Remove the need for enabling tick replay on the data series in order for the indicator to work
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@ -28,8 +28,11 @@ namespace NinjaTrader.NinjaScript.Indicators
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[CategoryOrder("Plots", 2)]
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public class OrderFlowOscillator : Indicator
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{
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private double TradesAtBid = 0;
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private double TradesAtAsk = 0;
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private const int PrimaryBars = 0;
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private const int TickBars = 1;
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private int Buys = 0;
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private int Sells = 0;
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private Series<double> AverageGain;
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private Series<double> AverageLoss;
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@ -40,7 +43,7 @@ namespace NinjaTrader.NinjaScript.Indicators
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{
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Description = @"Credit to @jamestsliu for the idea, though the result is different.";
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Name = "Order Flow Oscillator";
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Calculate = Calculate.OnEachTick;
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Calculate = Calculate.OnBarClose;
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IsOverlay = false;
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DisplayInDataBox = true;
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DrawOnPricePanel = true;
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@ -60,6 +63,9 @@ namespace NinjaTrader.NinjaScript.Indicators
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{
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AddLine(UpperLevelStroke, UpperLevel, "Upper Level");
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AddLine(LowerLevelStroke, LowerLevel, "Lower Level");
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AddDataSeries(Instrument.FullName, new BarsPeriod {
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BarsPeriodType = BarsPeriodType.Tick, Value = 1 }, Bars.TradingHours.Name);
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}
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else if (State == State.DataLoaded)
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{
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@ -70,11 +76,23 @@ namespace NinjaTrader.NinjaScript.Indicators
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protected override void OnBarUpdate()
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{
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if (BarsInProgress == TickBars)
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{
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int currentBar = CurrentBars[1];
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if (BarsArray[1].GetClose(currentBar) <= BarsArray[1].GetBid(currentBar))
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Sells += 1;
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else if (BarsArray[1].GetClose(currentBar) >= BarsArray[1].GetAsk(currentBar))
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Buys += 1;
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}
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if (BarsInProgress != PrimaryBars)
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return;
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if (CurrentBar < 2)
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return;
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// Order Flow Imbalance
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double OFI = TradesAtAsk - TradesAtBid;
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double OFI = Buys - Sells;
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if (CurrentBar < Period)
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{
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@ -92,24 +110,30 @@ namespace NinjaTrader.NinjaScript.Indicators
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double OFI_RSI = 100 - (100 / (1 + RS));
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Oscillator[0] = OFI_RSI;
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Sells = 0;
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Buys = 0;
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}
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/*
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The following method only works with tick replay enabled on the data series:
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protected override void OnMarketData(MarketDataEventArgs marketDataUpdate)
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{
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if (IsFirstTickOfBar)
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{
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TradesAtBid = 0;
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TradesAtAsk = 0;
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Sells = 0;
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Buys = 0;
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}
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if (marketDataUpdate.MarketDataType == MarketDataType.Last)
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{
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if (marketDataUpdate.Price <= marketDataUpdate.Bid)
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TradesAtBid += 1;
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Sells += 1;
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else if (marketDataUpdate.Price >= marketDataUpdate.Ask)
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TradesAtAsk += 1;
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Buys += 1;
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}
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}
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*/
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public override string DisplayName
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{
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