NinjaScript > Language Reference > Common > System Indicator Methods

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

Calling the OrderFlowCumulativeDelta() method directly
// A 1 tick data series must be added to the OnStateChange() as this indicator runs off of tick data else if (State == State.Configure) { AddDataSeries(Data.BarsPeriodType.Tick, 1); } // OnBarUpdate() logic 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); }

Calling the OrderFlowCumulativeDelta() method directly

// A 1 tick data series must be added to the OnStateChange() as this indicator runs off of tick data
else if (State == State.Configure)
{
AddDataSeries(Data.BarsPeriodType.Tick, 1);
}

// OnBarUpdate() logic
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);
}

Calling 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); }

Calling 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

Description

Syntax

Return Value

Parameters

Examples

private OrderFlowCumulativeDelta cumulativeDelta;

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);

}