Accessing Cumulative Delta close value in strategy

[burtoninlondon]

Hi,

I am developing a strategy using the NinjaScript Editor and I want to be able to access the Delta Close value from the order flow cumulative delta indicator in my strategy.

I've read the documentation (https://ninjatrader.com/support/help...ive_delta2.htm) and I'm struggling to understand how to implement this.

I need to use the 'BidAsk' delta type with the 'Session' period, I'll be calculating the value on bar close on the 5min timeframe.

Can you help guide me through this?

In addition, I'd like to generate a 50-period SMA of the Delta Close values...any guidance on this too would be appreciated.

Thanks in advance.

Neil

[NinjaTrader_Emily]

Hello Neil,

Thank you for your inquiry.

Working with the Order Flow Cumulative Delta in NinjaScript does require a 1-tick series, so the information on the following page about multi-time frame and instruments is helpful to keep in mind for working with a multi-series script:

https://ninjatrader.com/support/helpGuides/nt8/multi-time_frame__instruments.htm

The examples found on the help guide page for Order Flow Cumulative Delta demonstrate working with a cumulative delta with a bid ask delta type and a session period. Here is the first example, and I have added some additional comments that might be useful to break it down a little further:

// A 1 tick data series must be added to the OnStateChange() as this indicator runs off of tick data
else if (State == State.Configure)
{
  AddDataSeries(Data.BarsPeriodType.Tick, 1);
}


// OnBarUpdate() logic
// When BarsInProgress is 0, that means the primary series is calling OnBarUpdate(). In your case, this would be when the 5-minute bars calls OnBarUpdate()
if (BarsInProgress == 0)
{
// Print the close of the cumulative delta bar with a delta type of Bid Ask and with a Session period
Print("Delta Close: " + OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).DeltaClose[0]);
}
// When BarsInProgress is 1, that means the added 1-tick data series is calling OnBarUpdate.  The Update() method is being used here to update the cumulative delta value to ensure it functions and is calculated properly
else if (BarsInProgress == 1)
{
// We have to update the secondary series of the cached indicator to make sure the values we get in BarsInProgress == 0 are in sync
OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).Update(OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).BarsArray[1].Count - 1, 1);
}
​

The 1-tick series is added with AddDataSeries()

• https://ninjatrader.com/support/help...dataseries.htm

Some of the logic is separated to when BarsInProgress is 0 for the primary series, and other logic is separated to when BarsInProgress is 1 for the added 1-tick data series

• https://ninjatrader.com/support/help...inprogress.htm

There is a note on the OnBarUpdate() page about the Update() method, and an additional note about the cumulative delta indicator on the Update() page:

• https://ninjatrader.com/support/help...nbarupdate.htm
  • "Hosted indicators will need to be accessed by the hosting script to ensure OnBarUpdate functionality. This can be done by: 1) Calling Update on the hosted indicator within the host script, 2) Including a plot in the hosted indicator and accessing the plot in the host script, 3) Including a plot in the hosted indicator and adding the indicator to the chart with AddChartIndicator (strategies only)"
• https://ninjatrader.com/support/help...nt8/update.htm
  • "The additional overload where a bar index and BarsInProgress are specified should only be used when an indicator needs to be updated to a bar index that is not the CurrentBar index. For example, updating an indicator's secondary 1 tick data series to indicator.BarsArray[1].Count - 1, which is not the CurrentBar index. This is required for the proper function of Order Flow Cumulative Delta and Order Flow VWAP"

In addition, I'd like to generate a 50-period SMA of the Delta Close values...any guidance on this too would be appreciated.

One way to do this would be to save the DeltaClose values to a series<double> and then use that series as the input for the SMA indicator. There is more information about using a custom series object here:

https://ninjatrader.com/support/helpGuides/nt8/seriest.htm

You could make your own series, similar to how myDoubleSeries is made on that page, then then the SMA could be calculated when BarsInProgress == 0. I added logic to the prior sample to try and demonstrate this:

private Series<double> myDeltaSeries;

// A 1 tick data series must be added to the OnStateChange() as this indicator runs off of tick data
else if (State == State.Configure)
{
  AddDataSeries(Data.BarsPeriodType.Tick, 1);
}
else if (State==State.DataLoaded)
{
myDeltaSeries = new Series<double>(this);
}


// OnBarUpdate() logic
// When BarsInProgress is 0, that means the primary series is calling OnBarUpdate(). In your case, this would be when the 5-minute bars call OnBarUpdate()
if (BarsInProgress == 0)
{
// Print the close of the cumulative delta bar with a delta type of Bid Ask and with a Session period
Print("Delta Close: " + OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).DeltaClose[0]);
myDeltaSeries[0] = OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).DeltaClose[0];
// Print the value of a 50 period SMA based on the delta close values that we saved to myDeltaSeries
Print("50 period SMA of the delta close values: " + SMA(myDeltaSeries, 50)[0]);
}
// When BarsInProgress is 1, that means the added 1-tick data series is calling OnBarUpdate.  The Update() method is being used here to update the cumulative delta value to ensure it functions and is calculated properly
else if (BarsInProgress == 1)
{
// We have to update the secondary series of the cached indicator to make sure the values we get in BarsInProgress == 0 are in sync
OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).Update(OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).BarsArray[1].Count - 1, 1);
}​​

Please feel free to reach out with any additional questions or concerns.

[burtoninlondon]

Hi NinjaTrader_Emily, that is really helpful. thanks!