OrderFlowVWAP values initially not correct

[marcmclean]

When using OrderFlowVWAP in a strategy, the values are not correct when the strategy is initially enabled. After the following message is printed to the output window, the values are correct:

Enabling NinjaScript strategy 'VWAPStrategy1/241469855' : On starting a real-time strategy - StartBehavior=ImmediatelySubmit EntryHandling=All entries EntriesPerDirection=1 StopTargetHandling=Per entry execution ErrorHandling=Stop strategy, cancel orders, close positions ExitOnSessionClose=False SetOrderQuantityBy=Strategy ConnectionLossHandling=Recalculate DisconnectDelaySeconds=10 CancelEntriesOnStrategyDisable=False CancelExitsOnStrategyDisable=False Calculate=On each tick IsUnmanaged=False MaxRestarts=4 in 5 minutes

Is there a way to test for when the OrderFlowVWAP is ready?

Thank you,
Marc

[NinjaTrader_PaulH]

Hello marcmclean,

Thanks for your post and welcome to the NinjaTrader forums!.

What data feed do you connect to?

Are you using standard resolution or tick resolution?

If using tick resolution have you added a 1 tick series and added the update code as shown in the help guide?: https://ninjatrader.com/support/help...flow_vwap2.htm

[marcmclean]

Hello Paul H,

The resolution is Tick:
VWAPValue = OrderFlowVWAP(VWAPResolution.Tick, Bars.TradingHours, VWAPStandardDeviations.Three, 1, 2, 3).VWAP[0];

The data series is in the OnStateChange() function:

else if(State == State.Configure)
{
AddDataSeries(Data.BarsPeriodType.Tick, 1);
}

The update code is in the OnBarUpdate() function:

}else if (BarsInProgress == 1)
{
// We have to update the secondary tick series of the cached indicator using Tick Resolution to make sure the values we get in BarsInProgress == 0 are in sync
OrderFlowVWAP(BarsArray[0], VWAPResolution.Tick, BarsArray[0].TradingHours, VWAPStandardDeviations.Three, 1, 2, 3).Update(OrderFlowVWAP(BarsArray[0], VWAPResolution.Tick, BarsArray[0].TradingHours, VWAPStandardDeviations.Three, 1, 2, 3).BarsArray[1].Count - 1, 1);
}

Is there a way to detect when 'Enabling NinjaScript strategy' message above is written to the output window? The OrderFlowVWAP values are correct after that.

Marc

[NinjaTrader_PaulH]

Hello marcmclean,

Thanks for your reply.

The message would typically be produced when switching from State.Historical to State.RealTime.

What data feed (data provider) do you connect to?

[marcmclean]

Data provider is My Kinetick.

I set a flag when State == State.RealTime and then wait until the flag is set to start using the OrderFlowVWAP values. That seems to work fine.

Thank you for your help,

Marc

[NinjaTrader_PaulH]

Hello marcmclean,

Thanks for your reply.

I would like to investigate this further to understand why your code is returning incorrect values historically.

Can you provide a reduced code simplified example that demonstrates pulling incorrect historical values and the steps needed to recreate on our end?

[marcmclean]

Hi PaulH,

It may be that historic data is correct. I'm only looking at real time data.

Marc

[NinjaTrader_PaulH]

Hello marcmclean,

Thanks for your reply.

The title of the thread is "OrderFlowVWAP values initially not correct" so I would like to better understand what specifically is incorrect so if you can provide a test script that shows incorrect values and the steps to recreate we would be glad to review.