How to compute imbalance, to identify when multiple imbalances occurring on one side

[set2win]

I have reviewed the volumetric bars(see link below). With Show Imbalance turned on in the data series on the chart one can see the imbalances highlighted. How does one capture that data or compute it to be able to add it to a strategy? I want to create a condition that sees the multiple imbalances. Let's say 3 + imbalances to set a boolean.

[NinjaTrader_Kate]

Hello set2win,

Thank you for your post.

Currently the imbalance is not exposed for NinjaScript, we do have a feature request in place for that which I have added your vote to: SFT-3586.

As with all feature requests, interest is tracked before implementation is considered, so we cannot offer an ETA or promise of fulfillment. If implemented, it will be noted in the Release Notes page of the Help Guide.

Release Notes — https://ninjatrader.com/support/help...ease_notes.htm

Please let us know if we may be of further assistance to you.

[horacioofman]

Hi. I want to add my vote to support the development of this feature

[NinjaTrader_Kate]

Hello horacioofman,

Thank you for your reply.

I've added a vote to SFT-3586 for you as well.

Please let us know if we may be of further assistance to you.

[horacioofman]

Thanks Kate. It will be usefull to have 2 counts. One for Bid Imbalances, and another for Ask Imbalances. They can probably be added to show/display on the candle statistics area.

[Nyman]

Hello Kate. Please consider my vote to support the development of this feature.

[NinjaTrader_Kate]

Hello Nyman,

Thank you for your reply.

I've added a vote to SFT-3586 for you as well.

Please let us know if we may be of further assistance to you.

[Mindset]

I would like to add my vote for this - currently I can only get info on the bid/ask volume at Close[0]. It would be nice to be able to do some calcs on the fly comparing the two values at EACH level within the bar.
I am sure there must be a way to do it but I can't currently figure it out.

[NinjaTrader_Kate]

Hello Mindset,

Thank you for your reply.

I have added a vote to SFT-3586 on your behalf.

Please let us know if we may be of further assistance to you.

[music_p13]

Can you please add my vote on it? Is there a way to determine programmatically on each tick in Volumetric bars if imbalance appears or disappears on specific side? If it is too much of resource consumption - maybe to have a "Timer" to check it each second?

Thanks

[NinjaTrader_Kate]

Hello music_p13,

Thank you for your reply.

I've added your vote to SFT-3586.

Our page on the Volumetric Bars outlines how the imbalance would be calculated:

https://ninjatrader.com/support/help...metricOverview

https://ninjatrader.com/support/helpGuides/nt8/index.html?order_flow_volumetric_bars.htm#OrderFlowVolumetricOverview

You would have to loop through the price levels, get the volumes for each, and calculate the imbalance at each level as outlined in the link above. While you could do this on each tick, performance may end up being an issue. Using a timer would likely reduce the performance impact.

Please let us know if we may be of further assistance to you.

[iboersma]

Please add my vote NinjaTrader_ChelseaB for adding the Imbalance feature outlined in SFT-3586. This is a critical feature of trading order flow so really should be available for use in a strategy without having to build the logic from scratch (and suffer the performance hits that could be mitigated by Ninjatrader building it native).

[ezrollin]

I'm all for more features. I think NT could hard code a lot of stuff that would really help
Please add my vote

[NinjaTrader_ChelseaB]

Hello ezrollin,

I have submitted your vote for SFT-3586.

Thank you for your feedback.

[mbwh1989]

Please also add my vote to this!