1. Overview
The order flow zigzag indicator is our custom zigzag indicator. It detects price swings in the market and uses these price swings to calculate and display various order flow signals:
- Shows price swings based on ATR, ticks, points, or percentage
- Draws auto-Fibonacci retracements
- HH/LL/LH/HL markers
- Price/Volume divergence signal
- No-interest reversal signal
2.1 ATR, ticks, points, or percentage
The order flow zigzag indicator can use the ATR (average true range) to find new swing points or pivots. Of course, you can also choose to determine new swing points by ticks, points, or percentage. But using the ATR is far more effective.
Remember that the price swings detected by our custom zigzag indicator are the base for all our order flow signals. Thus we want the best possible price swings which resemble the ones you would have drawn manually
By using the ATR to detect the price swings we are able to take the market volatility into account and because of this the price swings found are much better than those of the default zigzag indicator which comes with NinjaTrader.
2.2 Auto Fibonacci retracements
The order flow indicator automatically shows the 50% and 61.% Fibonacci retracements for the last price swing. These Fibonacci levels often act as strong support/resistance. By automatically letting the indicator draw these Fibonacci levels on the chart we never forget they are there. And when we get multiple signals at one of these Fibonacci levels then we know that these will be the high probability setups you would be interested in to open a trade
2.3 HH/LL markers
The order flow zigzag indicator can show HH/LL/HL/LH markers at the swingpoints. This way you are quickly reminded if we are in a trend or a choppy market. if we see HH and HL we know we are in an up-trending market, and if we see LL and LH we know we are in a down-trending market. Any other combination would indicate congestion and these are the times we want to be very careful opening new trades.
2.4 Volume / Price divergence signal
The volume/price divergence signal occurs when the indicator detects divergence between volume and price. When for example price makes a new high, but with a lower volume than the last upswing then we consider this a price/volume divergence. The same goes if the price makes a new low but with lower sell volume.
As shown below its indicated by an orange candle and these divergence signals are often an indication that price will reverse soon
2.5 No interest signal
The no-interest signal is a reversal signal and appears when buyers (or sellers) are exhausted and have no further interest in continuing to buy( or sell ) the market. The no-interest signal occurs at the end of a trend and indicates a potential reversal
The no-interest signal is based on 3 consecutive price swings
- The 1st swing
- the 2nd (counter) swing. The volume of this 2nd swing is bigger than the volume of the 1st swing and bigger than the volume of the 3rd swing
- The 3rd swing which volume is lower than the volume of the 1st swing
The no-interest marker is displayed by a purple triangle as shown below. Notice how the market reversed after each no-interest signal.
2.6 Market structure up/down swing count
Besides showing HH/LL the indicator can also show the market structure by plotting the up & down count. Every time the market makes a new high, the up count will increase. And vice versa. Every time the market makes a new low, the down count will increase
2.7 Bloodhound/Blackbird/Automated strategies support
The indicator exports several plots for the No Interest & Volume/Price divergence signals which you can use in, Bloodhound/Blackbird, The NinjaTrader Strategy builder, or plain Ninja Script to build your own automated strategies
Plots for:
- No Interest plot
- Price/Volume divergence plot
- Markt structure Up count plot
- Markt structure Down count plot
Features
- Orderflow zigzag : our custom based zigzag indicator
- ATR based zigzag to detect the best price swings
- Shows Fibonacci retracements for last price swing
- Shows price/volume divergence signals
- Shows no-interest signals
- Shows HH/LL markers
- Alerts for No Interest and Price/Volume Divergence
- Supports bloodhound/strategy builder
Changelog
v1.0.0.7- 22-apr=2022
- Released as stand alone indicator
DISCLAIMER
Please note that the market extremes require real-time ^TICK data for the NYSE, DOW, and Nasdaq. This is NOT included in your default data subscription. Please consult your broker on how to get this data. Without this real-time data, this indicator will not work!!
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