About the value of "Order Flow Cumulative Delta"

[ClauTrade]

Hello,

I have a question about the value of the Order Flow Cumulative Delta.

The oficial detail about it is: "An indicator that accumulates the volume of orders filled at bid and ask prices or up and down ticks throughout the session and compares them to determine buy/sell pressure".

Using VOLUME bar set to 1000 , for every bar are shared 1000 contracts.
Sometimes the value of indicator is grater of the number of contract where the maximun delta value should be same value of the volume.

Below an example with the close session bar (it occurs in other bars too), the delta value is -3125 where the Volume of the bar is 630 contracts.

What precisely does the delta value indicate and what about its calculation?

I would like to know the percentual of delta respect the volume, I can calculate it but if I'm sure that the value are contract shared in bid/ask.

Is there an indicator/instrument that swow Delta % respect Volume?

Many thanks. Rgards
CB

[NinjaTrader_ChelseaB]

Hello CB,

Set the Period to Bar if you want to see the delta of the bar and not the entire cumulative session.

The Delta is the ask volume minus bid volume.

https://ninjatrader.com/support/helpGuides/nt8/index.html?order_flow_cumulative_delta.htm#OrderFlowCumulativeDeltaOverview

https://ninjatrader.com/support/helpGuides/nt8/index.html?order_flow_cumulative_delta.htm#OrderFlowCumulativeDeltaParameters

I am not aware of any indicators that display this value as a percent.

You are wanting this to be a percent of total volume? For example if the ask volume was 26 and the bid volume was 24, with a delta of 2, you are wanting to show 4%?

[ClauTrade]

Hello,

of course, panel 3 in the image is BAR, anyway same result is in SESSION (panel 2) with large of bar (High-Low ... 8151-5026 = 3125).

I send you other img ..maybe more clean (blu line is at 1000 value) ... Basically it should be impossible that the delta is greater that volume...

Look the link you sent ...not work.

About porcent ...in a a BAR if Delta is +500 (700 ask - 200 bid) and the Volume is 1000 I want to show 50% ...

Thanks.

[NinjaTrader_ChelseaB]

Hello ClauTrade,

This can occur if there are several ticks received with the same timestamp. The volume from those ticks can sometimes be included with the previous bar.

https://ninjatrader.com/support/helpGuides/nt8/index.html?multi-time_frame__instruments.htm#WorkingWithMultiTimeFrameObjects