Getting value from OrderFlowCumulativeDelta

[speedytrade02]

Hi I'm trying to get the 15second Delta value. I have the following code:

        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)
        {                
                CumDelta1m = OrderFlowCumulativeDelta(BarsArray[1], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Bar, 0);
                CumDelta15s = OrderFlowCumulativeDelta(BarsArray[2], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Bar, 0);
        }

        protected override void OnBarUpdate()
        {    ​

                        // obtain current 1m bar timestamp
                        DateTime currentBarTime = Bars.GetTime(Bars.Count-2);

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

                            // check if current candle's volume is greather than 3 previous candles
                            if(Volume[0] > Volume[1] && Volume[0] > Volume[2] && Volume[0] > Volume[3]){

                                double maxPrice = double.MinValue;
                                double minPrice = double.MaxValue;                    
                                DateTime futureTime = currentBarTime;
                                DateTime correctTime = futureTime;

                                int count = 3;
                                bool  found = false;

                                for (int i = 0; i < 4; i++){


                                    // we only take the first delta of 15s chart
                                    if(!found){
                                        double delta15s = CumDelta15s.DeltaClose[0];

                                        if (delta15s > 60 || delta15s < -60){
                                            double highPrice = Highs[2][count];
                                            double lowPrice = Lows[2][count];

                                            // Update max and min price if necessary
                                            if (highPrice > maxPrice)
                                                maxPrice = highPrice;
                                                futureTime = futureTime.AddSeconds(15);
                                                // we save at correctTime variable the candle timestamp where the max is located
                                                correctTime = futureTime;
                                            if (lowPrice < minPrice)
                                                minPrice = lowPrice;
                                                //futureTime = futureTime.AddSeconds(15);
                                                correctTime = futureTime;

                                            found = true;
                                        }

                                        count--;
                                        //futureTime = futureTime.AddSeconds(15);
                                    }
                                }

                                // If a 15s candle with delta > 60 or delta < -60 was found, we save the variables on an array
                                if (maxPrice != double.MinValue && minPrice != double.MaxValue){
                                    // Save values to an array
                                    priceRange = new double[] { maxPrice, minPrice, -1};
                                    Print(string.Format("{0} --> MAX price: {1}, MIN price: {2}", correctTime, priceRange[0], priceRange[1]));
                                    myCurrentBar = CurrentBar;

                                    // Tells when we have detected a new range
                                    just_after = true;
                                }

                                else{
                                    // If no 15 seconds candles with delta > 60 or delta < -60 was found, we save the MAX and MIN value of the 1 min array
                                    double highPrice = BarsArray[1].GetHigh(0); // Get highest price of 1 min candle
                                    double lowPrice = BarsArray[1].GetLow(0); // Get lowest price of 1 min candle

                                    // Save LOW and High values into an array
                                    priceRange = new double[] {highPrice, lowPrice, -1};
                                    Print(string.Format("{0} --> MAX price: {1}, MIN price: {2}", correctTime, priceRange[0], priceRange[1]));
                                    myCurrentBar = CurrentBar;
                                    just_after = true;
                                }
                            }
                        }​

​

So the thing is that when a Delta bigger than 100 or lower than -100 is found. I want to check th 4 15sec candles inside this 1m candle and check for their Delta value. Then I want to save on a variable , the high and low range of the first 15sec candle that its delta is bigger than 60 or lower than -60.

How can that be implemented following my code?

Thanks

[NinjaTrader_ChelseaB]

Hello speedytrade02,

Using BarsArray[2] for the input series is correct.

You will also need to call .Update() during BarsInProgress 3 for each tick as demonstrated in the sample code in the help guide.

https://ninjatrader.com/support/helpGuides/nt8/order_flow_cumulative_delta2.htm

That said, are you certain you want the logic in OnBarUpdate() to update for every series? (There is check for BarsInProgress in your code)

https://ninjatrader.com/support/helpGuides/nt8/barsinprogress.htm