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GOMI all NT7/8 & SC; MP & Orderflow @ Gomicators.com from original GOMI
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GOMI all NT7/8 & SC; MP & Orderflow @ Gomicators.com from original GOMI

  #201 (permalink)
Elite Member
edison new jersey
 
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gomi View Post
Hi everyone,

Here's a new version, 2.1

Added features

* added a "BarsAgo" data series for all levels in GomOrderFlowProLevels, so in a strategy you can use "Fade a Naked POC if it's more than 5 bars old"
* added "IsSupportZoneOnHigh" and "IsResistanceZoneOnLow" levels
* changed the bars to use the "virtual" Open and Close as defined by some bar types (eg PnF)

Bug correction

* corrected a problem on the recorder that would prevent recording when reloading historical data
* corrected an issue on GomMP where on 64bits plateforms the mouse would sometimes not create a custom profile.


Strategies

I'm including 2 strategies working on NT7 and NT8.

*GomOFDeltaSampleStrat that goes long or short if delta > value or delta < -value
*GomOFNakedPOCSampleStrat that fades naked POCs older than 5 bars old on the long side (can't do long and short limit orders in the same strat)

The strategies are for advanced users only and must be downloaded sepratly and installed in NT's Strategy folder.

NB : On NT7 the strategy is set to use UpDownTick as delta mode.

Hope you enjoy :-) , available on https://www.gomicators.com/download/

Hi Gomi, Can you share some backtest results for the strategy with us. What is the success rate (winning trades) for DAX and ES with your strategy GomOFDeltaSampleStrat and GomOFNakedPOCSampleStrat.

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  #202 (permalink)
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No I didn't run any backtest. They are for demo purposes only, to show how to use the orderflow in a strategy if you need it in your own strat.
I'm not expecting a 1 line of code strat to have awesome results, though...

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  #203 (permalink)
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@gomi, @Silvester17

I’m trying to write a script where I can gets alerts when couple of things happen, for instance
a) Long signal alert when we have a negative low COT at Support
b) Short signal alert when we have a positive high COT at Resistance

Looking at your GomiOrderFlowProLevels indicator, it looks like we have 5 levels stored (could no wrong). Based on this I had written a script as below and does not seem to work. Is this even feasible?

Basically I had

(LowCOT[0] < 0 &&
( bar Low[0] <= IsSupportZoneOnHigh[0] ||
bar Low[0] <= IsSupportZoneOnHigh[1] ||
bar Low[0] <= IsSupportZoneOnHigh[2] ||
bar Low[0] <= IsSupportZoneOnHigh[3] ||
bar Low[0] <= IsSupportZoneOnHigh[4] ||
)
)

