Order Flow Cumulative Delta

[SuperDriveGuy]

Hi,
Thanks for this wonderful indicator!

Is there a way I can get an average size/length of the UP delta bars and separately the DOWN delta bars?

alternatively, is it something I can suggest as an additional feature for this indicator.

Many Thanks,

[NinjaTrader_PatrickG]

You can set the Order Flow Cumulative Delta indicator to 'period = bar' which would then show the calculation for each bar instead of for a session. To do so, follow these steps:

• Right-click on your chart > Indicators
• Select the Cumulative Delta indicator from the 'Configured' list
• Change 'Session' to 'Bars' > OK

Is this what you're looking for? If not, could you elaborate further on exactly what you desire?

[SuperDriveGuy]

You can set the Order Flow Cumulative Delta indicator to 'period = bar' which would then show the calculation for each bar instead of for a session. To do so, follow these steps:

• Right-click on your chart > Indicators
• Select the Cumulative Delta indicator from the 'Configured' list
• Change 'Session' to 'Bars' > OK

Is this what you're looking for? If not, could you elaborate further on exactly what you desire?

Thanks for your response Patrick.

I am actually looking for an AVERAGE over the session of each bar(to be accessed programatically). Hope the screenshot below makes my request clearer

-----
// 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]);
}
----
The above sample code snippet from help guides provides the close value, I am looking for a average over the session, for the UP bars and the DOWN bars.

Thanks

[NinjaTrader_PaulH]

Hello SuperDriveGuy,

Thanks for your reply.

Yes, you could create a custom script where you basically check to see if the bar is an up or down bar, accumulate the delta based on the up or down bar and divide the accumulated (for each side) by the number of up bars and down bars for the average.

If you would like this created for you, we can provide references to 3rd party coders, please let us know.

If you would like us to create a feature request for Average of the upbar delta and Average of the down bar delta, in value or plot form, please let us know.

[SuperDriveGuy]

Hello SuperDriveGuy,

Thanks for your reply.

Yes, you could create a custom script where you basically check to see if the bar is an up or down bar, accumulate the delta based on the up or down bar and divide the accumulated (for each side) by the number of up bars and down bars for the average.

If you would like this created for you, we can provide references to 3rd party coders, please let us know.

If you would like us to create a feature request for Average of the upbar delta and Average of the down bar delta, in value or plot form, please let us know.

Hi Paul,
Thanks for the advice, I have managed to create something very basic, probably not very efficient programming, as a workaround, it will do for me now.
I think it would be useful to the see the AVERAGES plotted as a lines AND also to be able to access them programatically. Please submit this as feature request.
Thanks

[NinjaTrader_PaulH]

Hello SuperDriveGuy,

Thanks for your reply.

I will submit a feature request and will update this thread when I have further information.

[SuperDriveGuy]

Hello SuperDriveGuy,

Thanks for your reply.

I will submit a feature request and will update this thread when I have further information.

Hi Patrick,

I am using a List

-------------
private List<double> upDeltaLength = new List<double>(100);
private List<double> downDeltaLength = new List<double>(100);
OFCDeltaBar = OrderFlowCumulativeDelta(OFCDeltaType,OFCDeltaPeri odBar,0);
------------


---------------
deltaLength=OFCDeltaBar.DeltaClose[0];
if (deltaLength > 0)
{
upDeltaLength.Add(deltaLength);
}
else if(deltaLength < 0)
{
downDeltaLength.Add(deltaLength);
}
Print("Average of UP Delta Bars="+upDeltaLength.Average());
Print("Average of DOWN Delta Bars="+downDeltaLength.Average());
---------------

The issue with this is it does not reset after every session... If I do a List.Clear(), I get an error as sometimes the list has no value when I am accessing it... Is there a cleaner way to do this? maybe using DataSeries? But I can't find the AVERAGE method for it? Any tips will be much appreciated.

Thanks

[NinjaTrader_PaulH]

Hello SuperDriveGuy,

Thanks for your post.

Another approach may be to use double variables to hold the up accumulation, the down accumulation and keep a count of up, a count of down, and simply divide the up accumulation by the up count, divide the down accumulation by the down count and then reset all upon a new session.

