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Date/Time: Thu, 16 May 2024 08:04:57 +0000

Post From: Orderflowanalytics-style reversal bars.

[2015-08-31 17:40:30] Link To Thread - Link To Post [Go To First Post]
Zdislav - Posts: 73
ejtrader: Yes, that is exactly what I am doing. Take the highest cumulative volume of a given (from some input value) number of consecutive levels. In my case I use 3 levels. It is not exactly the OFA method, but it is close enough and it works pretty well. I haven't tried all the markets, only ES, GC and CL. OFA method seems to use different logic giving more clusters in one candle some times. The color distinction is simply comparing BID and ASK cumulative volumes in that given volume cluster against STRENGTH constant. e.g. IF BIDvolume >= 1.618*ASKvolume THEN Cluster color is green, resp. brown. If it does not fit either condition, than the auction is neutral (gold). PS: My code is not ready for sharing yet. I still need to improve array handling.