ReferencesCommonSystem Indicator Methods

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

ParameterDescription
inputIndicator source data (Series<T>)
deltaTypeThe type of data to delta calculates on:
• BidAsk
• UpDownTick
periodThe period in which the delta accumulates:
• Session
• Bar
sizeFilterInput 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 by reference
// 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);
}