NinjaTrader rolls out “Order Flow +” tools to assist in order flow, volume, market depth analysis

Maria Nikolova

NinjaTrader Order Flow + studies, released with NinjaTrader Version, include Volumetric bars, Cumulative Delta, VWAP, Trade Detector, and Market Depth Map.

In accordance with previous announcements, NinjaTrader – a specialist in trade simulation, advanced charting, market analytics and backtesting, has just released NinjaTrader Version, which includes the first set of “Order Flow +” tools in preview/beta.

The NinjaTrader Order Flow + studies are powerful tools to assist in order flow, volume and market depth analysis. They are included for all NinjaTrader lifetime license users.

NinjaTrader Order Flow Volumetric bars offer a detailed ‘x-ray’ view into each price bar’s aggressive buying and selling activity. This technique aims to answer primarily the question which side was the most aggressive at each price level by calculating the delta (that is, the difference) between buying and selling volume.With this value known for each price level in the bar, it is then classified per each session to use it for analysis and emphasizes the buying / selling strength unfolding.

This can be considered as a way of not only saying who ‘won / lost’ the price level’s auction, but also by what margin or strength. This is not a signal in itself per se, but rather a mechanical means to classify the buying vs selling activity at each individual price level and thus allow the trader a more detailed look what happens inside the price bars.

The Order Flow Cumulative Delta is an indicator that accumulates the volume of orders filled at bid and ask prices or up and down ticks throughout the session or bar and compares them to determine buy/sell pressure.

The Order Flow VWAP (Volume Weighted Average Price) reflects the total of the dollars traded for every transaction (price multiplied by number of shares traded) and then divided by the total shares traded for the day. Also included are standard deviation bands.

Image credit: NinjaTrader.

Typically, when using the Order Flow VWAP, users look for purchase signals when the price is below the VWAP. This would indicate that the purchase would be at a lower price than what is the average purchase per share for traders during the VWAP period. The price being below the VWAP can also result in pressure for the market to move back towards the VWAP. The opposite would be true for when the VWAP is above the price.

The Order Flow Trade Detector is an indicator which displays significant trade volume either at a consistent bid/ask level, at price levels, or individual block trades. The marker is colored based on what percent of orders were considered buy or sell orders. Buy volume is volume that occurred at the ask or higher. Sell volume is volume that occurred at the bid or lower.

The Order Flow Market Depth Map is a real-time data indicator that displays the highest market depth volume received at each price level per bar, then maps them to the chart in comparison to other market depth values received within the visible area. It does this by taking the volume range and applies each depth value 1 of 20 opacity values of the selected bid/ask depth colors. The larger the depth volume, the more opacity the area will have.

NinjaTrader 8 is a next-generation trading platform that seeks to offer greater performance and flexibility. NinjaTrader 8 incorporates over 500 changes and enhancements, largely collected from client feedback. It aims to deliver the most advanced trading features for discretionary and automated traders of all levels trading stocks, futures, and Forex.

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