[NinjaTrader_PaulH]

Hello SuperDriveGuy,

Just to follow-up.

The feature request is assigned as SFT-3865, "OF+ Cumulative Delta expose/plot Up Bar average and Down Bar average."

Please note that a feature request may or may not be implemented. If implemented it would be noted in the release notes of the NT8 version it was first released in. For your reference, here is a link to the release notes in the help guide: https://ninjatrader.com/support/help...ease_notes.htm

[TopGunNote]

Thanks for your response Patrick.

I am actually looking for an AVERAGE over the session of each bar(to be accessed programatically). Hope the screenshot below makes my request clearer

-----
// 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]);
}
----
The above sample code snippet from help guides provides the close value, I am looking for a average over the session, for the UP bars and the DOWN bars.

Thanks

I'm curious as to what you're trying to do once you get the "Average" calculated.

Can you not simply use two Simple Moving Averages (one plotting Delta High, one plotting Delta Low) and then choose however many "bars you want to average"?

The attached screenshot is from the Delta Bar on a 5 minute chart of 6E using a 12 period setting for the High & Low SMA's (which would equate to a 60 minute average)

If I use a much larger period for the SMA's the resulting number averages out most (if not all) of the "Outliers" but then I have no idea what you need the number to do for you.

[SuperDriveGuy]

I'm curious as to what you're trying to do once you get the "Average" calculated.

Can you not simply use two Simple Moving Averages (one plotting Delta High, one plotting Delta Low) and then choose however many "bars you want to average"?

The attached screenshot is from the Delta Bar on a 5 minute chart of 6E using a 12 period setting for the High & Low SMA's (which would equate to a 60 minute average)

If I use a much larger period for the SMA's the resulting number averages out most (if not all) of the "Outliers" but then I have no idea what you need the number to do for you.

Thanks for your input TopGunNote, I have learnt a lot from some of the indicators you posted. Thank you!

The solution you described is very simple and good.

I just ended up using this...
if (deltaLength > 0)
{
upDeltaLength.Add(deltaLength);
}
else if(deltaLength < 0)
{
downDeltaLength.Add(deltaLength);
}
upDeltaLengthAvg=upDeltaLength.Average();
downDeltaLengthAvg = downDeltaLength.Average();


The idea I had in mind was when using this on a fixed candle length charts e.g. range ... the increasing or decreasing delta length, would indicate which side was being more aggressive, irrespective of the price movement.

Regards

[efeuvejota01]

I have more or less the same issue...
I would like to know the Range (High-Low) of the OFCD bar but i get a weird number that I do not understand what does it mean
Any clue how to solve this issue??
Thank you very much!!!
FVJ
PD: Attached are relevant screenshots....

[NinjaTrader_Emily]

I have more or less the same issue...
I would like to know the Range (High-Low) of the OFCD bar but i get a weird number that I do not understand what does it mean
Any clue how to solve this issue??
Thank you very much!!!
FVJ

Hello FVJ,

Thank you for your note.

To get the range from the Order Flow Cumulative Delta indicator, you could write a script that utilizes the Delta High and Delta Low values rather than the standard High and Low values that are used in the range indicator. Here is the syntax available to access the Delta High and Delta Low as noted in the help guide:

Returns High value -
OrderFlowCumulativeDelta(CumulativeDeltaType deltaType, CumulativeDeltaPeriod period, int sizeFilter).DeltaHigh[int barsAgo]
OrderFlowCumulativeDelta(ISeries<double> input, CumulativeDeltaType deltaType, CumulativeDeltaPeriod period, int sizeFilter).DeltaHigh[int barsAgo]

Returns Low value -
OrderFlowCumulativeDelta(CumulativeDeltaType deltaType, CumulativeDeltaPeriod period, int sizeFilter).DeltaLow[int barsAgo]
OrderFlowCumulativeDelta(ISeries<double> input, CumulativeDeltaType deltaType, CumulativeDeltaPeriod period, int sizeFilter).DeltaLow[int barsAgo]

https://ninjatrader.com/support/helpGuides/nt8/order_flow_cumulative_delta2.htm

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