Orderflow

Prompt

Assuming you mean **Auction Suite in your NinjaTrader workspace**, it is a collection of five indicators that combines **market profiles, reference levels, VWAP, delta, cumulative delta, and open interest**. I checked the source code and documentation in [AuctionSuite](/C:/Users/Steph/Desktop/ninjatrader/AuctionSuite/README.md). It provides chart analysis and visual highlighting. **The current code does not contain automated entry/exit rules, order submission, or alert calls.** | Indicator | What it displays | Where it appears | |---|---|---| | **Auction TPO** | Time profiles, POC, value area, single prints, initial balance, and other profile structures | Price chart | | **Auction Key Levels** | Daily through yearly opens, highs/lows, midpoints, and retained levels | Price chart | | **Auction VWAP Suite** | Period VWAPs, deviation bands, rolling VWAPs, and prior values | Price chart | | **Auction Delta & OI** | Estimated delta, CVD, unusual-volume coloring, and available open interest | Separate pane, with optional price-bar coloring | | **Auction Bid Ask Flow** | Trade-by-trade delta classification plus the flow/OI features | Separate pane, with optional price-bar coloring | **Auction TPO** TPO means *time-price opportunity*. The profile measures how many time blocks covered each price row. The default block is **30 minutes**. Within each block, every row between the observed high and low receives one count, regardless of how many one-minute candles revisited that row. This means the horizontal profile represents **time coverage**, rather than traded volume. Its main features are: - **POC — Point of Control:** the row with the highest TPO count. When rows tie, the code selects the one closest to the profile’s range midpoint, then the lower row if still tied. - **VAH / VAL — Value Area High and Low:** the boundaries of a contiguous area expanded from POC until it contains the selected share of TPO counts. The default is **69%**. - **Single prints:** interior rows covered by only one time block. These appear as purple zones by default. - **Excess:** consecutive one-count tails of at least two rows. - **Poor high / poor low:** a boundary row visited by two or more time blocks under this implementation. - **Initial balance:** the first **60 minutes** from the applicable session origin. - **Naked POCs:** retained completed-profile POCs that have not subsequently been touched. You can create periodic profiles or fixed/anchored composites. Completed POC and value-area extensions can stop when a later price range touches them. Structure zones also track subsequent fill coverage. The default row resolution is **8 ticks in Coarse mode** and **1 tick in Granular mode**. If a profile exceeds the default **3,000-row** cap, the code increases row size to retain the complete price range. **Important detail:** the calculation uses one-minute high/low ranges. Granular mode gives smaller rows, but cannot reconstruct every actual traded tick within those ranges. **Auction Key Levels** This indicator maintains reference prices independently for the **daily, weekly, monthly, quarterly, and yearly** periods. For each period, you can select: - Current open. - Current high and low. - Previous high and low. - Previous midpoint, calculated as `(high + low) / 2`. - Previous open. - Retained completed-period highs and lows. - Naked opens. A naked open must first be left behind and then remain untouched by subsequent minute ranges. Its formation touch does not invalidate it. Retained levels can disappear after a later touch, or remain extended with **Extend tapped levels** enabled. Display controls include merging nearby labels, shorthand names such as `PDH` and `WO`, price text, label stacking, and separate period colors. By default, all five periods show **opens, previous highs/lows, previous midpoints, and naked opens**. Other fields are selectable. **Auction VWAP Suite** VWAP is calculated from one-minute price samples weighted by their reported volume: `VWAP = sum(price × volume) / sum(volume)` The default price sample is **HLC3**, or `(high + low + close) / 3`. Close, HL2, and OHLC4 are also available. It supports: - Daily, weekly, monthly, quarterly, and yearly VWAP resets. - First and second standard-deviation bands, defaulting to **±1 SD** and **±2 SD**. - A separately selectable period for the bands. - Previous one and two completed-period level sets. - Rolling VWAP windows between **1 and 365 calendar days**. Only daily period VWAP is enabled by default, while the default rolling windows are **7, 30, 90, 180, and 365 days**. There is an important naming distinction: **the VWAP indicator’s `VAH` and `VAL` labels mean VWAP plus/minus the first deviation.