{
generate alert signal
}

actual script as follows
if (GomOrderFlowProValues(true, Gom.DeltaLib.DeltaCalcType.BidAsk, Gom.OrderFlow.ImbalanceComparisonType.Ratio, 0, 3, Gom.OrderFlow.ImbalanceComparisonType.Ratio, 0, 3, false, Gom.OrderFlow.ImbalanceTypeType.Diagonal, -1, 3, 1, 0, Gom.OrderFlow.ReversalPocPositionType.Anywhere, false, Gom.OrderFlow.SRZoneEndConditionType.FullCandleCross, 1, 0, 3, 1).LowCOT[0] < 0
&&
( Low[0] <= GomOrderFlowProValues(true, Gom.DeltaLib.DeltaCalcType.BidAsk, Gom.OrderFlow.ImbalanceComparisonType.Ratio, 0, 3, Gom.OrderFlow.ImbalanceComparisonType.Ratio, 0, 3, false, Gom.OrderFlow.ImbalanceTypeType.Diagonal, -1, 3, 1, 0, Gom.OrderFlow.ReversalPocPositionType.Anywhere, false, Gom.OrderFlow.SRZoneEndConditionType.FullCandleCross, 1, 0, 3, 1).IsSupportZoneOnHigh[0]
|| Low[0] <= GomOrderFlowProValues(true, Gom.DeltaLib.DeltaCalcType.BidAsk, Gom.OrderFlow.ImbalanceComparisonType.Ratio, 0, 3, Gom.OrderFlow.ImbalanceComparisonType.Ratio, 0, 3, false, Gom.OrderFlow.ImbalanceTypeType.Diagonal, -1, 3, 1, 0, Gom.OrderFlow.ReversalPocPositionType.Anywhere, false, Gom.OrderFlow.SRZoneEndConditionType.FullCandleCross, 1, 0, 3, 1).IsSupportZoneOnHigh[2]
|| Low[0] <= GomOrderFlowProValues(true, Gom.DeltaLib.DeltaCalcType.BidAsk, Gom.OrderFlow.ImbalanceComparisonType.Ratio, 0, 3, Gom.OrderFlow.ImbalanceComparisonType.Ratio, 0, 3, false, Gom.OrderFlow.ImbalanceTypeType.Diagonal, -1, 3, 1, 0, Gom.OrderFlow.ReversalPocPositionType.Anywhere, false, Gom.OrderFlow.SRZoneEndConditionType.FullCandleCross, 1, 0, 3, 1).IsSupportZoneOnHigh[3]
|| Low[0] <= GomOrderFlowProValues(true, Gom.DeltaLib.DeltaCalcType.BidAsk, Gom.OrderFlow.ImbalanceComparisonType.Ratio, 0, 3, Gom.OrderFlow.ImbalanceComparisonType.Ratio, 0, 3, false, Gom.OrderFlow.ImbalanceTypeType.Diagonal, -1, 3, 1, 0, Gom.OrderFlow.ReversalPocPositionType.Anywhere, false, Gom.OrderFlow.SRZoneEndConditionType.FullCandleCross, 1, 0, 3, 1).IsSupportZoneOnHigh[4]
|| Low[0] <= GomOrderFlowProValues(true, Gom.DeltaLib.DeltaCalcType.BidAsk, Gom.OrderFlow.ImbalanceComparisonType.Ratio, 0, 3, Gom.OrderFlow.ImbalanceComparisonType.Ratio, 0, 3, false, Gom.OrderFlow.ImbalanceTypeType.Diagonal, -1, 3, 1, 0, Gom.OrderFlow.ReversalPocPositionType.Anywhere, false, Gom.OrderFlow.SRZoneEndConditionType.FullCandleCross, 1, 0, 3, 1).IsSupportZoneOnHigh[5]
)
)
{

DrawDiamond("lowcotsignal"+CurrentBar,false,0,Low[0],Color.White);

}


Thanks in advance

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GOMI all NT7/8 &amp; SC; MP &amp; Orderflow @ Gomicators.com from original GOMI-gomi-cot-support-reistance.jpg  
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  #204 (permalink)
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Hi,
IsSupportZoneOnHigh is not a price, it's a 0/1 indicator that tells whether there was a support zone created on the bar high or not.

The indicator containing the levels is OrderFlowProLevels, the zones are in the ResistanceInner/Outer1 to 5 pairs (1 is the closest of current price) and the SupportInner/Outer1 to 5 pairs

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  #205 (permalink)
Market Wizard
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Platform: NT 8, TOS
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Silvester17's Avatar
 
Posts: 3,386 since Aug 2009
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imbalance levels

there're many different support/resistance levels traders use. my favorite ones are the vwap and it's sd bands and of course imbalance levels.

here's a good example from today:

vwap

long entry around the second lower sd band, and exit at the first lower sd band

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imbalance levels

the lighter colors are today's imbalance levels (shorter term). the darker colors, in this case the blue support levels, are from daily charts (longer term).
a short trade from today's imbalance would have been a good scalp as well. but I took the long trade from the long term support imbalance.

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  #206 (permalink)
Market Wizard
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one more example from today. very similar to yesterday, only this time on the short side. first we had a short term imbalance to the upside (which I didn't take), then a short imbalance from the daily chart to the downside. the vwap was also in a reasonable position (upper 2nd sd band).

don't want to turn this into a personal journal. also want to make clear that not every imbalance will guaranty a winning trade. it's just another tool that can be used as a confirmation.

