Order Flow Cumulative Delta

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Order Flow Cumulative Delta

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Description

An indicator that accumulates the volume of orders filled at bid and ask prices or up and down ticks throughout the session and compares them to determine buy/sell pressure.

 

Syntax

OrderFlowCumulativeDelta(CumulativeDeltaType deltaType, CumulativeDeltaPeriod period, int sizeFilter)

OrderFlowCumulativeDelta(ISeries<double> input, CumulativeDeltaType deltaType, CumulativeDeltaPeriod period, int sizeFilter)

 

Returns Open value

OrderFlowCumulativeDelta(CumulativeDeltaType deltaType, CumulativeDeltaPeriod period, int sizeFilter).DeltaOpen[int barsAgo]

OrderFlowCumulativeDelta(ISeries<double> input, CumulativeDeltaType deltaType, CumulativeDeltaPeriod period, int sizeFilter).DeltaOpen[int barsAgo]

 

Returns High value

OrderFlowCumulativeDelta(CumulativeDeltaType deltaType, CumulativeDeltaPeriod period, int sizeFilter).DeltaHigh[int barsAgo]

OrderFlowCumulativeDelta(ISeries<double> input, CumulativeDeltaType deltaType, CumulativeDeltaPeriod period, int sizeFilter).DeltaHigh[int barsAgo]

 

Returns Low value

OrderFlowCumulativeDelta(CumulativeDeltaType deltaType, CumulativeDeltaPeriod period, int sizeFilter).DeltaLow[int barsAgo]

OrderFlowCumulativeDelta(ISeries<double> input, CumulativeDeltaType deltaType, CumulativeDeltaPeriod period, int sizeFilter).DeltaLow[int barsAgo]

 

Returns Close value

OrderFlowCumulativeDelta(CumulativeDeltaType deltaType, CumulativeDeltaPeriod period, int sizeFilter).DeltaClose[int barsAgo]

OrderFlowCumulativeDelta(ISeries<double> input, CumulativeDeltaType deltaType, CumulativeDeltaPeriod period, int sizeFilter).DeltaClose[int barsAgo]

 

 

Return Value

double; Accessing this method via an index value [int barsAgo] returns the indicator value of the referenced bar.

 

 

Parameters

input

Indicator source data (?)

deltaType

The type of data to delta calculates on:

BidAsk

UpDownTick

period

The period in which the delta accumulates:

Session

Bar

sizeFilter

Input to exclude volume less than the selected value

 

 

Examples

nsCalling the OrderFlowCumulativeDelta() method directly


// A 1 tick data series must be added to OnStateChange() as this indicator runs off of tick data
else if (State == State.Configure)
{
  AddDataSeries(Data.BarsPeriodType.Tick, 1);
}
 
if (BarsInProgress == 0)
{
// Print the close of the cumulative delta bar with a delta type of Bid Ask and with a Session period
Print("Delta Close: " + OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).DeltaClose[0]);
}
else if (BarsInProgress == 1)
{
// We have to update the secondary series of the cached indicator to make sure the values we get in BarsInProgress == 0 are in sync
OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).Update(OrderFlowCumulativeDelta(BarsArray[0], CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0).BarsArray[1].Count - 1, 1);
}

 

nsCalling the OrderFlowCumulativeDelta() method by reference


private OrderFlowCumulativeDelta cumulativeDelta;

 

// A 1 tick data series must be added to OnStateChange() as this indicator runs off of tick data

else if (State == State.Configure)

{

 AddDataSeries(Data.BarsPeriodType.Tick, 1);

}

else if (State == State.DataLoaded)

{

      // Instantiate the indicator

      cumulativeDelta = OrderFlowCumulativeDelta(CumulativeDeltaType.BidAsk, CumulativeDeltaPeriod.Session, 0);

}

 

if (BarsInProgress == 0)

{

      // Print the close of the cumulative delta bar with a delta type of Bid Ask and with a Session period

      Print("Delta Close: " + cumulativeDelta.DeltaClose[0]);

}

else if (BarsInProgress == 1)

{

      // We have to update the secondary series of the hosted indicator to make sure the values we get in BarsInProgress == 0 are in sync

      cumulativeDelta.Update(cumulativeDelta.BarsArray[1].Count - 1, 1);

}