OrderFlowCumulativeDelta int the multi instrument environment

[jshapen]

How to apply the "OrderFlowCumulativeDelta" indicator to two different instruments inside one indicator?
I do it by analogy with the Manual

private OrderFlowCumulativeDelta cumulativeDelta;
private OrderFlowCumulativeDelta cumulativeDelta2;
private CumulativeDeltaType deltaType=CumulativeDeltaType.BidAsk;

...
else if (State == State.Configure)
{
   AddDataSeries(Data.BarsPeriodType.Tick, 1);

   AddDataSeries("NQ 12-21",BarsPeriodType.Minute, 5);
   AddDataSeries("NQ 12-21",Data.BarsPeriodType.Tick, 1);
}
else if (State == State.DataLoaded)
{
   cumulativeDelta = OrderFlowCumulativeDelta(deltaType, CumulativeDeltaPeriod.Bar, 0);
   cumulativeDelta2 = OrderFlowCumulativeDelta(BarsArray[2],deltaType, CumulativeDeltaPeriod.Bar, 0);
}
...

protected override void OnBarUpdate()
{
   if (BarsInProgress == 1)
   {
      cumulativeDelta.Update(cumulativeDelta.BarsArray[1].Count - 1, 1);
   }
   else if (BarsInProgress == 3)
   {
      cumulativeDelta2.Update(cumulativeDelta2.BarsArray[3].Count - 1, 1);
   }
}

Indicator 'DeltaTest': Error on calling 'OnBarUpdate' method on bar -1: Index was outside the bounds of the array.

[NinjaTrader_ChelseaB]

Hello jshapen,

I was able to reproduce, and I suspect the added 1 tick series internally in the Order Flow Cumulative Delta may be the cause of the issue.

I'll need to do some research and testing on this, I appreciate your patience.

[NinjaTrader_ChelseaB]

Hello jshapen,

The cumulativeDelta2.Update() call needs to reference the hosted indicators BarsArray collection and not the host strategy or indicators BarsArray collection.

The indicator will have the primary BarsArray[0] which will be the 5 minute NQ, and the BarsArray[1] which is the NQ 1 tick series.

cumulativeDelta2.Update(cumulativeDelta2.BarsArray[B][1][/B].Count - 1, 1);

Attached is an exported test script.