Obtaining order flow VWAP value from additional data series within a strategy

[burtoninlondon]

Hi,

I am developing a strategy which uses an additional data series. I want to be able to compare the position of the stock of the additional data series in relation to its order flow VWAP value.

I have created a private double variable to store the value of the additional series order flow VWAP

private double additionalSeriesVwapVal;

I have added the additional data series under State == State.Configure

AddDataSeries("ES 03-24", Data.BarsPeriodType.Minute, 5);

I have added this code to OnBarUpdate()

if (BarsInProgress == 1)
    {
        additionalSeriesVwapVal = OrderFlowVWAP(VWAPResolution.Standard, TradingHours.String2TradingHours("US Equities RTH"), VWAPStandardDeviations.None, 1, 2, 3).VWAP[0];
    }​

The problem I have is that the above line of code doesn't store the value from the order flow VWAP. I have tested capturing price data from the additional series by using Closes[1][0] and this works ok but for whatever reason I can't access the VWAp values.

Is it not possible to use the order flow VWAP against an additional data series within a strategy? If it is possible, can you please provide me with some guidance.

Thanks,

Neil

[NinjaTrader_Emily]

Hello Neil,

Thank you for your post.

You mentioned that the line of code doesn't store the value from the Order Flow VWAP. What value do you see in the output if you add a Print? For example:

if (BarsInProgress == 1)
{
Print(Time[0] + " BarsInProgress: " + BarsInProgress + " storing VWAP value: " + OrderFlowVWAP(VWAPResolution.Standard, TradingHours.String2TradingHours("US Equities RTH"), VWAPStandardDeviations.None, 1, 2, 3).VWAP[0]);
additionalSeriesVwapVal = OrderFlowVWAP(VWAPResolution.Standard, TradingHours.String2TradingHours("US Equities RTH"), VWAPStandardDeviations.None, 1, 2, 3).VWAP[0];
Print("VWAP value stored. additionalSeriesVwapVal: " + additionalSeriesVwapVal);
}​​

"Is it not possible to use the order flow VWAP against an additional data series within a strategy?"
Yes, it is possible. There is syntax available that lets you specify the input series. You could use Closes[1][0] as you mentioned, or you could specify the BarsArray. For example:
OrderFlowVWAP(ISeries<double> input, VWAPResolution resolution, TradingHours tradingHoursInstance, VWAPStandardDeviations numStandardDeviations, double sD1Multiplier, double sD2Multiplier, double sD3Multiplier)
OrderFlowVWAP(BarsArray[1], VWAPResolution.Standard, BarsArray[1].TradingHours, VWAPStandardDeviations.Three, 1, 2, 3)

This syntax information is listed in the help guide page here:

https://ninjatrader.com/support/helpGuides/nt8/order_flow_vwap2.htm

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

[burtoninlondon]

NinjaTrader_Emily, thanks for your help, I've got it to work now. By mistake I had

if (BarsInProgress != 0) return;

as my first line in OnBarUpdate() which was preventing me access the additional data series.

Neil