedytrade02]

Perfect Bruce, I’ll try and let you know how it goes. Thanks so much for the info again!!

[NinjaTrader_BrandonH]

Hello speedytrade02,

Thanks for your notes.

QuantKey_Bruce is correct. You could remove the if (BarsinProgress != 0) return; condition from your script and print the Order Flow Cumulative Delta indicator value from the added 15-second series and the 1-minute series in your script by checking for the BarsInProgress index processing.

For example, since the 1-minute series is the first added series in the script you would check if (BarsInProgress == 1) and get the Order Flow Cumulative Delta value within that condition. Since the 15-second series is the second added series, you could check if (BarsInProgress == 2) and get the Order Flow Cumulative Delta value in that condition.

See the help guide documentation below for more information about working with multi-timeframe NinjaScripts.

Working with Multi-Timeframe and Multi-Instrument NinjaScripts: https://ninjatrader.com/support/help...nstruments.htm
BarsInProgress: https://ninjatrader.com/support/help...inprogress.htm

Please let me know if I may assist further.

[speedytrade02]

Hi Brandon and thanks for answering.

I've tryied to remove if (BarsinProgress != 0), and now my script looks like this:

#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion

//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies
{
    public class test2 : Strategy
    {
        //private NinjaTrader.NinjaScript.Indicators.Sim22.Sim22_DeltaV2 Sim22_DeltaV21;
        private OrderFlowCumulativeDelta CumDelta;
        private EMA EMA1;
        private SMA SMA1;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Description                                    = @"Joan strategy";
                Name                                        = "test2";
                Calculate                                    = Calculate.OnBarClose;
                EntriesPerDirection                            = 1;
                EntryHandling                                = EntryHandling.AllEntries;
                IsExitOnSessionCloseStrategy                = false;
                ExitOnSessionCloseSeconds                    = 30;
                IsFillLimitOnTouch                            = true;
                MaximumBarsLookBack                            = MaximumBarsLookBack.Infinite;
                OrderFillResolution                            = OrderFillResolution.Standard;
                Slippage                                    = 0;
                StartBehavior                                = StartBehavior.WaitUntilFlat;
                TimeInForce                                    = TimeInForce.Gtc;
                TraceOrders                                    = false;
                RealtimeErrorHandling                        = RealtimeErrorHandling.StopCancelClose;
                StopTargetHandling                            = StopTargetHandling.PerEntryExecution;
                BarsRequiredToTrade                            = 20;
                // Disable this property for performance gains in Strategy Analyzer optimizations
                // See the Help Guide for additional information
                IsInstantiatedOnEachOptimizationIteration    = true;
            }
            else if (State == State.Configure)
            {
                Calculate = Calculate.OnBarClose;
                AddDataSeries("YM 03-23", Data.BarsPeriodType.Minute, 1, Data.MarketDataType.Last);
                AddDataSeries("YM 03-23", Data.BarsPeriodType.Second, 15, Data.MarketDataType.Last);
                AddDataSeries("YM 03-23", Data.BarsPeriodType.Tick, 1, Data.MarketDataType.Last);
                AddDataSeries("YM 03-23", Data.BarsPeriodType.Volume, 1, Data.MarketDataType.Last);
            }
            else if (State == State.DataLoaded)
            {                
                CumDelta = OrderFlowCumulativeDelta(BarsArray[1], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Bar, 0);
            }
        }

        protected override void OnBarUpdate()
        {
            // Get Delta value for the current closing candle
            // [0] means that we want to get the actual bar ([1] would be 1 bar ago)
            double delta = CumDelta.DeltaClose[0];
            if (CurrentBars[1] < 1)
                return;

            if (BarsInProgress == 1){
                Print(delta);                
            }

            if (delta > 100 || delta < -100){

                Print(Time[0]+ " --> "+ delta +"Hola");
            }
        }
    }
}
​

But when I run the script, I get the following error:

"Strategy 'test2': Error on calling 'OnBarUpdate' method on bar 0: You are accessing an index with a value that is invalid since it is out-of-range. I.E. accessing a series [barsAgo] with a value of 5 when there are only 4 bars on the chart."

[NinjaTrader_BrandonH]

Hello speedytrade02,

Thanks for your note.

This error message indicates that you are trying to access a BarsAgo value that is not valid.

Currently, you are only checking if the first added series in the script has at least 1 bar processed (if (CurrentBars[1] < 1) return;). You should add a CurrentBars check in your script for the primary series and each added data series in the script to make sure you have enough bars processed in the series you are accessing.

See this help guide page for more information about adding a CurrentBars check to check if there are enough bars for each added series: https://ninjatrader.com/support/help...urrentbars.htm

And, see this help guide page also: https://ninjatrader.com/support/help...nough_bars.htm

Let me know if I may further assist.

[Lance El Camino]

I have an issue referencing OrderFlowCumulativeDelta in an indicator. It worked before the update. The 1 tick series is the second added series hence bip 2. Here's the code that uses delta:

            //Declarations
            private OrderFlowCumulativeDelta cumulativeDelta;
            private Series<double> highs, lows, closes;

            //State.Configure
            AddDataSeries(Data.BarsPeriodType.Tick, 1);

            //State.DataLoaded
             cumulativeDelta = OrderFlowCumulativeDelta(CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0);
             ​highs = new Series<double>(this); lows = new Series<double>(this); closes = new Series<double>(this);

            //OnBarUpdate
            if (CurrentBars[0] < 60 || CurrentBars[1] < 60 || CurrentBars[2] < 60)
                return;

            if (BarsInProgress == 0
                  Print("Delta Close: " + cumulativeDelta.DeltaClose[0] + "  " + Time[0]);

            if (BarsInProgress == 2)
            {
                  cumulativeDelta.Update(cumulativeDelta.BarsArray[2].Count - 1, 2);
            }​

            if (divInstrument == DivInstrument.Delta)
                {
                    highs[0] = cumulativeDelta.DeltaHigh[0];
                    lows[0] = cumulativeDelta.DeltaLow[0];
                    closes[0] = cumulativeDelta.DeltaClose[0];
                }​

This used to always work so not sure what's going on?