Accessing Order Flow Info

[Bluebeep]

Hi guys,

I’m interested in accessing the Delta (%) values that are found in the table at the bottom of the Order Flow Charts. I want to use these values in my script for further processing.

Do I need to add a DataSeries? Also what is the correct way to access the individual Delta (%) values?

Thanks!

[NinjaTrader_PaulH]

Hello Bluebeep,

Thanks for your post.

I think by Order flow charts you are referring to Volumetric Bars that include the statistics section at the bottom of the chart.

Here is a link to the help guide of Volumetric bars Ninjascript: https://ninjatrader.com/support/help...tric_bars2.htm

The help guide example shows how to access the various data available and provides advice on how to add Volumetric bars if your chart does not use volumetric bars.

[Bluebeep]

Thanks! If I share my script with another person will they require a Lifetime License to be able to run it correctly?

I believe Order Flow (and possibly this Volumetric Data) doesn’t work unless you have a Lifetime License.

Along the same lines, for Backtesting, if I use the free version of NinjaTrader will this Volumetric Data get pulled into the script for processing?

[NinjaTrader_PaulH]

Hello Bluebeep,

Thanks for your reply.

To access the order flow indicators including the volumetric bars either on the chart or through Ninjascript access would require the platform have a lifetime license key installed. In the case of Ninjascript access, when accessed on a non lifetime licenced platform, it will generate a pop-up message to upgrade license and place a red message in the "log" tab of the control center to upgrade.

[Bluebeep]

Hi Paul,

That makes sense, however is there a way for me to calculate the Delta (%), i.e. GetDeltaPercent() without needing Volumetric Bars? I do have a Lifetime License but would still like to know if there is a formula/calculation based on say MarketData that I can use.

[NinjaTrader_PaulH]

Hello Bluebeep,

Thanks for your reply.

The definition of the % delta from the help guide on volumetric is: Delta (%) The bar delta expressed as percentage of volume for the bar.

So you would need the Volume of the bar (you could use VOL for example) as one input. For the bar delta, you can use the free indicator BuySellStrength which plots the difference between buy and sell volume. If you add the indicator to the same chart as the volumetric bars you will see that the plot values line up with the Delta(bar) so you have a way to test this out.

Please note that the BuySellStrength would be considered a real-time only indicator meaning you will only get values with live (or replay) data. If you have historical tick data, then another option will be to turn on Tick Replay to see historical BuySellStrength.

Link to the BuySellStrength indicator: https://ninjatraderecosystem.com/use...ellstrength-2/
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[Bluebeep]

Thanks Paul. I'll dive into it.