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Gom Order Flow

This document describes additional indicators that can be used with the GOMORDERFLOWPRO indicator in NinjaTrader. It provides details on indicators that expose order flow levels, values, and custom up/down signals without coding. The indicators allow accessing raw order book data and using additional variables in signal formulas.

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nicolo bagi
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© © All Rights Reserved
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Download as PDF, TXT or read online on Scribd
496 views

Gom Order Flow

This document describes additional indicators that can be used with the GOMORDERFLOWPRO indicator in NinjaTrader. It provides details on indicators that expose order flow levels, values, and custom up/down signals without coding. The indicators allow accessing raw order book data and using additional variables in signal formulas.

Uploaded by

nicolo bagi
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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GOMORDERFLOW PRO ADDITIONAL

INDICATORS

DOCUMENTATION OF ORDERFLOW ADDITIONAL INDICATORS

Version 2.3

Copyright Gomex 2016,2017,2018


GOMORDERFLOWPRO-LEVELS

DESCRIPTION

This indicator exposes levels from the orderflow as plots, these levels can be called form custom indicators &
strategies

Each exposed level has 5 associated plots, they are ordered from nearest to farthest from current market close

Example with NakedPOC


SETTINGS

Same as Orderflowpro, see the relevant doc.

Added : Plot POC , Plot SR Zones, Plot Unfinished Auctions to select plots to plot.

EXPOSED PLOTS

NakedPOCHighX : the 5 closest naked POCs above current close.

NakedPocHighBarsAgoX : shows how many bars ago the level N° X was created

NakedPOCLowX, NakedPOCLowBArsAgoX :

Same with low POCs

NakedUAHighX, NakedUAHighXBarsAgo, NakesUALowX, NakesUALowXBarsAgo :

Same with naked Unfinished Auctions


ResistanceInnerX,ResistanceOuterX : 5 closest resistance zones

SupportInnerX,SupportOuterX : same with supports


CONSTRUCTOR NT7

Example (check GomOFNakedPOCSampleStrat)

gofl=GomOrderFlowProLevels(Gom.DeltaLib.DeltaCalcType.UpDownTick,
Gom.OrderFlow.ImbalanceComparisonType.Ratio,Gom.OrderFlow.ImbalanceDirectionType.D
iagonal,3,Gom.OrderFlow.ImbalanceComparisonType.Ratio,Gom.OrderFlow.ImbalanceDirec
tionType.None, 3, -1, 0, -1,0,false, false,
Gom.OrderFlow.SRZoneEndConditionType.FullCandleCross, 1, 0, 3, 1);

CONSTRUCTOR NT8

Example (check GomOFNakedPOCSampleStrat)

gof= GomOrderFlowProLevels(Close, Gom.DeltaLib.DeltaCalcType.BidAsk, -1, 0, 1,


false,Gom.OrderFlow.ImbalanceDirectionType.Diagonal,
Gom.OrderFlow.ImbalanceComparisonType.Ratio, 3,
Gom.OrderFlow.ImbalanceDirectionType.None,
Gom.OrderFlow.ImbalanceComparisonType.Ratio, 3,0,-1, 3, 0,
Gom.OrderFlow.SRZoneEndConditionType.FullCandleCross, 1, false);
GOMORDERFLOWPRO-VALUES

This indicator exposes values and raw ladder data (NEW in 2.3) from the orderflow, which can be used in custom
indicators or strategies

SETTINGS

Same as Orderflowpro, see the relevant doc.

EXPOSED PLOTS

Delta : Delta of the bar


Buys : Total Buys of the Bar
Sells : Total Sells of the Bar
TotalVolume : Total Volume of the Bar
MinDelta : Minimum value reached by the delta on bar creation
MaxDelta : Maximum value reached by the delta on bar creation
HighCOT : Current high COT
LowCOT : Current low COT
Finish : Delta Finish
POCPrice : POC of current bar.
POCVolume : Volume at the POC
IsHighUA : 1 if we have an Unfinished Auction on High of Bar
IsLowUA : 1 if we have an Unfinished Auction on Low of Bar
NbBuyImbalances : Number of Buy Imbalances on the bar
VolBuyImabalances : Total volume of Buy Imbalances
NbSellImbalances : Number of Sell Imbalances
VolSellImbalances : Volume of Sell Imbalances
NbResistZones: Number of Resistance Zones created in the bar
NbSupportZones: Number of Support Zones created in the bar
IsBuyingReversal: 1 if there is a buy reversal signal
IsSellingReversal : 1 if there is a sell reversal signal
IsSupportZoneOnHigh : 1 if a support zone was created on the high of the bar
IsResistanceZoneOnLow: 1 if a resist zone was created on the low of the bar.
IsSellImbalanceOnLow : 1 if there is a sell imbalance on the low of the bar
IsBuyImbalanceOnLow : : 1 if there is a buy imbalance on the low of the bar
IsSellImbalanceOnHigh : 1 if there is a sell imbalance on the high of the bar
IsBuyImbalanceOnHigh : 1 if there is a buy imbalance on the high of the bar
RatioHigh : Ratio of the 2 highest buys
RatioLow : Ratio of the 2 lowest sells.
SellsAtHigh : Volume of Sells at top of bar
BuysAtHigh: Volume of Buys at top of bar
SellsAtLow: Volume of Sells at bottom of bar
BuysAtLow : Volume of Buys at bottom of bar
CONSTRUCTOR NT7