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  #207 (permalink)
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Hi guys,

I wanted to mention I was publishing 2 new indicator/studies :

GomRenko for Sierra

This is a study I wrote using Sierra's latest custom bar sdk. The main reason I built it is because I needed a variable tick size to help my trading on Bitmex.
On the crytpo exchanges, there is a taker/maker fee , so you can't really use a fixed target in points, you need a target set in % of the current price.
This is easily achieved in Sierra, but if you use UniRenko bars, you also need the ability to set the tick size of the renko bars as a % of the current price as well. For instance I use 0.05%, so 5 points when Bitcoin is at 10000.

So I wrote my own Renko bars using the original monpere algorithm that the Sierra guys hate :-), and I added a couple cool (?) features
  • Variable tick size as % of the current price. Very useful on Bitmex/cryptocurrency charts
  • Ability to show price gaps (this info is lost with 'normal' Renko bars)
  • Different choices of altering Open and Close prices
  • Display prices at which the next Renko bar will start
  • Allow to enter stop orders on the chart with one click, including auto-trailing.

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GomBang for Sierra and Ninja


GomBang is intented for Breakout trader, it is a MultiTop/MultiTimeFrame indicator. It will
  • Show double/multitop levels along with the number of touches
  • Show on a chart the multitop levels from other charts, allowing correlation and confluence from other time frames.
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A free 14 day trial is available on both.

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  #208 (permalink)
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Hi Guys,

Added a new 2.2 version today of Orderflow.

Custom user defined indicators

Coolest(?) feature is the addition on NinjaTrader of an expression evaluator called Flee, that allows users to build their own indicator values or trading signals with no coding

Any plot exposed by GomOrderFlowValues can be used, so you can use any of Open, High, Low, Delta, Buys, Sells, TotalVolume, MinDelta,MaxDelta, HighCOT, LowCOT, Finish, POCPrice, IsHighUA, IsLowUA, NbBuyImbalances, VolBuyImabalances, NbSellImbalances, VolSellImbalances, NbResistZones, NbSupportZones, IsBuyingReversal, IsSellingReversal, IsSupportZoneOnHigh, IsResistanceZoneOnLow, IsSellImbalanceOnLow, IsBuyImbalanceOnLow, IsSellImbalanceOnHigh, IsBuyImbalanceOnHigh, RatioHigh,RatioLow and combine them in a formula, the expression evaluator will build a class at startup and compile it , so you get the exact same performance as if it had been coded in a custom indicator.

2 indicators are provided :
*CustomValue indicator, that creates custom values indicator, the default setting is the delta % so its Delta[0]/Volume[0]*100.
*CustomUpdownSignals indicator, that will show arrows using 2 formulas you provide. Default is Delta divergence so up formula is Close[0] > Open[0] and Delta[0]<0

Added features
* Changed the Imbalance settings, making them more flexible. Imbalances are now defined by up to 2 criterions, each criterion being a Direction(Horizontal/Diagonal), a Comparison(Ratio,Difference) and a Threshold.
* Also added Winning Side Minimum Size and Losing Side Maximum Size to filter volume on the Imbalances
* Added a couple new calculated values like candle RatioHigh/RatioLow

Sierra Chart
* Studies have 64 build versions and now use Visual Studio 2017 runtime instead of 2010.

There are a little more details on the blog post : https://www.gomicators.com/new-orderflow-2-2-available/

As usual, you can get a free 7 day trial version to explore the new features

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  #209 (permalink)
Market Wizard
Columbus, OH
 
Futures Experience: None
Platform: NT 8, TOS
Favorite Futures: ES
 
Silvester17's Avatar
 
Posts: 3,386 since Aug 2009
Thanks: 4,683 given, 10,529 received


gomi View Post
Hi Guys,

Added a new 2.2 version today of Orderflow.

