Issues with "Order Flow Cumulative Delta" in Strategies

[NJA_MC]

I have been working on a strategy and wanted to integrate the "Order Flow Cumulative Delta" indicator into the logic.

After coding, I found the results are inconsistent between having "Tick Replay" selected in the data series dialog box.

With the Tick Replay unselected in the Data Series, I get the expected results with the attached test strategy. I have enclosed the full Data Series setting screenshot to assist in recreating the problem.

OFCDTest  0   m_OFCD.DeltaClose[0] = 0
OFCDTest  1   m_OFCD.DeltaClose[0] = -4139
OFCDTest  2   m_OFCD.DeltaClose[0] = -5645
OFCDTest  3   m_OFCD.DeltaClose[0] = -6545
OFCDTest  4   m_OFCD.DeltaClose[0] = -5519
OFCDTest  5   m_OFCD.DeltaClose[0] = -5559
OFCDTest  6   m_OFCD.DeltaClose[0] = -4613
OFCDTest  7   m_OFCD.DeltaClose[0] = -3729
OFCDTest  8   m_OFCD.DeltaClose[0] = -3775
OFCDTest  9   m_OFCD.DeltaClose[0] = -3724
OFCDTest  10   m_OFCD.DeltaClose[0] = -3498
OFCDTest  11   m_OFCD.DeltaClose[0] = -3950
OFCDTest  12   m_OFCD.DeltaClose[0] = -4276
OFCDTest  13   m_OFCD.DeltaClose[0] = -4207
OFCDTest  14   m_OFCD.DeltaClose[0] = -4890
OFCDTest  15   m_OFCD.DeltaClose[0] = -6287
OFCDTest  16   m_OFCD.DeltaClose[0] = -6383
OFCDTest  17   m_OFCD.DeltaClose[0] = -6392
OFCDTest  18   m_OFCD.DeltaClose[0] = -5093
OFCDTest  19   m_OFCD.DeltaClose[0] = -3225
OFCDTest  20   m_OFCD.DeltaClose[0] = -3756
OFCDTest  21   m_OFCD.DeltaClose[0] = -4572
OFCDTest  22   m_OFCD.DeltaClose[0] = -4784
OFCDTest  23   m_OFCD.DeltaClose[0] = -6702
OFCDTest  24   m_OFCD.DeltaClose[0] = -7071
OFCDTest  25   m_OFCD.DeltaClose[0] = -5975
OFCDTest  26   m_OFCD.DeltaClose[0] = -5538
OFCDTest  27   m_OFCD.DeltaClose[0] = -3616
OFCDTest  28   m_OFCD.DeltaClose[0] = -867
OFCDTest  29   m_OFCD.DeltaClose[0] = -2804
OFCDTest  30   m_OFCD.DeltaClose[0] = -1229
OFCDTest  31   m_OFCD.DeltaClose[0] = -6331
OFCDTest  32   m_OFCD.DeltaClose[0] = -11624
OFCDTest  33   m_OFCD.DeltaClose[0] = -13622
OFCDTest  34   m_OFCD.DeltaClose[0] = -19787
OFCDTest  35   m_OFCD.DeltaClose[0] = -39596
OFCDTest  36   m_OFCD.DeltaClose[0] = -37793
OFCDTest  37   m_OFCD.DeltaClose[0] = -43574
OFCDTest  38   m_OFCD.DeltaClose[0] = -42102
OFCDTest  39   m_OFCD.DeltaClose[0] = -39034
OFCDTest  40   m_OFCD.DeltaClose[0] = -46702
OFCDTest  41   m_OFCD.DeltaClose[0] = -64500
OFCDTest  42   m_OFCD.DeltaClose[0] = -68233
OFCDTest  43   m_OFCD.DeltaClose[0] = -87547
OFCDTest  44   m_OFCD.DeltaClose[0] = -88563
Enabling NinjaScript strategy 'OFCDTest/103044245' :

If I then select the "Tick Replay" option, the DeltaClose value is reported unexpectedly as 0 for each bar as follows:

OFCDTest  0   m_OFCD.DeltaClose[0] = 0
OFCDTest  1   m_OFCD.DeltaClose[0] = 0
OFCDTest  2   m_OFCD.DeltaClose[0] = 0
OFCDTest  3   m_OFCD.DeltaClose[0] = 0
OFCDTest  4   m_OFCD.DeltaClose[0] = 0
OFCDTest  5   m_OFCD.DeltaClose[0] = 0
OFCDTest  6   m_OFCD.DeltaClose[0] = 0
OFCDTest  7   m_OFCD.DeltaClose[0] = 0
OFCDTest  8   m_OFCD.DeltaClose[0] = 0
OFCDTest  9   m_OFCD.DeltaClose[0] = 0
OFCDTest  10   m_OFCD.DeltaClose[0] = 0
OFCDTest  11   m_OFCD.DeltaClose[0] = 0
OFCDTest  12   m_OFCD.DeltaClose[0] = 0
OFCDTest  13   m_OFCD.DeltaClose[0] = 0
OFCDTest  14   m_OFCD.DeltaClose[0] = 0
OFCDTest  15   m_OFCD.DeltaClose[0] = 0
OFCDTest  16   m_OFCD.DeltaClose[0] = 0
OFCDTest  17   m_OFCD.DeltaClose[0] = 0
OFCDTest  18   m_OFCD.DeltaClose[0] = 0
OFCDTest  19   m_OFCD.DeltaClose[0] = 0
OFCDTest  20   m_OFCD.DeltaClose[0] = 0
OFCDTest  21   m_OFCD.DeltaClose[0] = 0
OFCDTest  22   m_OFCD.DeltaClose[0] = 0
OFCDTest  23   m_OFCD.DeltaClose[0] = 0
OFCDTest  24   m_OFCD.DeltaClose[0] = 0
OFCDTest  25   m_OFCD.DeltaClose[0] = 0
OFCDTest  26   m_OFCD.DeltaClose[0] = 0
OFCDTest  27   m_OFCD.DeltaClose[0] = 0
OFCDTest  28   m_OFCD.DeltaClose[0] = 0
OFCDTest  29   m_OFCD.DeltaClose[0] = 0
OFCDTest  30   m_OFCD.DeltaClose[0] = 0
OFCDTest  31   m_OFCD.DeltaClose[0] = 0
OFCDTest  32   m_OFCD.DeltaClose[0] = 0
OFCDTest  33   m_OFCD.DeltaClose[0] = 0
OFCDTest  34   m_OFCD.DeltaClose[0] = 0
OFCDTest  35   m_OFCD.DeltaClose[0] = 0
OFCDTest  36   m_OFCD.DeltaClose[0] = 0
OFCDTest  37   m_OFCD.DeltaClose[0] = 0
OFCDTest  38   m_OFCD.DeltaClose[0] = 0
OFCDTest  39   m_OFCD.DeltaClose[0] = 0
OFCDTest  40   m_OFCD.DeltaClose[0] = 0
OFCDTest  41   m_OFCD.DeltaClose[0] = 0
OFCDTest  42   m_OFCD.DeltaClose[0] = 0
OFCDTest  43   m_OFCD.DeltaClose[0] = 0
OFCDTest  44   m_OFCD.DeltaClose[0] = 0
Enabling NinjaScript strategy 'OFCDTest/103044245'

I even tried a little magic to see if I could force the bar to update in the CD indicator as well (Code is commended out in strategy but here for reference):

			 m_OFCD.Dispatcher.InvokeAsync((Action)(() =>
			{
				m_OFCD.Update();
			}));

Is there a work-around to get this to work or something you guys can on in the indicators to call "Update()" before returning the Open/High/Low/Close data from this indicator?

Thanks

[NinjaTrader_ChelseaB]

Hello NJA_MC,

I've made a test script and I was able to reproduce.

I will report the behavior and provide the test script to our development.

Once I have a tracking ID for this issue I will post this in this thread.

I appreciate your patience.

[NinjaTrader_ChelseaB]

Hello NJA_MC,

Our development is letting me know this behavior should be corrected with the next release of NinjaTrader 8 (8.0.13.0).

After 8.0.13.0 is released, please retest for this behavior and let me know if you are still able to reproduce.

[NJA_MC]

This has been corrected in V13, thank you Chelsea!

[NinjaTrader_ChelseaB]

Hi NJA_MC,

Thanks for testing for the behavior and confirming this was corrected.

Please let me know of any other behavior you find that you feel is incorrect.

[NJA_MC]

I just detected another issue with OFCD I will start a new thread. Under indicators.