OrderFlowBot is a trading tool designed to leverage order flow data with a customizable ATM strategy. While the bot is most effective for semi-automated trading, assisting traders in optimizing entry points, it also supports full automation for those who prefer a hands-off approach.
With OrderFlowBot, you can create and integrate your own ATM strategies seamlessly. Simply design your strategies, select the one you wish to apply, and let the bot handle the execution—whether you prefer semi-automated or fully automated trading workflows.
OrderFlowBot includes access to imbalances, stacked imbalances, and value areas for each bar which are currently not available with NinjaTrader’s volumetric bars. By combining these tools, OrderFlowBot empowers traders with greater precision and control over their strategies.
Currently, it does require the user to have some basic programming knowledge for creating strategies.
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 and update it to be the same in the OrderFlowBot properties.
You can find the latest release at https://github.com/WaleeTheRobot/order-flow-bot/releases or you can just fork the repository.
Sometimes NinjaTrader will complain about an import failed. You can just open the zip file from the release and copy the OrderFlowBot directory into the Add On directory on your computer after removing the previous OrderFlowBot directory. 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.
There seems to be an issue with NT not entering the OnBarUpdate method when the Enabled is selected in the strategies tab around the accounts and orders tabs. Checking the Enabled while initially loading seems to be the current workaround. This is happening in 8.1.4.0 and seems to persist if you downgrade back to 8.1.3.1.
Install System.Text.Json from Nugget in your IDE.
I've noticed NT having issues between compile and runtime loading dlls if you copy them over to the Custom directory or reference it somewhere else. The ones in the NT directory below should work. Reference those in NinjaScript Editor.
C:\Program Files\NinjaTrader 8\bin\System.Text.Json.dll
C:\Program Files\NinjaTrader 8\bin\System.Memory.dll
This is currently not in the 3.0.0 release, but in the main branch. This section is more advance and you will have to revise the code for your requirement. You have the option to save your trades into a JSON file for further analysis. You also have the option to connect to an external service for analysis. See the Advance properties section when you first load OFB. See Models/TradeAnalysis/StackedImbalances for reference. These are examples that you can use to help build your own metrics for analysis. The StackedImbalances strategy also has examples on how to request and receive data from an external service.
Example external service that uses XGBoost: https://github.com/WaleeTheRobot/stacked-imbalances
This section has options to manage OrderFlowBot, quickly clear other sections and close a trade that was triggered from a strategy.
The Enabled/Disabled button is used for enabling and disabling trading. An ideal scenario is to use this is during economic releases. You can click to disable so the bot doesn't check for entries. You can then enable it again afterwards.
- Enables or disables the bot from looking for strategies
- Enables or disables all other buttons
- Closes ATM positions
Automatically trades the selected strategies for both long and short. This is NOT recommended unless you have a profitable strategy and know what you are doing. Only custom created advanced strategies should be considered if this option is used.
- Disables Reset Direction
- Disables Trigger Strike Price, Long and Short
- Resets Trigger Strike Price, Long and Short
This is useful if you want to see your strategy entries, but want to further analyze for an actual entry. You can manually place the trade when it satisfies your requirements.
- Does not submit an order
- Draws a triangle and plays sound based on triggered strategy
Use this to close an ATM position triggered by a strategy. Note that the close in the Trade Management section will not close manual entries.
- Closes ATM position triggered by a strategy
- Resets the Trigger Strike Price
- Resets selected Long/Short
Resets the Trade Direction section.
Resets the Strategies section.
This section contains the options for triggering a trade direction. No entries will be considered if Long or Short options are not selected. Selecting both Long and Short options will enable the bot to look for both long and short entries.
The trigger strike price acts as the starting point for the strategy to begin seeking an entry. This will be valid if the trigger strike price falls within the high and low of the bar.
This will execute using either the default standard order or the inverse order. For example, if a strategy triggers a long position, a standard order will open a long position. However, if the inverse option is selected, the same long trigger will instead open a short position. This can be useful in range-bound markets where the strategy's signals align with market movements, but the market often rejects the anticipated direction and moves in the opposite way.
Select this to look for long trades. Resets after position exits.
Select this to look for short trades. Resets after position exits.
This does not allow multiple entries on the same bar. However, multiple entries may appear on the same bar when backtesting even though it should in the next bar.
You can backtest your strategies by enabling the backtesting. Entries uses the 1 tick data series for better granularity. You won't be able to use high resolution option.
I'm still deciding how to approach this section to support users without coding skills who want to implement their own custom strategies. For now, I've included the Stacked Imbalance Strategy as a simple example to help you create your own strategies. It doesn't have adjustable properties, so you'll need to modify and compile it yourself if you wish to use or customize it.
This strategy is the common stacked imbalances strategy. It will trigger based on finding stacked imbalances. Note that just because it found a stacked imbalance doesn't mean it cannot revert shortly afterwards causing those stacked imbalances to become invalid. This is just an example strategy to display how to access the databar and technical levels and you should customize it to your own liking.
- Has valid bar count
- Has valid volume
- Triggers at trigger strike price if its used
- Previous bar is bullish
- Current bar is bullish
- Current bar is above fast EMA
- Current delta is above valid delta
- Has valid ask stacked imbalances
- Previous bar is bearish
- Current bar is bearish
- Current bar is below fast EMA
- Current delta is below valid delta
- Has valid bid stacked imbalances
You can design your own custom trading strategy and leverage all the properties of the data bar. To get started, simply create a new file and place it in the Models/Strategies/Implementations directory. Ensure your class inherits from StrategyBase.
For guidance, check out the StackedImbalances class as an example. Once you've completed your implementation, compile the project, and OFB will automatically generate a button for your new strategy in the control panel, giving you greater control over its operation.
You can add your own technical levels. The OrderFlowBot.TechnicalLevels class shows how to add the EMA. This uses the EMA provided by NinjaTrader and adds it to the TechnicalLevels. For guidance, check out how the EMA was created in the Models/TechnicalLevelsModel directory.