Custom user defined indicators

Coolest(?) feature is the addition on NinjaTrader of an expression evaluator called Flee, that allows users to build their own indicator values or trading signals with no coding

Any plot exposed by GomOrderFlowValues can be used, so you can use any of Open, High, Low, Delta, Buys, Sells, TotalVolume, MinDelta,MaxDelta, HighCOT, LowCOT, Finish, POCPrice, IsHighUA, IsLowUA, NbBuyImbalances, VolBuyImabalances, NbSellImbalances, VolSellImbalances, NbResistZones, NbSupportZones, IsBuyingReversal, IsSellingReversal, IsSupportZoneOnHigh, IsResistanceZoneOnLow, IsSellImbalanceOnLow, IsBuyImbalanceOnLow, IsSellImbalanceOnHigh, IsBuyImbalanceOnHigh, RatioHigh,RatioLow and combine them in a formula, the expression evaluator will build a class at startup and compile it , so you get the exact same performance as if it had been coded in a custom indicator.

2 indicators are provided :
*CustomValue indicator, that creates custom values indicator, the default setting is the delta % so its Delta[0]/Volume[0]*100.
*CustomUpdownSignals indicator, that will show arrows using 2 formulas you provide. Default is Delta divergence so up formula is Close[0] > Open[0] and Delta[0]<0

Added features
* Changed the Imbalance settings, making them more flexible. Imbalances are now defined by up to 2 criterions, each criterion being a Direction(Horizontal/Diagonal), a Comparison(Ratio,Difference) and a Threshold.
* Also added Winning Side Minimum Size and Losing Side Maximum Size to filter volume on the Imbalances
* Added a couple new calculated values like candle RatioHigh/RatioLow

Sierra Chart
* Studies have 64 build versions and now use Visual Studio 2017 runtime instead of 2010.

There are a little more details on the blog post : https://www.gomicators.com/new-orderflow-2-2-available/

As usual, you can get a free 7 day trial version to explore the new features

that "flee" is absolutely amazing

and if you make a mistake, a popup window will even tell you what's wrong. now you can create your special secret signals without any coding

here're 2 simple examples:

- delta, min delta, max delta, unfinished auction
- imbalance, s/r zones, reversal

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great idea and thanks @gomi

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  #210 (permalink)
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I have just downloaded the V2.1 - how do I update to V2.2? Do I have to remove V2.1, or I just install V2.2 on top of it?

Thanks


gomi View Post
Hi Guys,

Added a new 2.2 version today of Orderflow.

Custom user defined indicators

Coolest(?) feature is the addition on NinjaTrader of an expression evaluator called Flee, that allows users to build their own indicator values or trading signals with no coding

Any plot exposed by GomOrderFlowValues can be used, so you can use any of Open, High, Low, Delta, Buys, Sells, TotalVolume, MinDelta,MaxDelta, HighCOT, LowCOT, Finish, POCPrice, IsHighUA, IsLowUA, NbBuyImbalances, VolBuyImabalances, NbSellImbalances, VolSellImbalances, NbResistZones, NbSupportZones, IsBuyingReversal, IsSellingReversal, IsSupportZoneOnHigh, IsResistanceZoneOnLow, IsSellImbalanceOnLow, IsBuyImbalanceOnLow, IsSellImbalanceOnHigh, IsBuyImbalanceOnHigh, RatioHigh,RatioLow and combine them in a formula, the expression evaluator will build a class at startup and compile it , so you get the exact same performance as if it had been coded in a custom indicator.

2 indicators are provided :
*CustomValue indicator, that creates custom values indicator, the default setting is the delta % so its Delta[0]/Volume[0]*100.
*CustomUpdownSignals indicator, that will show arrows using 2 formulas you provide. Default is Delta divergence so up formula is Close[0] > Open[0] and Delta[0]<0

Added features
* Changed the Imbalance settings, making them more flexible. Imbalances are now defined by up to 2 criterions, each criterion being a Direction(Horizontal/Diagonal), a Comparison(Ratio,Difference) and a Threshold.
* Also added Winning Side Minimum Size and Losing Side Maximum Size to filter volume on the Imbalances
* Added a couple new calculated values like candle RatioHigh/RatioLow

Sierra Chart
* Studies have 64 build versions and now use Visual Studio 2017 runtime instead of 2010.

There are a little more details on the blog post : https://www.gomicators.com/new-orderflow-2-2-available/

As usual, you can get a free 7 day trial version to explore the new features

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


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