OrderFlow Volumetric Bars

[Foxmark]

Hello,
I am trying to work on a strategy using Values found in the OrderFlow Volume Profile Indicator.
So far all got are null pointer exceptions...
I tried to follow code examples from the documentation,:

[...]
else if (State == State.Configure)
            {
                AddVolumetric("mySelectedSeries", BarsPeriodType.Minute, 5, VolumetricDeltaType.BidAsk, 5);
            }
        }

        protected override void OnBarUpdate()
        {
            NinjaTrader.NinjaScript.BarsTypes.VolumetricBarsType barsType = Bars.BarsSeries.BarsType as
            NinjaTrader.NinjaScript.BarsTypes.VolumetricBarsType;


            Print("Bar index : " + CurrentBar.ToString());
            Print(barsType.Volumes[CurrentBar].GetMaximumVolume(null, out price) + "POC at: " + price);
[...]

Also I would like to be able to read out the highest and lowest Values of a Value Area of a specific bar. In my theory since it can be drawn on a chart, there must be a way to reach the numbers via code... am I missing something?

[NinjaTrader_Jesse]

Hello Foxmark,

Welcome to the support forums.

It looks like you just missed one of the comments in that sample for multi series:

// This sample assumes the Volumetric series is the primary DataSeries on the chart, if you would want to add a Volumetric series to a

// script, you could call AddVolumetric() in State.Configure and then for example use
// NinjaTrader.NinjaScript.BarsTypes.VolumetricBarsTy pe barsType = BarsArray[1].BarsType as
// NinjaTrader.NinjaScript.BarsTypes.VolumetricBarsTy pe;

In this case you need to target the series you want to use.

NinjaTrader.NinjaScript.BarsTypes.VolumetricBarsType barsType = [B]BarsArray[1].BarsType[/B] as
NinjaTrader.NinjaScript.BarsTypes.VolumetricBarsType;

Keep in mind the sample shows CurrentBar being used, that won't be the CurrentBar for your primary series you would need to use CurrentBars[1] or wrap this code in a BarsInProgress condition:

if(BarsInProgress == 1)
{
    //volumetric code here
}

Also I would like to be able to read out the highest and lowest Values of a Value Area of a specific bar. In my theory since it can be drawn on a chart, there must be a way to reach the numbers via code... am I missing something?

Are you asking about a ValueArea indicator or is this something else you are doing on the chart?


I look forward to being of further assistance.

[Foxmark]

Thanks for the quick answer.

I see the error now and will try to change my code as soon as possible.
As for the ValueArea, I attached an example of a chart I got, the chart uses 5 minute bars.
The ValueArea of the middle bar got an upper line at 17,63 and a lower line at 17,55.

The yellow bar should be readable with the above used "GetMaximumVolume(...)" method, but how can I read the blue lines via code?

[NinjaTrader_Jim]

Hello Foxmark,

Thanks for your question.

The volume for other price levels can be found using barsType.Volumes[CurrentBar].GetTotalVolumeForPrice(Close[0]) by specifying the price level of that bar you are looking to read volume on in place of Close[0].

NinjaTrader.NinjaScript.BarsTypes.VolumetricBarsType barsType = Bars.BarsSeries.BarsType as    
NinjaTrader.NinjaScript.BarsTypes.VolumetricBarsType;

if (barsType == null)
    return;

Print("");
Print("CurrentBar: " + CurrentBar);

for (double price = Low[0]; price <= High[0]; price += TickSize)
{
    Print(price + " " + barsType.Volumes[CurrentBar].GetTotalVolumeForPrice(price));
}

We look forward to assisting.

[Foxmark]

Hello, thanks again for an answer. Sadly this is not what I asked.
The Order Flow Volume Profile indicator draws in the Value Area for a bar and marks the price for the upper and lower border of that area. I want to read out those price levels that are already drawn in the Chart.

My current workaround is a manual add up of volumes around the POC price level, since that seems to be the only price level I can reach via code...

[NinjaTrader_Jesse]

Hello Foxmark,

Thank you for the reply.

Currently the ValueArea upper and lower items you had noted are not specifically exposed as properties/methods in the volumetric options. If you have made a workaround that would likely be the best solution at this point.

I look forward to being of further assistance.