gbzenobi / csharp-nt8-orderflowkit

Hi I'm Gabriel Zenobi, this is a toolkit that I developed for investment funds, banks and traders of all kinds.

Hello world, Gabriel Zenobi here

I am a Physics student with 1 year and a half of career and 1 year of studies in Data Science, in 2022 I started the degree of Computer Scientist. Im a lover of mathematics, modeling of dynamic systems and simulation. During 2021 I worked in +15 independent projects related to financial markets, researching and developing techniques for the creation of trading systems using Machine Learning and Deep Learning with Python in addition to the Ninjatrader and Metatrader platforms, along with the management of risk metrics using a simulator that I programmed in Cython.

Another of my important works in this area was the creation of a toolkit for investment funds, banks and traders... this is the Order flow, Volume profile, Bookmap, Volume Filter, among others(the Wyckoff method). Even in my search I consider myself a student in this subject and I am looking to work with people who are interested in the use of these technologies applied to the markets(hedge funds, traders, investment banks, etc..) for make algorithmic trading and data science.

Skills

Applied Mathematics
Computer science
Physics
Python
Cython
C++
HTML / CSS / Javascript / PHP
Machine Learning
Ninjatrader8: C#
Metatrader 5: Mql(embedded language), Optimization, Risk metrics(Sharpe, RMSE, Expected Payoff, Drawdown and another factors)
Trading systems developing; Python, Cython, TALib, Machine Learning, Ninjatrader8 and Metatrader 5.
Data Science
Statistics

Social media.

Instagram: www.instagram.com/gab.zenobi/
LinkedIn: www.linkedin.com/in/gabriel-zenobi

csharp-nt8-orderflowkit's Issues

does not match

NT8 does not import this project , warning is: this project is match old version nt???

Unable to install normally, NT8 prompts that the compressed package version is outdated

Unable to install normally, NT8 prompts that the compressed package version is outdated

Indicator fails to plot when Center price on chart is selected in Data Series (heatmap version)

Great indicator. Learning how to get the info I want out of it.
Just found this bug above

POI - POC Lines

Hi gbzenobi !

Thank you very much for your open-source kit !

Can you help me to access the POI & POC Lines - values (a series for public proberties) in realtime, to use that info for a NT8 strategy ?

great job & THX !

Anyone using CSharp-nt8-can use this tool with this ML Startegy?

Hey everyone, I've been trying out a new strategy over the last month, specifically on NinjaTrader 8, and it's been a game-changer. This tool is specially made for NT8, and it’s super straightforward to use. It comes with a strategy that takes any indicator as a feature, and optmizes its trades for the strategy params. If you’re looking to make more informed, effective trading with realtime learning, and ongoing training of the models.
I would say its the latest tech for ML and trading - basically its ML pipeline on orderflow...I have been looking for such products for long time, if anyone knows other products like this let me know!

Their strategy is based on this order flow article - http://tesi.luiss.it/27169/1/701851_PECCHIARI_MATTEO.pdf

Learn more here...

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indicator

Do i need a 3rd party key to use the indicators, i installed the files but are not showing up in the program

Order Flow Chart on Range 30 or lower

These indicators are really great, thanks for creating them.

I have a problem when I add the Order Flow indicator to a Range chart, mainly of 30 or lower.

The previous orders disappear from the chart after a number of seconds, I think it's to do with a new bar being created.

Problem whit CSharp-NT8-OrderFlowKit

hello, and Have a good year 2023 !
I just installed "CSharp-NT8-OrderFlowKit" on my NT8 and when I want to put one of the indicators on a chart, no indicator appears in the list of indicators already present on NT8! I don't understand, I followed the 2 steps correctly: copy the 2 files in ADDONS and copy the 5 files in INDICATORS, then check the replay boxes.
could you help me ?
thanks in advance
Eric

Doesn't import correctly: "Programming errors"

Hi. This software looks excellent. I'm getting an error when I try to install it, and have not been able to get it working.

I copy/pasted the two "add ons" to the AddOns folder, and the other .cs files into the Indicators folder. It's throwing an error that there are programming issues, even if I only put [any] one of the indicators into the Indicators folder. It does NOT throw the error if only the add ons are in the AddOns folder, only getting the error when the indicators have been moved. Am I doing something wrong, or does the code simply need to be updated?

I will likely work on this myself in my spare time, and will update this ticket with an progress.