** The TPO indicator calculates its value-area boundaries from profile counts. Those are different calculations and can produce different prices. Rolling windows require sufficient minute history. A 365-day VWAP needs 365 days of source history; the label displays **`(partial)`** while the full window is unavailable. **Auction Delta & OI** This is the standard flow indicator. Its delta is explicitly a **lower-timeframe estimate**. For each selected lower-timeframe candle: - A candle closing above its open contributes positive volume. - A candle closing below its open contributes negative volume. - A doji inherits the preceding direction. For example, a positive one-minute candle reporting 500 contracts contributes **+500 estimated delta**. That does not establish that all 500 contracts traded at the ask. **CVD**, or cumulative volume delta, adds these signed contributions together. It resets at the configured session anchor by default. The indicator can show delta columns, CVD candles, or both within the same pane. Delta spike highlighting has three default thresholds: **1.5, 2.5, and 3.5**. The calculation method determines what those numbers mean: | Method | Calculation | |---|---| | **Relative**, the default | Absolute current delta divided by the preceding mean absolute delta; default window 20 bars | | **Average** | The same ratio using a separate SMA window; default 300 bars | | **ZScore** | Distance of absolute current delta from the preceding mean, measured in standard deviations; default 50 bars | The current bar is excluded from these baselines. Under Relative mode, a reading of **2.5** means absolute delta is 2.5 times its preceding average. Its RVOL coloring uses a **volume Z-score**, with default tiers of **2 and 3 standard deviations**. If multiple color rules apply, delta coloring overrides RVOL, and enabled OI coloring overrides both. **Auction Bid Ask Flow** This companion uses individual trade events: - Trades at or above the ask contribute positive delta. - Trades at or below the bid contribute negative delta. - Inside-spread trades use the last-price tick rule. - An initial trade that cannot be classified contributes zero delta. It is more directly tied to trade and quote events than the candle-direction estimate. Its accuracy still depends on the data supplied to NinjaTrader. The package specifies **Tick Replay for historical trade delta** on a supported chart, or live market data for live operation. This edition has no secondary minute series and defaults to calculation on each tick. **Open interest** The flow indicators use actual provider open-interest events or an optional historical CSV. **They do not substitute traded volume for missing OI.** Available features include OI candles, OI RSI, change markers, optional bar/background coloring, and a notional display calculated as: `OI × price × instrument point value` The default OI change threshold is **5%**, and the default OI RSI length is **20 observations**. Missing OI displays an unavailable message. If the provider supplies infrequent updates, the indicator carries forward the last known value between observations. The “pump” and “dump” markers identify qualifying increases or decreases in OI; the code does not determine which participant opened or closed a position. **Sessions, updating, and current validation** The suite defaults to **Eastern time**, with an **18:00 session anchor**. The TPO filters include ETH **18:00–17:00** and RTH **09:30–16:00**. Those RTH defaults are intended for equity-market hours and need adjustment for instruments with different sessions. TPO, Key Levels, VWAP, and estimated delta request a **one-minute source series**. Their default calculation setting is `OnBarClose`, so their minute-derived values update as source minute bars close. Developing profiles, VWAPs, and current-period extremes continue changing as new data arrives. The workspace’s [validation record](/C:/Users/Steph/Desktop/ninjatrader/AuctionSuite/VALIDATION.md) reports: - A successful compile against installed **NinjaTrader 8.1.8.3**, with zero warnings and errors. - **26 passing deterministic calculation fixtures**. - A successful offscreen rendering check using the shared drawing code. - **No completed import/chart-runtime test inside a running NinjaTrader chart.** - No established historical/live-feed parity or exact Orochi formula parity. Those are recorded results; I did not rerun the checks for this explanation. The suite is an original implementation based on supplied feature descriptions and visual references, and its trading performance has not been established. The import package is [AuctionSuite_NT8.zip](/C:/Users/Steph/Desktop/ninjatrader/AuctionSuite/dist/AuctionSuite_NT8.zip). The full settings and calculation definitions are in the [README](/C:/Users/Steph/Desktop/ninjatrader/AuctionSuite/README.md).