NC OrderFlow CumDelta Description
NC OrderFlow CumDelta is an order flow cumulative delta indicator for NinjaTrader 8, and it comes with the full C# source code. When I first saw the Order Flow Cumulative Delta indicator in the paid version of NinjaTrader 8, I wanted to know the logic behind it. It turns out it's quite simple, so I rebuilt it from scratch to make the magic transparent. One honest note: it resets every session and has no trade size filter.
How it works. The indicator loads a 1-tick series of your chart's instrument and sorts every trade into buying or selling. With Delta Type on UpDownTick (the default), an uptick is buying, a downtick is selling, and an unchanged price keeps the last side. With BidAsk it also loads bid and ask ticks: a trade at or above the ask is buying, at or below the bid selling, and one in between keeps the previous side. Buying volume is added to a running total and selling subtracted, starting from zero each session. Each candle opens at the previous close, its high and low are the extremes of the total during the bar, and it closes at the total. It reads its own tick series, so no Tick Replay is needed, only tick history for the days on your chart.
What you see. Delta candles in their own panel: Up Candle Color (lime) when the total rose during the bar, Down Candle Color (red) when it fell, with wicks and outlines in Wick And Outline Color (dark gray). If the total didn't change, the bar is a flat line. The candles are drawn with SharpDX in OnRender, and their open, high, low and close are also plots in the Data Box. It calculates on each tick, so the current candle moves live.
How to use it. Read the delta candles next to price. When price makes a new high but cumulative delta doesn't, buyers may not be following through, and the same goes for lows. BidAsk needs bid and ask ticks too, so use it when your data has them; UpDownTick only needs trades.
Make it yours. Like all my frameworks, it comes with a code review video, about an hour long, that explains how the delta is collected and how the custom candles are drawn with OnRender. Use it as is, learn from the code, or change it yourself or with AI like Claude. You could add a per-bar reset, a minimum trade size filter, or let your own strategy read the DeltaClose value. A business part builds the candles and a render part draws them, so it's an easy base to build on. Have some good trades!