If anyone has any ideas, please share.

tick grouping for poc

HI,
Feature request
tick grouping for poc and the bigtrade if possible
I am interested only in the candlesticks poc with tick groping example 4 or 5 or 10 ticks
If you show-me where must I modify the code may I can do myself
but if you have time for more advanced, you can do grouping by ticks for the same orderflow, volume analysis profile and Market Volume
thanks for share your work

Request & Thank You!

Hello!
Thank you for your work.
Looks great, I'm trying to figure out how it all works now.
I have a few questions:

1. What is Aggressive level in Volume Filter? I did not find in the code the place where it is calculated.
   Does the Volume Filter indicator filter Volume per trade?
2. For Bookmap + Order book do I need to have a Level 2 subscription?
3. How to call Indicators in a Strategy?
   For example, how to get data from Volume Filter and POC from Volume Profile?
4. How can I change (increase) the size of the Circle or Rectangle in the VolumeFilter? When I do zoom out, Circle or Rectangle are very poorly visible and are lost on the Chart. I use it on 1 min Chart.

Regards,

Indicator doesn't show up right..

@gbzenobi Thanks for sharing this free and making it opensource.. After applying the indicator i am not able to see the order flow.. is there something which i am missing..

The orderflow in chart looks like this

Help! The Order Flow Kit does not show up in NT8 Indicator

Hi All,

I have copied add-ons and indicators to the NT8 folders according to instruction, follow by choose tick replay on the option. After open the 1 minute new chart of ES, the WyckoffRender folder does not show up in Indicator. May I know whether there is any solution? Or I have miss out anything? My NT8 version is 8.1.1.7 64-bit

Thank you.

Feature Request: Imbalance Detection

I came across your work a few days ago and I would like start by thanking you for your contribution to the open source community of traders. Building up on your initial work here, I am interested in exploring the possibility to implement what is showing in the chart screenshot below.

Features shown on this chart are:

• Volume Imbalance Cluster Detection
• Unfinished Auction Detection
• Volume Imbalance Detection
• Bid Volume per Price
• Bid Volume per Bar
• Ask Volume per Price
• Ask Volume per Bar
• Most Traded Price at Each Bar
• Delta per Bar
• Accumulated Delta per Bar
• Bid X Ask, Ask X Bid, Total Volume or Delta Value in Each Cell

Indicator 'OrderFlow': Error on calling 'OnRender' method on bar xxxx: The given key was not present in the dictionary.

Regardless of what kind of bar/candle is used, this error pops up randomly when one candle closes and a new one opens. Would adding thread waiting help with this issue? Perhaps make the code wait until the functions within OnMarketData have completed before the functions within OnRender start?

zoom in

Request & Thank You!

Muchisimas gracias por este trabajo! I wanted to thank you, this is amazing.

I would like to a make two requests or suggestions..

Volume Analysis Profile, this could use Value Area High and Value Area Low lines. Your calculation and painting is perfect, but traditionally it would be ideal to see the lines or have the zone colored.

Order Flow, if we could edit the divider on the bidxask. Instead of just '123x321' it would be great if we could use spaces AND the option to remove the 'x' entirely. It looks cleaner as '123 x 321' but if you use candles inside it looks best without the 'x' and instead just spaces like '123 321'.

Sin pena y sin compromiso! Thank you once again!

Thank you

This is an impressive volume of work. Thanks for sharing it. It's light years ahead of what I was coming up with on my own. So much of the good NinjaTrader code is obfuscated, it's really educational to see such a thorough framework.

Accessing Delta chng variable on each bar?

I found your Order Flow indicator today on GitHub. Amazing work!

I was trying to figure out if the Delta chng is a variable that can be accessed in your indicator. See screenshot attached. I want to access it to use it in a ninjascript strategy I coded.

Futures Session Start

Hi,

Thank you for your toolset! I noticed that the volume profile starts at midnight each day. Can you point me to the lines where I can attempt to set it to when the futures session starts?

Thanks,

Folder Does not show up under indicator

Hi - I followed your instructions as mentioned but somehow the folder Wyckoffrender does not show up on NT8 :(

Bookmap

Gab_zenobi_sess.bm?

OrderFlow works with custom bar type called DeltaBarsType but disappears when the data series shifts.

First of all, thanks so much for putting this out there. This repo is SEXY! I have often wanted to do an orderflow-type of screen with a custom bar type, but knowing how much work it would be I have not done so. Thank you kind stranger for doing all this work. I am a dev with 10 years C# experience and 20 years overall, so I wanted to get this issue on the books, but I will be digging in to figure out what is happening here. Will update you as soon as I know. Looking forward to helping on this project as needed. This is so, so cool!