Calling cumulativeDelta second instrument

[Impeesa]

I have read multiinstrument samples and also cumulativeDelta help. I have tried many combinations and no one works.

I am trying to code an strategy that uses cumulativeDelta from NQ and also from a secondary serie as MNQ. The lines would be:

public class NQ60ORMNQ : Strategy
{
private OrderFlowCumulativeDelta cumulativeDelta;
private OrderFlowCumulativeDelta cumulativeDelta1;

......

protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
DeltaLimit = 75;
DeltaLimit2 = 115;
......

else if (State == State.Configure)
{
AddDataSeries(Data.BarsPeriodType.Tick, 1);
AddDataSeries("MNQ 12-20", Data.BarsPeriodType.Tick, 1, Data.MarketDataType.Last);
}
else if (State == State.DataLoaded)
{
cumulativeDelta = OrderFlowCumulativeDelta(CumulativeDeltaType.BidAs k, CumulativeDeltaPeriod.Bar, 0);
cumulativeDelta1 = OrderFlowCumulativeDelta(BarsArray[4], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Bar, 0);
}
protected override void OnBarUpdate()

if (BarsInProgress == 1 && BarsInProgress == 2)
{
cumulativeDelta.Update(cumulativeDelta.BarsArray[1].Count - 1, 1);
cumulativeDelta1.Update(cumulativeDelta1.BarsArray[2].Count - 1, 1);
}

// Set 1
if (cumulativeDelta.DeltaHigh[1] > DeltaLimit || cumulativeDelta1.DeltaHigh[0] > DeltaLimit2)

{
if (BarsInProgress == 0)
{ "Several Conditions"

Any idea what is wrong there? How can I call second instrument cumulativeDelta?

[NinjaTrader_PaulH]

Hello Impeesa,

Thanks for your post.

This section will never be true because only 1 bars object can call OnBarUpdate at a time:

if (BarsInProgress == 1 && BarsInProgress == 2)
{
cumulativeDelta.Update(cumulativeDelta.BarsArray[1].Count - 1, 1);
cumulativeDelta1.Update(cumulativeDelta1.BarsArray[2].Count - 1, 1);
}

I would suggest something like:

if (BarsInProgress == 1)
{
cumulativeDelta.Update(cumulativeDelta.BarsArray[1].Count - 1, 1);
{
else if (BarsInprogress == 2)
{
cumulativeDelta1.Update(cumulativeDelta1.BarsArray[2].Count - 1, 1);
}

Also, this statement: cumulativeDelta1 = OrderFlowCumulativeDelta(BarsArray[4], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Bar, 0); References BarsArray[4] which i don't see listed.
BarsArray 0 will be the chart bars
BasrArray 1 is AddDataSeries(Data.BarsPeriodType.Tick, 1);
BarsArray 2 is AddDataSeries("MNQ 12-20", Data.BarsPeriodType.Tick, 1, Data.MarketDataType.Last);

Finally, this line, will be run every time OnBarUpdate() is called no matter which series called it.:

if (cumulativeDelta.DeltaHigh[1] > DeltaLimit || cumulativeDelta1.DeltaHigh[0] > DeltaLimit2)

I would recommend reading this section of the help guide to better understand Multi timeframe/instrument programming: https://ninjatrader.com/support/help...nstruments.htm