Cumulative Delta check

[RookieKiwi]

Hey Team,
Working an a strategy i was wondering if someone could give me the statement to get the value of the cumulative delta total (bid/ask imbalance) of the last bar and bar previous to it? basically i want to have a statement in my strategy where if the past two closed bars delta where both above 20 (or below -20 for short) it will continue on

[RookieKiwi]

I was looking at something like this with shortcdvalue set to -20 but wasnt getting the expected result

if ((OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Bar, 0).DeltaClose[1] <= ShortCDValue)
&& (OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Bar, 0).DeltaClose[2] <= ShortCDValue))

could someone help me please?

[NinjaTrader_ChrisL]

Hi RookieKiwi, thanks for your post.

My test script is printing out previous bars' cumulative delta. Could you test this on your end? The file goes within Documents\NinjaTrader 8\bin\Custom\Indicators

Best regards,
-ChrisL

[RookieKiwi]

I attempted to use a session instead of bar approach like yours without sucess it appears i am unable to access the data of 3 bars ago

7/04/2021 8:10:47 am	Default	Strategy 'CDv2': Error on calling 'OnBarUpdate' method on bar 1: You are accessing an index with a value that is invalid since it is out-of-range. I.E. accessing a series [barsAgo] with a value of 5 when there are only 4 bars on the chart.

also when running the indicator i get a blank slot, demo code below

#region Using declarations
using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using System.Windows;
using System.Windows.Input;
using System.Windows.Media;
using System.Xml.Serialization;
using NinjaTrader.Cbi;
using NinjaTrader.Gui;
using NinjaTrader.Gui.Chart;
using NinjaTrader.Gui.SuperDom;
using NinjaTrader.Gui.Tools;
using NinjaTrader.Data;
using NinjaTrader.NinjaScript;
using NinjaTrader.Core.FloatingPoint;
using NinjaTrader.NinjaScript.Indicators;
using NinjaTrader.NinjaScript.DrawingTools;
#endregion

//This namespace holds Strategies in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Strategies
{
public class CDv2 : Strategy
{
protected override void OnStateChange()
{
if (State == State.SetDefaults)
{
Description = @"Enter the description for your new custom Strategy here.";
Name = "CDv2";
Calculate = Calculate.OnBarClose;
EntriesPerDirection = 1;
EntryHandling = EntryHandling.AllEntries;
IsExitOnSessionCloseStrategy = true;
ExitOnSessionCloseSeconds = 30;
IsFillLimitOnTouch = false;
MaximumBarsLookBack = MaximumBarsLookBack.TwoHundredFiftySix;
OrderFillResolution = OrderFillResolution.Standard;
Slippage = 0;
StartBehavior = StartBehavior.WaitUntilFlat;
TimeInForce = TimeInForce.Gtc;
TraceOrders = false;
RealtimeErrorHandling = RealtimeErrorHandling.StopCancelClose;
StopTargetHandling = StopTargetHandling.PerEntryExecution;
BarsRequiredToTrade = 20;
// Disable this property for performance gains in Strategy Analyzer optimizations
// See the Help Guide for additional information
IsInstantiatedOnEachOptimizationIteration = true;
ShortCDValue = -20;
LongCDValue = 20;
ProfitTake = 3;
StopLoss = 12;
Contracts = 1;
}
else if (State == State.Configure)
{
AddDataSeries(Data.BarsPeriodType.Tick, 1);
SetStopLoss("", CalculationMode.Ticks, StopLoss, false);
SetProfitTarget("", CalculationMode.Ticks, ProfitTake);
}
}

protected override void OnBarUpdate()
{
if (BarsInProgress != 0)
return;

if (CurrentBars[0] < 1)
return;

// Set 1
if ((OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).DeltaClose[1] <= ShortCDValue)
&& (OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).DeltaClose[2] <= ShortCDValue))
{
EnterShort(Convert.ToInt32(Contracts), "");
}

// Set 2
if ((OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).DeltaClose[1] >= LongCDValue)
&& (OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).DeltaClose[2] >= LongCDValue))
{
EnterLong(Convert.ToInt32(Contracts), "");
}

}

#region Properties
[NinjaScriptProperty]
[Range(-50, double.MaxValue)]
[Display(Name="ShortCDValue", Order=1, GroupName="Parameters")]
public double ShortCDValue
{ get; set; }

[NinjaScriptProperty]
[Range(1, int.MaxValue)]
[Display(Name="LongCDValue", Order=2, GroupName="Parameters")]
public int LongCDValue
{ get; set; }

[NinjaScriptProperty]
[Range(1, int.MaxValue)]
[Display(Name="ProfitTake", Order=3, GroupName="Parameters")]
public int ProfitTake
{ get; set; }

[NinjaScriptProperty]
[Range(1, int.MaxValue)]
[Display(Name="StopLoss", Order=4, GroupName="Parameters")]
public int StopLoss
{ get; set; }

[NinjaScriptProperty]
[Range(1, int.MaxValue)]
[Display(Name="Contracts", Order=5, GroupName="Parameters")]
public int Contracts
{ get; set; }
#endregion

}
}

[NinjaTrader_ChrisL]

Hello, thanks for your reply.

The strategy is only checking for one bar one the chart before it starts running. Add this instead:

if (CurrentBars[0] < 2) return;

Best regards,
-ChrisL

[RookieKiwi]

You sir are a gentleman and a scholar thank you for your help