OrderFlowBot
A bot used for trading order flow with a selected ATM strategy. The recommended way to use OrderFlowBot is semi-automated trading to ASSIST with entries, but fully automated is an option.
OrderFlowBot uses the selected ATM strategy. Just create your ATM strategies and select the one you want to use for the trade. You can create your own strategies and easily hook it to OrderFlowBot for semi-automated or fully automated trading. Indicators can also be created with data from the OrderFlowBot DataBar for usage when the OrderFlowBot is enabled.
Considering that there are some interest in this project, I would like to refactored this project some time and will probably not continue to contribute to this version. The work in progress branch will be in the dev-v3 branch. https://github.com/WaleeTheRobot/order-flow-bot/tree/dev-v3
Important
Requires the lifetime NinjaTrader license for the volumetric data or the Order Flow + subscription.
Make sure Tick Replay is Checked.
Make sure you have ATM strategies.
OrderFlowBot may not work if using a version of NinjaTrader below 8.1.2.1. This is the minimum version supporting features up to C# 8. The below are information about OrderFlowBot usage.
Consider increasing the ticks per level in the data series for less liquid assets.
For developing, you can copy the OrderFlowBot folder into your local NinjaTrader AddOns folder.
For usage, you can download the zip containing the word import in the release page. You can import this zip file similar to importing a normal NinjaTrader Add-On. https://github.com/WaleeTheRobot/order-flow-bot/releases
Issues
Sometimes NinjaTrader will complain about an import failed. You can just open the zip file from the release and copy the OrderFlowBot folder into the Add On folder on your computer after removing the previous OrderFlowBot folder. It's normally located at: C:\Users\<username>\Documents\NinjaTrader 8\bin\Custom\AddOns. Afterwards, open NinjaTrader and click New > NinjaScript Editor. Click the NinjaScript Editor and press F5. It'll take a few seconds and you'll hear a sound. The icon at the bottom left corner of it will disappear when it's done compiling. Close the NinjaScript Editor and you should be good to go.
Control Panel
Trade Management
This section has options to manage OrderFlowBot, quickly clear other sections and close trades.
Enabled/Disabled
Resets all sections and disables or enable the sections. No strategies will be checked when disabled is selected. This can only be activated when there aren't any positions opened.
Auto
Automatically trades the selected strategies for both long and short. Disables the Trade Direction. This is NOT recommended, but is an option. Only custom created advanced strategies should be considered if this option is used. None of the default strategies available for OrderFlowBot are designed for fully automated trading.
Reset Direction
Resets the Trade Direction section.
Reset Strategies
Resets the Strategies section.
Close
Closes any ATM positions created by OrderFlowBot and resets the Trade Direction section.
Alert
This alerts you of the trade by playing a sound and painting triangles instead of executing the trade. Using this will alert you to further analyze the valid trade entry from your strategy and manually enter.
Trade Direction
This section contains the inputs for triggering a trade direction.
Trigger Strike Price
The strike price to trigger the strategy to start looking for an entry. A threshold in the strategies properties section is set to allow for a buffer for triggering. The trigger strike price will only be considered if there is a value set in the input.
Long
Select this to look for long trades.
Short
Select this to look for short trades.
Indicators
Ratios
This indicator shows the bottom divided bid ratios or top divided ask ratios. The ratios will be displayed in color, bold and larger font if it meets the threshold in ValidExhaustionRatio or ValidAbsorptionRatio properies.
Strategies
This section contains the custom created strategies and are dynamically created from the StrategiesConfig. The strategies available are intended to be semi-automated, meaning you select the strategy you want OrderFlowBot to start looking at based on your analysis and OrderFlowBot will assist with finding entries based on the strategy. The default strategies here can be used as examples to create your own custom strategy. More strategies will be considered in the future. Note that a strategy will trigger when the requirements are met, but the requirement may become invalid before the bar completes.
Delta Chaser
This strategy is designed to enter a position based on the delta. Trade the structure with appropriate targets.
Long
- Bullish bar
- Delta >
DeltaChaserDelta
Short
- Bearish bar
- Delta < -
DeltaChaserDelta
Stacked Imbalances
This strategy is the common stacked imbalances strategy.
Long
- Bullish bar
- Open above trigger strike price if trigger strike price is used
- Has valid ask stacked imbalances
Short
- Bearish bar
- Open below trigger strike price if trigger strike price is used
- Has valid bid stacked imbalances
Volume Sequencing
This strategy is triggered based on the sequential increasing volume starting from the top or bottom.
Long
- Bullish bar
- Open above trigger strike price if trigger strike price is used
- Has sequential increasing volume on ask starting from the bottom of bar
Short
- Bearish bar
- Open below trigger strike price if trigger strike price is used
- Has sequential increasing volume on bid starting from the top of bar
Backtesting
You can backtest your strategies by enabling the backtesting. This will use the backtest file name, target and stop where you enabled the backtesting. This will disable the control panel.
Adding Strategies and Indicators
The custom DataBar should be used if you are considering adding strategies and indicators. It takes some of the data from the volumetric bars and creates custom bars that you can also add any additional information to. The default strategies and indicators can be used as a reference.
Advance
OrderFlowBotDataBar
This contains the information from the volumetric data and additional information such as checks for stacked imbalances, ratios, etc. You can use this to access the data to develop your own strategy.
Technical Levels
There is a class called TechnicalLevels that you can pass to your custom strategy for further analysis. There is an example in the strategy implementations folder called PivotFader that you can look at for example usage. It's not enabled and only exists for the example of using the technical levels. It includes a commmented out second data series (5 min). This has to be hard coded and not depdendent on run-time variables per NinjaTrader.
Pivots (Support/Resistance)
This is integrated from https://github.com/WaleeTheRobot/open-auto-trend-support-resistance. Add that as an indicator if you want to visually see the pivots. The last item in the list is the current developing pivot point. The second to the last is the last high or low pivot point.