Order Flow VWAP values

[claude1]

Is it possible to access the values from the VWAP indicator from NinjaScript?

I would like to access the VWAP value and the Std Dev upper & lower values.

[NinjaTrader_AlanP]

Hello claude1,

Thank you for your note.

Yes, I would suggest opening the strategy builder and on the Conditions and Actions page>Add and under the indicators folder select VWAP or Standard Deviation. You could either reference this via the builder or if you click the unlock code button on the bottom of the strategy builder, you’ll see how its referenced in NinjaScript.
Please see the attached screen shots.

The following YouTube videos you may find helpful getting comfortable with using the strategy builder.

Strategy Builder Intro: 7 Minutes

https://www.youtube.com/watch?v=xpgC3wJTYMk&list=PL3-s3qsUnfLRn04hfjEwcvUJSTB5vDBcC&index=32

Strategy Builder NT8:

https://www.youtube.com/watch?v=HCyt90GAs9k&list=PL3-s3qsUnfLSC7zCAc5ZmVnauWXkWe0Nf&index=10

Please let us know if you need further assistance.

[claude1]

Thanks Alan.

I now see how to call the VWAP indicator & access it's value, but I am interested in accessing the VWAP's Std Dev values, not the Std Dev indicator.

Is that possible?

[NinjaTrader_AlanP]

Hello claude1,

Yes this is possible.

I have attached a screen shot of the intellisense for the OrderFlowVWAP indicator.

You will need to add a secondary data series of type tick for this indicator to work.

Please let us know if you need further assistance.

[Jimmyk]

Can you advise a simple way via strategy builder or code to go long or short when a closing price is above or below a particular standard deviation of the order flow VWAP indicator.

There are 3 upper and 3 lower bands, exactly how can these be incorporated into a strategy. Thanks.

[NinjaTrader_AlanP]

Hello Jimmyk,

This would not be possible in the strategy builder however I will request the ability to select a specific band be added.

I have attached an indicator which demonstrates how you could reference the different plots via the NinjaScript Editor.

For example,

This would be the first upper band,

	Print(ofVWAP.Values[1][0]);

This would be the first lower band,

	Print(ofVWAP.Values[2][0]);

Please let us know if you need further assistance.

[TomTownsend]

Is there a way yet to access these values?
I don't even see a way to access order flow through Strategy Builder.

[NinjaTrader_PaulH]

Hello TomTownsend,

Thanks for your post.

The Order Flow indicators cannot be used in the Strategy Builder.

Here is a link to the help guide for ninjascript access to Order Flow VWAP: https://ninjatrader.com/support/help...flow_vwap2.htm

[chadnash]

Hi Tom,

Sounds like we are working on similar projects haha... I think you have a few options here from my experience using VWAP with NT8 strategies...

1. In the community eco system there is a basic VWAP indicator there. I think I downloaded it here...

https://ninjatrader.com/support/foru...71-vwap-in-nt8

I did a comparison from this indicator and the order flow VWAP 8 and the plot value was the exact same (except color changes in order flow version but same value).

2. You can use the example code in strategies they provide but... if you use visual studio you must add CustomerVendor.scott to your project for visual studio to compile (and updates or compiling again in NinjaTrader will remove this and you have to add it back). I also have to check but performance was much lower for my strategy when adding that order flow VWAP ninjascript... the other disadvantage you get with this option is it doesn’t plot on the chart itself if you’re using that feature in strategy analyzer and want the visual.

So I suggest option 1 and save the special ninjascript code only for the other volumetric code.


Thanks,

Chad

[TomTownsend]

Thanks so much for following up with all this info, Chad, I'll look into it!
I just saw your other post to me, too - yes looks like we are very much on the same track right now