How Does NinjaTrader Order Flow Work? A Complete Guide
Order flow is the record of what actually traded: every contract that changed hands, at what price, and whether the buyer or the seller was the one in a hurry. In NinjaTrader Desktop (NinjaTrader 8) you read it with the Order Flow+ tools on a chart and with the SuperDOM. This guide explains what the platform shows you, which tools need which NinjaTrader plan, what data you need, and how traders read it on futures such as ES, NQ and CL.
The short answer
- Two kinds of data. Traded volume (contracts that filled, at the bid or at the ask) and market depth (limit orders still waiting in the order book).
- Order Flow+ is NinjaTrader’s order flow suite: Volumetric bars, Cumulative Delta, Order Flow VWAP, Volume Profile, the Trade Detector and the Market Depth Map, plus Delta bars and Price on Volume bars.
- Plan: NinjaTrader’s help guide says the Order Flow+ studies are included with a Lifetime license. On other plans it is an add-on (details below).
- Data: historical bid/ask tick data from your provider to rebuild history, and Level II for the Market Depth Map.
What order flow means in NinjaTrader
Every futures trade has two sides, but only one of them chose to trade right now. A trader who sends a market order to buy pays the offer (the ask). A trader who sends a market order to sell accepts the bid. Order flow tools count that aggressive volume at each price, so you can see whether buyers lifting the offer or sellers hitting the bid did most of the work behind a move.
NinjaTrader receives two data streams for this from your data connection:
- Level I, the trades. Each trade’s price and size, plus the best bid and ask at that moment. Volumetric bars, Cumulative Delta, the Trade Detector and Volume Profile are built from it.
- Level II, the market depth. The number of contracts resting as limit orders at each price above and below the market: the order book. The SuperDOM and the Market Depth Map show it.
Futures such as ES, NQ, CL and GC each trade on one exchange’s electronic market (CME Globex for those four), so the order book you see is that exchange’s own central limit order book. Nothing is blended from several venues, which is how US stocks build their national best bid and offer. How many depth levels you see depends on your data provider.
Traded volume vs market depth (the DOM)
Both are “volume at a price”, which is why they get mixed up, but they answer different questions.
| Traded volume | Market depth | |
|---|---|---|
| What it is | Contracts that actually filled at each price | Limit orders waiting at each price |
| Can it change afterwards? | No. A trade that printed stays printed. | Yes. Orders are added, pulled and moved all the time. |
| Where NinjaTrader shows it | Volumetric bars, Volume Profile, Cumulative Delta, the SuperDOM Volume column | The SuperDOM bid and ask size columns, the Market Depth Map |
| Data it needs | Tick data (Level I) | Level II |
Treat depth as intentions and traded volume as facts. A large bid sitting below the market can be cancelled a tick before price reaches it. Volume that has already traded cannot be taken back, which is why most order flow reading starts with traded volume and uses depth for context.
The Order Flow+ tools in NinjaTrader Desktop
NinjaTrader’s help guide lists eight Order Flow+ studies. These six are the ones most traders use.
Volumetric bars (footprint charts)
Volumetric is a bar type, chosen in the chart’s Data Series window. Each bar shows the volume traded at the bid and at the ask at every price inside it, the bar’s delta (ask volume minus bid volume), and optional highlighting of imbalances and the price with the most volume. Other platforms call this a footprint chart; see what a footprint chart is and how to read one. A Volumetric bar can be based on a Tick, Volume, Second, Minute, Day, Week, Month, Year or Range period.
Order Flow Cumulative Delta
A running total of buying volume minus selling volume. With the Session period it accumulates through the trading session; with the Bar period it starts from zero on every bar. It classifies volume either by bid and ask or by up and down ticks. Its most common use is spotting divergence: price makes a new low while cumulative delta does not, or the reverse.
Order Flow VWAP
The volume weighted average price, with up to three standard deviation bands, reset each session, week or month. The Tick resolution calculates from every tick and is the most accurate setting; it also uses the most computer resources.
Order Flow Volume Profile
A horizontal histogram of the volume traded at each price, per session, per bar or as one composite profile over a range you choose. It marks the point of control (the price with the most volume) and the value area (68% of the volume by default), and its Buy sell and Delta modes split the volume by side. A profile summarises a whole session or range; a Volumetric bar breaks down one bar.
Order Flow Trade Detector
Marks volume of interest on the chart in one of three modes: Consistent bid/ask (volume that keeps trading while the bid and ask stay unchanged), Price (volume at each price within a bar) and Block (single trades at or above a size you set). Each marker is coloured by the share of its volume that traded as buys or sells, and sized by volume.
Order Flow Market Depth Map
A heat map of resting depth drawn behind price: the more contracts that sat at a price, the darker that area. It needs Level II data and plots from live depth as it arrives, so it fills in once it is on the chart. NinjaTrader does not support it on equities.
