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Order Flow Delta Measure


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Order Flow Delta Measure

  #1 (permalink)
 butch1130 
NC
 
Experience: Advanced
Platform: Ninja
Broker: DTNIQ
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Hello,

Looking for some help.

I want to create a simple chart signal marker.

I want it to measure changes over a certain amount in the Order Flow Cumulative Delta Study.

For example, when the measurement of the High to the Close is over 300, draw a chart marker over the high of that Order Flow Cumulative Delta bar.
Opposite for Low to the close over 300, draw signal marker under the low.

I would like the measurement, (in my example it is 300) to be something I can adjust.

I'm guessing that something like this may exist already, but would be willing to pay someone and share the indicator.

Below is an image that explains further.

Thanks very much.

Dave


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  #2 (permalink)
 
Silvester17's Avatar
 Silvester17 
Columbus, OH
Market Wizard
 
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butch1130 View Post
Hello,

Looking for some help.

I want to create a simple chart signal marker.

I want it to measure changes over a certain amount in the Order Flow Cumulative Delta Study.

For example, when the measurement of the High to the Close is over 300, draw a chart marker over the high of that Order Flow Cumulative Delta bar.
Opposite for Low to the close over 300, draw signal marker under the low.

I would like the measurement, (in my example it is 300) to be something I can adjust.

I'm guessing that something like this may exist already, but would be willing to pay someone and share the indicator.

Below is an image that explains further.

Thanks very much.

Dave

that would be an easy task with the tools from @gomi:

https://www.gomicators.com/

here's an example with your logic. just different parameters (1000 instead of 300)




the only thing that's a little different are the markers. I think they need to be on the price panel.
if interested you could take a free trial.

good luck

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  #3 (permalink)
 butch1130 
NC
 
Experience: Advanced
Platform: Ninja
Broker: DTNIQ
Posts: 31 since Aug 2010
Thanks Given: 22
Thanks Received: 13


First, thank you for that. It was almost a great solution.
The problem I'm having is that the Cumulative Delta calculation that Gom uses seems to be different than the Order Flow Cumulative Delta from Ninja.

So, the signals aren't lining up for me.

I do appreciate your response.

Dave

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  #4 (permalink)
 loantelligence 
Syracuse, NY
 
Experience: Intermediate
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Trading: NQ
Posts: 218 since Jan 2011
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Ok, I see you have the order flow cumulative Delta....good...but sometimes the large buyers or sellers bar represents people getting out of the position not buying the position....called exhaustion...so don't assume every large buyer or seller bar that a lot of buyers or sellers are coming into a position....another indicator in the order flow series is the Trade Detector...you will see large orders on your price bars...and it its at the top of a move you will quite often see the opposite happening....price is moving up and then all sorts of buyers show up and the price reverses.. and vice versa....I also add OBV and overlay it on the Cumulative Delta...that tells you if there are buyer or sellers coming or going..

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  #5 (permalink)
Dazzc
Cardiff, UK
 
Posts: 30 since Oct 2020
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loantelligence View Post
Ok, I see you have the order flow cumulative Delta....good...but sometimes the large buyers or sellers bar represents people getting out of the position not buying the position....called exhaustion...so don't assume every large buyer or seller bar that a lot of buyers or sellers are coming into a position....another indicator in the order flow series is the Trade Detector...you will see large orders on your price bars...and it its at the top of a move you will quite often see the opposite happening....price is moving up and then all sorts of buyers show up and the price reverses.. and vice versa....I also add OBV and overlay it on the Cumulative Delta...that tells you if there are buyer or sellers coming or going..

Hi Loan,

I stumbled across this thread as recommended by another user and be interested how you undertake your setups using a range bar for footprint and the OBV with C.Delta. Specifically how you link the OBV and C Delta, and why you think range bars are better for footprint! Hope you don't mind helping. Thank you in advance. Cheers

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  #6 (permalink)
 loantelligence 
Syracuse, NY
 
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Here is an example of Cumulative Delta and OBV...notice I added a bollinger Band to the Cumulative Delta to show the Trend of the movement and you can see when the Cumulative Delta Passes thru the Top band time to buy......I also use unirenko rather than Range...during active times you dont get a lot of fill in the blank areas with Unirenko as you would with slow times....also when the SMAHist is above 3 or below -3...long trigger and sell trigger...now have added TDI to it...when that breaks out of the High or low bars also a trigger...

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  #7 (permalink)
Dazzc
Cardiff, UK
 
Posts: 30 since Oct 2020
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loantelligence View Post
Here is an example of Cumulative Delta and OBV...notice I added a bollinger Band to the Cumulative Delta to show the Trend of the movement and you can see when the Cumulative Delta Passes thru the Top band time to buy......I also use unirenko rather than Range...during active times you dont get a lot of fill in the blank areas with Unirenko as you would with slow times....also when the SMAHist is above 3 or below -3...long trigger and sell trigger...now have added TDI to it...when that breaks out of the High or low bars also a trigger...

Thanks for your reply,

In terms of OBV vs CD are you saying for instance if OBV is testing new highs but C.Delta is lagging behind drastically then this is a signal of a price reversal down? I'm interested in the OBV vs the Price, I'm guessing OBV gives a better indication if a price at a certain level is strong therefore if it is a strong OBV with opositive moves in the C.Delta then this would mean some form of absorption is taking place?

Hope this makes sense. thank you.

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  #8 (permalink)
 SpeculatorSeth   is a Vendor
 
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This can be done without any additional programming or indicators. I see you are using the built in cumulative delta. So first I would add another instance of the indicator and this time change the settings so it shows delta instead of cumulative delta. This will tell you how much change is in that bar. Then you can right click on the chart and go to alerts. Set the alert to trigger on the desired condition and you're good to go.

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  #9 (permalink)
 
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 JonnyBoy 
Montreal, Quebec
 
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TWDsje View Post
This can be done without any additional programming or indicators. I see you are using the built in cumulative delta. So first I would add another instance of the indicator and this time change the settings so it shows delta instead of cumulative delta. This will tell you how much change is in that bar. Then you can right click on the chart and go to alerts. Set the alert to trigger on the desired condition and you're good to go.

I was wondering where this thread was going. I was going to jump in, but you are exactly correct in how this can be achieved.

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  #10 (permalink)
sanjose
chicago, ill
 
Posts: 3 since Sep 2016
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Hi,

Looking for someone to work with on a order flow project. Looking for expert in order flow trading.

We have a great team that has developed a market sentiment meter that categorizes the market in 4 states using end of the day data- complacent-balanced-anxious-conflicted.

With this we want to use research/ analytics of order flow for entry and exit using our MSM.

Any interest let me know.

Thanks

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Last Updated on December 16, 2020


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