Order Flow Volumetric Bars

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Order Flow Volumetric Bars

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NinjaTrader Order Flow Volumetric bars provide a detailed ‘x-ray’ view into each price bar’s aggressive buying and selling activity. This technique primarily attempts to answer the question which side was the most aggressive at each price level. This is done by calculating the delta (greek for difference) between buying and selling volume (please see the Delta type property explanation below).


With the delta value known for each price level in the bar, it is then classified per each session for analysis and emphasizes the buying / selling strength unfolding. This is done by a gradient coloring approach shading the value cells in the bar, where the level of sensitivity for the gradient can be set via the Shading sensitivity property. The higher this value is set, the finer the gradient can be applied to various levels of strength - the NinjaTrader default is 20 levels.


This can be thought of as a way of not only saying who ‘won / lost’ the price level’s auction, but also by what margin or strength. This is not a signal in itself per se, but rather a mechanical means to classify the buying vs selling activity at each individual price level and thus offer the trader a more detailed look what happens inside the price bars.


A second comparison of buy sell volumes is the Imbalance detection. Here the price level buying and selling volumes are compared diagonally to understand which side of the market was stronger by exceeding the set Imbalance ratio. For example if the buying volume was 1000 contracts and the selling volume diagonal below was 300 then buying Imbalance was detected (assuming a default Imbalance ratio of 1.5). This can be helpful especially if multiple Imbalances 'cluster' close together to form support / resistance areas.


NinjaTrader Order Flow Volumetric bars can provide a large degree of details and facilitate displaying the information in a dynamically sized way, as the text is re-sized as your horizontally or vertically adjust the chart's scale range.


Critical: To perform the delta buy / sell aggressor classification (DeltaType BidAsk), historical bid / ask tick data access by your provider is needed. To see which data providers can offer which type of data in NinjaTrader, please review this table. If your provider could only support 'last' historical tick data, then the classification could still be made using DeltaType UpDownTick mode.


Forex spot data charting is traditionally driven from the bid side only, since no 'true' last exists. Provided values would not represent a centralized auction based market as with stocks or futures - as such Order Flow Volumetric Bars would not be supported on Forex spot data.


tog_minus        Order Flow Volumetric Overview


tog_minus        Order Flow Volumetric Imbalance Customization Example


tog_minus        Order Flow Volumetric Bars parameters


tog_minus        Order Flow Volumetric Values NinjaScript access