Order Flow Methods?

[coopgrafik]

Hello!

I'm searching around for a complete list of methods to access Order Flow.

I see some things here and there but I'm not seeing any methods to access imbalance. Specifically, I'd like to count the number of imbalances per bar as a condition. See attachment.

Can you point me to the docs?

Thanks!

P.S. Also, the docs are in frames so I can't figure out how you guys send links. Whenever I try and drop a link here it's just a general holding page, not the detail page I'm referencing. How do you send those direct links to pages?

[NinjaTrader_PaulH]

Hello coopgrafik,

Thanks for your post.

Here are links to the available Ninjascript Methods and properties:

https://ninjatrader.com/support/helpGuides/nt8/?order_flow_cumulative_delta2.htm

https://ninjatrader.com/support/helpGuides/nt8/?order_flow_vwap2.htm

https://ninjatrader.com/support/helpGuides/nt8/?order_flow_volumetric_bars2.htm

To determine the imbalances you would need to iterate through each price level and pull the volume data. There is no direct method for this.

in the help guide, on a sub-page, look to the bottom right of the sub-page for "permalink" what will provide the link to that sub-page.

[coopgrafik]

Thanks for the reply. I ran the trace in the example code for the volumetric bars and got this:

================================================== =====================
Bar: 6587
Trades: 112
Total Volume: 249
Total Buying Volume: 78
Total Selling Volume: 171
Delta for bar: -93
Delta for bar (%): -37.3493975903614
Delta for Close: 9
Ask for Close: 9
Bid for Close: 0
Volume for Close: 9
Maximum Ask: 69 at price: 3915.75
Maximum Bid: 166 at price: 3915.75
Maximum Combined: 235 at price: 3915.75
Maximum Positive Delta: 9
Maximum Negative Delta: -97
Max seen delta (bar): 1
Min seen delta (bar): -96
Cumulative delta (bar): 2063

What I feel like I'm looking for is a method that would return an array of values that would correspond with each tick level on the current bar after it closes. Once I had that, I'd be able to loop through those values and pick out the info I'm looking for and make the comparisons.

When you say, "To determine the imbalances you would need to iterate through each price level and pull the volume data." which specific method are you referring to collect that data? Again, everything I see that is available is a single value. To determine an imbalance I would need bid and ask values for each tick of a bar. Hope that makes sense.

Thanks!

[NinjaTrader_PaulH]

Hello coopgrafik,

Thanks for your reply.

Correct, you will need to cycle through each price level in the bar and use GetAskVolumeForPrice(), GetBidVolumeForPrice()

Here is an example:

for (int i = 0; i <= ((High[0] - Low[0]) / TickSize); i++) // cycle through each tick level
{
long a = barsType1.Volumes[CurrentBar].GetAskVolumeForPrice(High[0] -(i*TickSize)); // start at the top and work down
long b = barsType1.Volumes[CurrentBar].GetBidVolumeForPrice(High[0] -(i*TickSize));
long c = barsType1.Volumes[CurrentBar].GetDeltaForPrice(High[0] -(i*TickSize));
Print ("CB: "+CurrentBar+" Price: "+(High[0] - (i*TickSize))+" BidV: "+b+" AskV: "+a+" delta? "+c);
}

[coopgrafik]

Ok, that was a HUGE leg up. I'm more of a javascript guy so I have C# to deal with and I'm not totally familiar with all the available methods yet so this got me pointed in the right direction.

Thank you so much!

[Phazzotronic]

Hello coopgrafik,

Thanks for your reply.

Correct, you will need to cycle through each price level in the bar and use GetAskVolumeForPrice(), GetBidVolumeForPrice()

Here is an example:

for (int i = 0; i <= ((High[0] - Low[0]) / TickSize); i++) // cycle through each tick level
{
long a = barsType1.Volumes[CurrentBar].GetAskVolumeForPrice(High[0] -(i*TickSize)); // start at the top and work down
long b = barsType1.Volumes[CurrentBar].GetBidVolumeForPrice(High[0] -(i*TickSize));
long c = barsType1.Volumes[CurrentBar].GetDeltaForPrice(High[0] -(i*TickSize));
Print ("CB: "+CurrentBar+" Price: "+(High[0] - (i*TickSize))+" BidV: "+b+" AskV: "+a+" delta? "+c);
}

Thank you! After a bit of search that was exactly what I was looking for. Since Volumetric bars can be calculated with OnBarClose instead of OnEachTick, strategy backtesting and optimization just got a gazillion times faster than using any of the available 3rd party indicators - even if I have to write some internal calculations myself.

Now if only volumetric bars where able to handle custom bar types... but that's for another topic