This indicator is based on NinjaTrader’s Order Flow+ Cumulative Delta indicator, but integrates in the price chart instead of showing an extra panel.
In the above chart NinjaTrader’s indicator has been added to the chart for clarity.
The AT CumulativeDelta indicator compares the output from the NinjaTrader indicator and draws a marker on the chart if the price and the delta conflict.
As you can see on the left of the chart the NinjaTrader Cumulative Delta goes down until 02:30, but the price has up as well as down candles.
The AT CumulativeDelta indicator puts arrows above every bullish price candle where the Cumulative Delta is bearish, showing the conflict.
Because this indicator doesn’t show direction, there are no indicator signals.
|Delta type||Bid Ask: Accumulates the volume of orders filled at the bid or less vs ask or more. Orders filled at the ask or more price are considered buying pressure. Orders filled at the bid or less price are considered selling pressure. If the current tick price is between ask and bid, the volume will be recorded to the same pressure as the previous tick.|
Up Down Tick: Accumulates the volume of up ticks vs down ticks. Up ticks are considered buying pressure. Down ticks are considered selling pressure. If the current tick price is the same as the previous tick price, the volume will be recorded to the same pressure as the previous tick.
|Period||Session: Accumulates volume per session|
Bar: Accumulates volume per bar
|Size filter||Input to exclude volume less than the selected value|
|Plots||The style for the Delta up and Delta down symbols on the chart|
This indicator doesn’t send alerts