Read Order Flow Trade Detector Indicator Values in NinjaScript C#

[Mubeen Haider]

Hi,

I need some help about Order Flow Trade Detector Indicator. This indicator plots balls on the chart. When I mouse over an OFTD ball, I can see the 4 metrics "S" (Sell Volume), "B" (Buy Volume), "V" (total volume) and "P" (price) as shown in the attached screen shot.

I'm developing a custom indicator using NinjaScript in NinjaTrader 8. I need to access these values, "S" (Sell Volume), "B" (Buy Volume), "V" (total volume) and "P" (price) in my NinjaScript C# code. I have experienced reading indicator values from the plotted lines on a chart (i.e. I can read values of an SMA plotted line or Stochastic lines from the chart in
NinjaScript). However, I'm not sure whether the Order Flow Trade Detector values can be read from the chart like this or not because it is not plotted as lines.

Please guide me how can I do this. I would be really thankful if it is possible to share some syntax or example/similar code that has relevancy to my need.

Best Regards,
Mubeen Haider

[NinjaTrader_Kate]

Hello Mubeen Haider,

Thank you for your post.

It would not be possible to access the Order Flow + Trade Detector values from NinjaScript. Further, the code for the Order Flow Trade Detector is closed source, so even we in the Support department do not have access to the calculations it uses to get those values.

That being said, I have added a vote for you to a current feature request to allow access to the Order Flow + items that are not currently accessible from NinjaScript. This request is being tracked under the number SFT-4377.

As with all feature requests, interest is tracked before implementation is considered, so we cannot offer an ETA or promise of fulfillment. If implemented, it will be noted in the Release Notes page of the Help Guide.

Release Notes — https://ninjatrader.com/support/help...ease_notes.htm

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

[Mubeen Haider]

Thanks very much dear Kate for your answer. I would be grateful if you could help me a little further.

My objective is to get the buy and sell volume of a bar in the NinjaScript. There exists a function called "AddVolumetric()" as described in this webpage:

https://ninjatrader.com/support/helpGuides/nt8/?addvolumetric.htm

If, in my code, I add an Order Flow Volumetric Bar/Series through AddVolumetric() function and pass the Primary instrument name, Primary BarsPeriodType and BarsPeriodValue to it.
Then I use the "TotalBuyingVolume" and "TotalSellingVolume" properties of the Volumetric bars as mentioned in this webpage:

https://ninjatrader.com/support/helpGuides/nt8/?order_flow_volumetric_bars2.htm

Do you think this would serve as an alternative way of getting the buy/sell volumes shown by Order Flow Trade Detector Indicator values on the chart?
My code will look something like this.

else if (State == State.Configure)
{
AddVolumetric(Instrument.FullName, BarsPeriod.BarsPeriodType, BarsPeriod.Value, VolumetricDeltaType.BidAsk, 1);
}
protected override void OnBarUpdate()
{
if (BarsInProgress == 1)
{
NinjaTrader.NinjaScript.BarsTypes.VolumetricBarsTy pe barsType = BarsArray[1].BarsType as
NinjaTrader.NinjaScript.BarsTypes.VolumetricBarsTy pe;
if (barsType == null)
return;
Print("Total Buying Volume: " + barsType.Volumes[CurrentBar].TotalBuyingVolume);
Print("Total Selling Volume: " + barsType.Volumes[CurrentBar].TotalSellingVolume);
}
}

I welcome if you can suggest a better way of doing this.
Thanks and Best Regards,
Mubeen Haider

[NinjaTrader_Kate]

Hello Mubeen Haider,

Thank you for your reply.

This would be exactly what I'd recommend for getting buy and sell volumes. Alternatively you could sum up ask and bid volumes in OnMarketData, but what you've got would certainly be simpler.

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

[Mubeen Haider]

Hi Kate, Your recommendations have been very helpful for me. I'm so thankful for your guidance. Before we close the discussion, I request you to answer one last question. Rest I have sorted out.

"AddVolumetric(Instrument.FullName, BarsPeriod.BarsPeriodType, BarsPeriod.Value, VolumetricDeltaType.BidAsk, 1)" does not work well when BarsPeriodType is Renko, I mean the chart is Renko based. It gives the following exception:

"System.InvalidOperationException: 'Renko' cannot be used as base bars period type for 'Volumetric'".

Can you help me how to get rid of this exception. I need to add volumetric on a chart where primary Data Series/bar type is based on Renko.
Best Regards,
Mubeen Haider

[NinjaTrader_Kate]

Hello Mubeen,

Thank you for your reply.

It would not be possible to add a Volumetric series with a base BarsPeriodType of Renko. Valid base bars period types for Volumetric bars are as follows:

• BarsPeriodType.Tick
• BarsPeriodType.Volume
• BarsPeriodType.Range
• BarsPeriodType.Second
• BarsPeriodType.Minute
• BarsPeriodType.Day
• BarsPeriodType.Week
• BarsPeriodType.Month
• BarsPeriodType.Year

You would have to have your added Volumetric series use one of these.

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

[villa]

Hi, I’m very interested in having the Order Flow + Trade Detector indicator available for use within NinjaScrypt.

Could someone please add my vote for this new feature request? It is my understanding that this request is being tracked under the number SFT-4377.

Thanks.

[Sergio Villaverde]

Hi, I would also like to have my vote added to the request of having the Order Flow + Trade Detector Indicator available for use within NinjaScript It is my understanding that this request is being tracked under the number SFT-4377.
Thanks.

[NinjaTrader_BrandonH]

Hello villa and Sergio Villaverde,

Thanks for your posts.

I have added your votes for this feature request.

As with all feature requests, interest is tracked before implementation is considered, so we cannot offer an ETA or promise of fulfillment. If implemented, it will be noted in the Release Notes page of the Help Guide.

Release Notes — https://ninjatrader.com/support/help...ease_notes.htm

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