Cummulative delta is not evaluating correcly in strategy

[tkaboris]

Thank you.

I have a question about calculating negative cumulative delta.
In my logic i have
For Longs I have this line and if delta is in negative for example -15200Open - 15000Close, will below formula evaluates correctly or not?
(Deltaclose > Deltaopen)

However for Shorts i have this line and if delta is in negative for example -15000Open - 15200Close, will below formula evaluates correctly or not?
(Deltaclose < Deltaopen)

Also for having cumulative engulfing bar condition, would this be correct?
(Deltaclose < Deltaopen) && (Deltaclose < Math.Min(DeltaopenPr, DeltaclosePr)) - For Shorts
(Deltaclose > Deltaopen) && (Deltaclose > Math.Max(DeltaopenPr, DeltaclosePr)) - For Longs

Please help because I dont think this logic is enough. Thank you

[NinjaTrader_BrandonH]

Hello tkaboris,

Thanks for your note.

If the Deltaclose value is greater than the Deltaopen value then this condition would be true. Based on your example, if the Deltaopen has a value of -15200 and Deltaclose has a value of -15000, the Deltaclose value would be greater than Deltaopen.

In your next example, if the Deltaopen has a value of -15000 and the Deltaclose has a value of -15200, the DeltaOpen would have a value that is greater than the Deltaclose.

Ultimately, to understand if the conditions will evaluate as you are expecting them to, debugging prints must be added to the script (one line above the condition they are being used in) that print out each of the values being used in your condition as previously stated. Note that it would be up to your to come up with the exact logic to accomplish your overall goal.

This means you should add prints to the script outside of the condition to place an order that prints out 'Deltaclose', 'Deltaopen', 'Math.Min(DeltaopenPr, DeltaclosePr)', and 'Math.Max(DeltaopenPr, DeltaclosePr)' to fully understand how each of these values are processing when the script is run.

Below is a link to a forum post that demonstrates how to use prints to understand behavior.

https://ninjatrader.com/support/foru...121#post791121

Let me know if I may assist further.

[tkaboris]

Can someone help me to find out why my strategy is pulling different values for close and open for cumulative delta? Its like it shifts 1 backwards
I have these in my strategy

Deltaclose = myCumulativeDelta.DeltaClose[0];
            Deltaopen = myCumulativeDelta.DeltaOpen[0];
            Deltahigh = myCumulativeDelta.DeltaHigh[0];
            Deltalow = myCumulativeDelta.DeltaLow[0];​

and these values below from indicator

                Values[0][0] =  OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).DeltaOpen[0];
                Values[1][0] =  OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).DeltaHigh[0];
                Values[2][0] =  OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).DeltaLow[0];
                Values[3][0] =  OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).DeltaClose[0];                                
                ​

I think indicator is shifting backwards by 1, Maybe i need to shift this line to +1? how to do that?
Deltaclose = myCumulativeDelta.DeltaClose[0];
I tried this but it shifts back even further
Deltaclose = myCumulativeDelta.DeltaClose[0]+1;

[NinjaTrader_BrandonH]

Hello tkaboris,

Thanks for your note.

Please see the attached simple example script that demonstrates plotting the DeltaOpen, DeltaHigh, DeltaLow, and DeltaClose values from the Order Flow Cumulative Delta indicator on a chart.

We can see in the attached screenshot that the Order Flow Cumulative Delta indicator values match the attached example script's plot values.

If you test the attached script and compare it to the Order Flow Cumulative Delta indicator, do you see the values matching in the Data Box window?

To truly know what is causing the issue it would be necessary to use prints and debug by looking at all of the information the script is using for decisions. To find the exact line(s) of code that is causing values in your script to not match up, you would need to reduce the script by commenting out code and debug by adding prints to narrow in on and locate the offending code.

Note that when identifying an issue, it is extremely important to have extremely simple test scripts and very simple steps to reproduce that only have the bare minimum code necessary to reproduce the behavior without any other code and do not require specific market conditions to reproduce (unless the issue is with specific market conditions).

See the forum post linked below explaining reducing code and debugging by adding prints to understand behavior.
https://ninjatrader.com/support/foru...121#post791121

Let me know if I may assist further.

[tkaboris]

Thank you for response. The problem is that indicator is plotting alright, just like in your example. Thats what i followed. The problem is in my strategy, when I see Prints, I attached above values dont match.
P.S I was asking the same question in different forum

https://forum.ninjatrader.com/forum/ninjatrader-8/strategy-development/1241655-values-from-cumdelta-indicator-are-different-in-strategy

[NinjaTrader_BrandonH]

Hello tkaboris,

Thanks for your notes.

I see in the other forum thread you shared that you are calling AddChartIndicator() in State.Configure.

AddChartIndicator() should be called in State.DataLoaded as seen in the AddChartIndicator help guide page sample code linked below.

AddChartIndicator(): https://ninjatrader.com/support/help...chartindicator

I also see in the other forum thread that your strategy uses Calculate.OnBarClose.

The Order Flow Cumulative Delta indicator uses Calculate.OnEachTick.

If the strategy uses Calculate.OnBarClose, the strategy will only update at the close of each bar. To have the script calculate logic and plot values intrabar, you should run the script using Calculate.OnEachTick so it matches the Order Flow Cumulative Delta indicator. You could try comparing the strategy using Calculate.OnEachTick to the indicator that uses Calculate.OnEachTick to see if values match between the two.

Or, you could set the Order Flow Cumulative Delta indicator to use Calculate.OnBarClose and compare it to your strategy that is using Calculate.OnBarClose to see how the values evaluate.

Note to only direct replies to a single form thread instead of creating multiple forum threads about this same topic. This causes multiple technicians to work the same tickets which may lead to longer response times since each technician would need to find each post to that is related to gather all the information about your inquiry.

Going forward please direct all replies regarding this inquiry to the forum thread you linked to in post # 20 or to this forum thread.

Let me know if I may assist further.

[tkaboris]

hi thank you for response.
- I did put strategy on tick just to see and it displays even more off. I need my strategy to work on barclose, not tick. I understand cumulative uses tick and i basically need just a last value of a bar for cumulative, i dont need wll ticks. Below screenshot displays last cumulative of a bar and its really off
- I also placed addchartindicator in data loaded but still open and close are off.

else if (State == State.DataLoaded)
            {
                myCumulativeDelta = BounceCumDelta();
                AddChartIndicator(BounceCumDelta());​

[NinjaTrader_BrandonH]

Hello tkaboris,

Thanks for your notes.

Unfortunately, since the OrderFlow items are not open source, I would not have any details on why it might not line up with the version you are plotting. It is likely that you would need to add a 1-Tick series to the script and run your strategy with Calculate.OnEachTick.

That said, I have created a simple test strategy that uses Calculate.OnEachTick, adds a 1-Tick additional data series and prints out the plot values of the example script attached in post # 19. We can see in the attached screenshot that the values are matching between the NinjaTrader Order Flow Cumulative Delta indicator and the custom strategy that is accessing a custom indicator. You could consider comparing this example to your script to see where differences might be.

I suggest that you create a very simple example script that contains only the code used to reproduce the issue (all other code is commented out or removed). You could test the very simple test scripts to see exactly how values are evaluating in your logic. You may compare the simple script to a chart window and data box window with no other indicators or strategies added onto the chart to see how that specific indicator or strategy is behaving. Then to find where the offending code might be, you would have to further debug your scripts by reducing code and adding prints.

Let me know if I may assist further.