OrderFlowCumulativeDelta Data

[fingers]

do I have this right?

to use OrderFlowCumulativeDelta on historic bars I need Level 2 data

to use OrderFlowCumulativeDelta on real-time bars I just need Level 1 data

[NinjaTrader_ChelseaB]

Hello fingers,

The OrderFlowCumulativeDelta does not level 2 data, but all scripts need level 1 data to run.

The CumulativeDelta gets volume information from a 1 tick series. This 1 tick series must also be added to any host script that calls the OrderFlowCumulativeDelta as a symbiote.

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

[fingers]

thanks but a bit confused, probably doing something wrong? ...

adding a 1 tick series with level1 data, I receive OHLC only on historical bars and I concluded that's why OrderFlowCumulativeDelta wasn't working historically?

but if "OrderFlowCumulativeDelta does not need level 2 data" then I've misunderstood.

PS. what is a 'symbiote'

[NinjaTrader_ChelseaB]

Hello fingers,

Level 1 data (market data) is real-time last, ask, and bid prices. This updates in the OnMarketData() override and also drives OnBarUpdate() in realtime.
Level 2 data (market depth) is real-time 10 rows of ask and 10 rows of bid. This updates in the OnMarketDepth() override in real-time and is not stored as historical.
Historical data is not level 1 or level 2 as this is not real-time data, it's historical data which loaded from NinjaTrader's historical data servers. This updates in OnBarUpdate() in historical.

OrderFlowCumulativeDelta does not use market depth, this uses level 1 data (market data) and historical tick data.

If this indicator is not returning values when called from a NinjaScript, this may indicate you are not connected to a connection providing historical tick data.

Are you printing the value from your script with the time of the bar and this is returning a 0 or an error?
If this is returning an error please provide the full error message.

Are you able to open a 100 Tick chart to the same date range and see the historical data load for the full date range?

[fingers]

so can I get historical bid/ask volume from level1? or do I need something else.

do you have a sample script? or i can create one and post if useful

what I'm trying to do (historical and real time) is determine to delta volume for each bar?

[NinjaTrader_ChelseaB]

Hello fingers,

Historical data is downloaded automatically when connected to NinjaTrader or another connection that supports the historical data type for the instrument.

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

Or historical data can be imported from a text file.

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

I'm not sure what you are asking for, you are wanting a script that will open a 100 Tick chart to see if you have have the historical tick data loaded?

Or are you unable to copy and paste the sample code from the help guide into a script and would like this as an example?

[fingers]

Apologies for not making myself clear, I'll try again ....

What I'm trying to do is find the best way to determine the delta volume for each bar (historical and real-time)?

is this OrderFlowCumulativeDelta? and can I avoid activating tick replay when using?

[NinjaTrader_ChelseaB]

Hello fingers,

TickReplay is only necessary if you are using Calculate.OnEachTick or .OnPriceChange and wanting this to update in historical. It is not necessary when using Calculate.OnBarClose or in real-time.

Below is a link to the sample code from the help guide copied into a test script.

https://forum.ninjatrader.com/forum/ninjatrader-8/strategy-development/1130890-orderflowvwap-indicator-in-strategy?p=1131078#post1131078

Open a 100 Tick chart to the same date range and ensure the historical tick data is available for the entire date range.

Then add the test indicator to the chart of your choice.

[WaleeTheRobot]

Apologies for not making myself clear, I'll try again ....

What I'm trying to do is find the best way to determine the delta volume for each bar (historical and real-time)?

is this OrderFlowCumulativeDelta? and can I avoid activating tick replay when using?

You can just access the delta for each bar through the volumetric bar, if you want to just find the delta volume for each bar.