OFDelta-VolumetricDelta

[tonynt]

Hello,

I´m confused now about using the Delta with volumetric (to avoid adding Delta with 1 Tick as there is already the volumetric used)

When I have in OFDelta "if(OrderFlowCumulativeDelta1.DeltaClose[0] > OrderFlowCumulativeDelta1.DeltaHigh[1])...

how can I achieve this with volumetric please?

With if(barsType.Volumes[CurrentBars[1]].CumulativeDelta > barsType.Volumes[CurrentBars[1]-1].CumulativeDelta)?

Does "barsType.Volumes[CurrentBars[1]].CumulativeDelta" mean the Close? So with volumetric on can access the Close but not the High, Low and Open of Delta?

Thank you!
Tony

[NinjaTrader_BrandonH]

Hello tonynt,

Thanks for your post.

Please see the attached example scripts demonstrating how to get the Open, High, Low, and Close values when using Volumetric bars and how to get those values using the Order Flow Cumulative Delta. Note that since we are using Calculate.OnEachTick, we need a full realtime bar to get a valid value. Also, note that there may be minor differences between the two.

To get the OHLC values using Volumetric bars, you could do the following as shown in the example script, VolumetricDeltaOHLC.

open = barsType.Volumes[CurrentBar].BarDelta;
high = Math.Max(high, barsType.Volumes[CurrentBar].BarDelta);
low = Math.Min(low, barsType.Volumes[CurrentBar].BarDelta);
close = barsType.Volumes[CurrentBar-1].BarDelta);

See this help guide for more information: https://ninjatrader.com/support/help...tric_bars2.htm

Let us know if we may assist further.

[tonynt]

Hello,

thank you for your reply. This helped me understanding and resolve few ideas but I still have one problem: how can I catch when the close of cumulativedelta is higher/lower than the high/low of cumulativedelta the bar before? I can use if its >/< than the cumulativedelta of the close of the bar before but not >high or <low of cumulativedelta.

Thank you!
Tony

[NinjaTrader_BrandonH]

Hello tonynt,

Thanks for your note.

If you are using the Order Flow Cumulative Delta indicator, you could use a BarsAgo value of 1 when referencing the previous bar Cumulative Delta High/Low value. For example, see below.

Print("Delta High: " + cumulativeDelta.DeltaHigh[1]);
Print("Delta Low: " + cumulativeDelta.DeltaLow[1]);

Also, see this help guide page for more information about using Order Flow Cumulative Delta - https://ninjatrader.com/support/help...ive_delta2.htm

If you are referring to the Volumetric Delta, you could save the current Delta High/Low value to a Series<double> variable called something like highSeries. Then you could compare the Volumetric Delta High/Low value of the previous bar to the Cumulative Delta Close value of the current bar.

See the attached modified version of the previously attached VolumetricDeltaOHLC which demonstrates how to get the CumulativeDelta High/Low value of the previous bar.

And, see this help guide about working with Series<T> objects - https://ninjatrader.com/support/help...t8/seriest.htm

Let us know if we may assist further.