Any known issues with using the uptic/dntic aggregation on the OrderFlow Cum Delta?

[forrestang]

Howdy.

This works fine when I'm not connected to data, or even after market hours.

But this AM... I had a moving average... and I applied the indicator described in the title to that SMA... on a 1min chart, 3 days of data... and it absolutely CRUSHED my platform. As in the chart would just be frozen for minutes at a time, and I can't manipulate my charts.

Are there any known issues with this? Any way to alleviate this problem?

[NinjaTrader_Jim]

Hello forrestang,

Thanks for your post.

Up tick/Down tick would not be too different than comparing with bid/ask price, it is once comparison per tick.

Applying this indicator as input to an SMA also would not be too different than simply using the indicator by itself.

I suspect there are other parts of the chart or workspace that may be contributing, but we should keep in mind that Order Flow indicators are resource intensive in nature.

If you have a lot of data on the chart, if Tick Replay is used on the chart, and/or other components added to the chart can all exacerbate the impact brought on by an Order Flow tool.

I would suggest isolating these items first since we are talking about a performance related symptom.

[forrestang]

Just looking here... the indicator itself seems to be resource intensive, but that may not be the biggest problem(see resource)?

I think I may have managed to somewhat isolate the problem?

I opened this up on a different pair, and it seemed to work ok.

I had a SEPERATE chart with a few drawings of boxes on it, and I dupilicated those boxes across charts. When I put the CD on one of those charts, thats when it seemed to cause the problems.

I copied that workspace, but deleted all the drawings, and there seemed to be no real problems at that point.

SO it seems like what was causing the conflict was the copied drawings + the Cum delta.

Does this seem liek a logical thing that could have been causing trouble?

[NinjaTrader_Jim]

Hello forrestang,

From what is shown in the screenshot Order Flow Cumulative Delta is taking a largest portion of the CPU time. While it is written efficiently, it is a resource intensive script, and we are discussing a performance related symptom.

If the drawings were already copied and the chart was responsive up until adding the Order Flow Cumulative Delta indicator, this would point to the work that is done by the indicator to process the data on the chart causing the performance symptom. There are not options to throttle Order Flow Cumulative Delta, but you can adjust the Data Series so there is less to calculate.

As I have tested on my end, I don't experience an issue copying charts with or without this indicator added or with drawing objects added. If you experience with a specific chart you could save it in a separate workspace file and share what steps I can take to reproduce the symptom, and I could give another look. Workspaces are saved in the Documents\NinjaTrader 8\workspaces\ folder.

(Note that we would not have any third party addons installed on our end and for us to best look into a reported issue the test should be set up to show us something specific.)

[forrestang]

...

As I have tested on my end, I don't experience an issue copying charts with or without this indicator added or with drawing objects added. If you experience with a specific chart you could save it in a separate workspace file and share what steps I can take to reproduce the symptom, and I could give another look. Workspaces are saved in the Documents\NinjaTrader 8\workspaces\ folder.

(Note that we would not have any third party addons installed on our end and for us to best look into a reported issue the test should be set up to show us something specific.)

Hello Jim.

I am pretty confident, the problem is the large number of drawings I have on the chart. I do not know

• if the problem is really having those drawings replicated across all of the same instrument charts, + Delta
• OR, if the problem is just having a large number of drawings on a chart(even if not duplicated across multiple charts) + Delta

It's not surprising, if the uptic/dntic data is actually internally creating a 1-tic series that there might be problems occassionally. But in my case the problem seems to be the drawings that cause the issue, as it runs fine if I put it on charts not replicating all those drawings.

Attached is a workspace that might replicate the issue(if the workspace maintains all the drawings). There are plenty of my own indies in here, but I doubt that matters, I am confident the issue is some type of issue with many drawings. I think you might be able to replicate the problem.

Attached is an image of the charts in the work space. I have highlighted several charts in YELLOW, that show the symbol as MES, these charts have the drawings duplicated on all of them. One chart you will see I highlighted magenta, and this chart is the ES, that has no drawings, but also has up/dntick studies on it.

To see if you can replicate the problem, simply switch the symbol of ES, to MES... this should bring all the drawings over to that chart.

Note: couldn't upload .xml files, so put the workspace in a zip file.

FP

[NinjaTrader_Jim]

Hello forrestang,

Thanks for the share, I was able to test the workspace.

There are not any drawing objects when I load the workspace and switch instruments between ES and MES, so I cannot verify. I also see that there are some third party components included with your workspace, and I would not be able to test those for any diagnosis.

When I switch instruments on the MES/ES 15 second chart that has many indicators added, I do not see an issue switching instruments.

I do note that one of the charts is a 3000 volume chart with 90 days to load. This will result in a very long load time since we are working with tick data on that chart. We would then likely be waiting on that tick data to finish loading before we can build a chart with the requested data, so it is possible your long load time was seen since NinjaTrader would be waiting on tick data to load, and then be processed by the Order Flow indicator.