Example (check GomOFDeltaSampleStrat)

gof= GomOrderFlowProValues(true,
Gom.DeltaLib.DeltaCalcType.UpDownTick,Gom.OrderFlow.ImbalanceComparisonType.Ratio
,Gom.OrderFlow.ImbalanceDirectionType.Diagonal, 3,
Gom.OrderFlow.ImbalanceComparisonType.Ratio,Gom.OrderFlow.ImbalanceDirectionType.
None, 3,false, -1,0, -1, 3, 1, 0, Gom.OrderFlow.ReversalPocPositionType.Anywhere,
0, 3, 1);

CONSTRUCTOR NT8

gof=

Example (check GomOFDeltaSampleStrat)

GomOrderFlowProValues(Gom.DeltaLib.DeltaCalcType.BidAsk,false,-1, 0, 1,
Gom.OrderFlow.ImbalanceDirectionType.Diagonal,
Gom.OrderFlow.ImbalanceComparisonType.Ratio, 3,
Gom.OrderFlow.ImbalanceDirectionType.None,
Gom.OrderFlow.ImbalanceComparisonType.Ratio, 3,0,-1, 3, 0, 3, false, 1,
Gom.OrderFlow.ReversalPocPositionType.InDecliningSideHalfOfBar, true);

RAW LADDER DATA API(NEW IN 2.3)

This is intended for advanced developers.

The Values indicator also exposes raw data (buys and sells on each price level) allowing the coding of custom
indicators using the individual buy/sell data.

The exposed property is a collection named BarData, each indvidual bar is accessed using BarData[barsago] like any
other Ninja time series.

On each BarData[i] , you access each lever of price from BarData[i].MinTick to BarData[i].MaxTick

Buys and Sells on each price levels can be accessed using BarData[i].Buys[j] and BarData[i].Sells[j], with
BarData[i].MinTick<=j<=BarData[i].MaxData

2 demo indicators named GomTestBuySell.cs are available in https://www.gomicators.com/download/support-files/.

These indicators compute the maximum buy and maximum sell volume on each bar.
NT7 :

NT8
GOMORDERFLOWPRO-CUSTOMUPDOWNSIGNALS (NINJATRADER ONLY)

This indicator allows creating custom up/down signals using the OrderFloProValues exposed data. Standard
NinjaTrader likes Open, High, Low, Close, Volume can be used as well. No coding is required.

This indicator uses the flee expression evaluator to create custom classes on startup and provide native performance.

See https://archive.codeplex.com/?p=flee and https://github.com/mparlak/Flee

ORDERFLOW SETTINGS

Same as Orderflowpro, see the relevant doc.

GRAPHICAL SETTINGS

Symbol Type : Arrow, Dot ,Diamond,Square,Triangle

Defines the symbol used to show the signals

Price Offset in Ticks :

Defines the offset from bar top/bottom to plot the symbol


SIGNAL SETTINGS

This is where are defined the formulas that define the signals.

Any exposed plot from GomOrderFlowProValues can be used , in addition to High,Low,Open, Close

For instance, the default settings show a delta divergence, formulas are :

Up Formula : Close[0] > Open[0] and Delta[0]<0

Down Formula : Close[0] < Open[0] and Delta[0]>0

New in 2.3 : NinjaTrader indicators can be used as well, so SMA(Close,12)[0] is a valid formula

New in 2.3 You can access the indicator’s own previous values using CustomUpSignal[i] and CustomDownSignal[i]

You can check syntax examples on the provided flee web sites.

Math expressions can also be used, like Abs(Delta[0])


GOMORDERFLOWPRO-CUSTOMUPDOWNSIGNALS (NINJATRADER ONLY)

Like the CustomUpDown indicator, this indicator allows to create custom indicator values with no coding, using values
from the GomOrderFlowValues

ORDERFLOW SETTINGS

Same as Orderflowpro, see the relevant doc.

SIGNAL SETTINGS

This is where are defined the formulas that define the custom value

Any exposed plot from GomOrderFlowProValues can be used , in addition to High,Low,Open, Close

For instance, the default settings show a delta % of the bar

Formula : Delta[0]/Volume[0]*100

New in 2.3 : NinjaTrader indicators can be used as well, so SMA(Close,12)[0] is a valid formula

New in 2.3 You can access the indicator’s own previous values using CustomValue[i]

You can check syntax examples on the provided flee web sites.

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