OrderFlow Cumulative Delta for Bar incorrect

[tarikmedjber]

Hi im trying to get the order flow culative delta for the last bar.

My Code is pretty simple:

namespace NinjaTrader.NinjaScript.Indicators
{
public class AaIndicatorTester : Indicator
{
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Indicator tester";
Name = "AaIndicatorTester";
Calculate = Calculate.OnPriceChange;
IsOverlay = false;
DisplayInDataBox = true;
DrawOnPricePanel = true;
DrawHorizontalGridLines = true;
DrawVerticalGridLines = true;
PaintPriceMarkers = true;
ScaleJustification = NinjaTrader.Gui.Chart.ScaleJustification.Right;
//Disable this property if your indicator requires custom values that cumulate with each new market data event.
//See Help Guide for additional information.
IsSuspendedWhileInactive = true;
AddPlot(new Stroke(Brushes.White, 20), PlotStyle.Bar, "DeltaPlot");

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

}

protected override void OnBarUpdate()
{
if (BarsInProgress == 0)
{
if (IsFirstTickOfBar && CurrentBar > 2)
{
OrderFlowCumulativeDelta cumulativeDelta = OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Bar, 0);
double currentDeltaForBar = cumulativeDelta.DeltaClose[1];
Print("");
Print(Time[0]);
Print(currentDeltaForBar);
if (currentDeltaForBar > 0)
{
PlotBrushes[0][0] = Brushes.Green;
}
else
{
PlotBrushes[0][0] = Brushes.Red;
}
DeltaPlot[0] = currentDeltaForBar;
}

}
//else current bars index is 1 then do work on the cumulative delta
else if (BarsInProgress == 1)
{
// We have to update the secondary series of the hosted indicator to make sure the values we get in BarsInProgress == 0 are in sync
OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Bar, 0).Update(OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Bar, 0).BarsArray[1].Count - 1, 1);
}
}

#region Properties
[Browsable(false)]
[XmlIgnore]
public Series<double> DeltaPlot
{
get { return Values[0]; }
}

#endregion
}

}

However on each new bar I read the last bars cuml volume but the value is always off by about 10% give or take.

As you can see an example of this in screenshot at the close of 16:43:43 bar the cumulative delta read -92, but my log was -83.

If I try to run my indicator OnEachTick, the same thing happens.

Thanks
,
tarik

[NinjaTrader_Kate]

Hello tarikmedjber,

Thank you for your post.

I've revised your script a bit so you're not repeatedly calling the Cumulative Delta and made some minor modifications. Running the attached script set to OnEachTick, I'm seeing the indicator return correct values for the prior bar's CumulativeDelta in real time and historical. Do you see the same with this script?

Thanks in advance; I look forward to assisting you further.

[tarikmedjber]

Absolutely amazing thank you as always Kate.

I’m not at the office right now but I’ll try it out when I get in. Thanks again

[tarikmedjber]

Morning Kate,

That is all working now!

Thans v much

[tarikmedjber]

Hi again,

Okay so it is working in the indicator but if I then call the indicator from a strategy, the strategy is receiving incorrect values?

I've attached the indicator and strategy

Tarik

[NinjaTrader_Kate]

Hello tarikmedjber,

Thank you for your reply.

Try this version - we take the same approach to update the indicator as we do in the indicator itself. I'm seeing this behave in real time after a bar or two how I would expect. Some differences as we transition into real time are to be expected, but once you're there you should see what's returned start to line up correctly.

Please let us know if we may be of further assistance to you.

[tarikmedjber]

Thats working great now thanks Kate Damn OrderFlowCumulativeDelta.