The other two studies are Order Flow Delta Bars and Order Flow Price On Volume bars. For a tour of everything NinjaTrader offers here, read Does NinjaTrader have order flow?
Which order flow tools need a Lifetime license?
All of the tools above are Order Flow+ studies. NinjaTrader’s help guide says “Order Flow + studies are included for all NinjaTrader lifetime license users.” On the Free and Monthly plans Order Flow+ is offered as an add-on, and NinjaTrader’s pricing page also lists Order Flow+ among the tools that funding a live NinjaTrader account unlocks. Plans change, so check that page, or the Plans section of your NinjaTrader Account Dashboard, for what applies to you.
Without Order Flow+ you still have some volume tools: the SuperDOM’s Volume column (traded volume at each price) and standard indicators such as BuySell Volume and BuySell Pressure, which sort each trade into a buy or a sell. Those two need Tick Replay turned on to calculate on historical bars. They do not give you footprint bars, cumulative delta, the Trade Detector or the Market Depth Map.
Your license decides whether the Order Flow+ tools are unlocked. Your data connection (NinjaTrader’s own, Rithmic, Tradovate or another provider) decides what data they receive.
The data order flow needs
- Historical bid/ask tick data, to rebuild history. Volumetric bars and Cumulative Delta classify past bars by bid and ask only when your provider supplies bid/ask-stamped historical ticks. If it supplies only last-trade ticks, set the delta type to Up Down Tick, which classifies volume by price direction instead.
- Level II for depth. The SuperDOM’s size columns and the Market Depth Map need market depth from your connection, and the number of levels depends on the provider.
- Tick Replay, for some indicators. Indicators that read every tick on historical bars, BuySell Volume for example, need Tick Replay. Turn on Show Tick Replay in NinjaTrader’s market data settings (Tools > Settings, called Options in older versions), then tick Tick Replay in the chart’s Data Series window. It makes charts load more slowly, so use it only where an indicator needs it.
- Futures, not spot forex. NinjaTrader does not support Volumetric bars on spot forex data, and the Bid Ask delta type is not available for forex.
Reading order flow: three futures examples
These illustrate how traders read the tools; they are not trade recommendations. Tick values for reference: one ES tick (0.25 points) is $12.50 per contract, one MES tick is $1.25, one NQ tick is $5.00 and one CL tick (one cent) is $10.00.
1. An entry where selling dries up (ES)
ES drops into the area where the previous session’s Volume Profile shows heavy volume. On 1-minute Volumetric bars the last few bars print large volume at the bid, so their delta is strongly negative, yet price stops making new lows: sellers keep hitting the bid and buyers keep absorbing it. Cumulative Delta goes on falling while price holds flat. A trader who reads that as absorption might buy with a stop a few ticks below the low of those bars. An 8-tick stop on one ES contract risks $100 plus commissions; on MES the same stop risks $10.
2. Checking a breakout (NQ)
NQ breaks above the morning range. If the breakout bars trade most of their volume at the ask, with positive delta and stacked ask imbalances, buyers are paying up and the move has participation. If price pokes through on thin volume with delta near zero, there is little behind it, and many traders wait for a retest before trusting it. The Trade Detector adds detail: a cluster of large buy-side block trades at the breakout level is a different picture from one or two small prints.
3. Taking profit into resistance (CL)
A long CL trade runs up toward a high-volume area from the prior day’s profile. As it gets close, Volumetric bars show heavy buying at the ask that no longer moves price higher, and the SuperDOM shows offers refilling at the same prices. That combination is a common reason to take some or all of the profit before the level rather than at it.
In each case order flow confirms or questions a trade at a price that already mattered. Read at random places on the chart, it is mostly noise. Whether it adds an edge at all is a fair question; does order flow trading work? takes it on.
Setting up order flow on a NinjaTrader chart
- Connect to your data feed from the Control Center’s Connections menu.
- Open a chart (New > Chart) and pick the instrument, for example the front-month ES contract.
- In the Data Series window set Type to Volumetric and choose the base period (1 Minute, or a Volume period such as 1000 contracts, are common starting points). Set Delta type to Bid Ask if your provider supplies bid/ask history.
- Keep Days to load low at first, two or three days. Volumetric bars are built from tick data, so long histories take time and memory to load.
- Press Ctrl+I to open the Indicators window and add Order Flow Cumulative Delta, Order Flow VWAP, Order Flow Volume Profile or Order Flow Trade Detector as you need them. Add the Market Depth Map if your connection supplies Level II.
- Save the chart as a template so new charts open with the same layout.
All of this applies to NinjaTrader Desktop 8.1.x.x, including the latest version, 8.1.8.4.
Common mistakes
- Treating depth as a promise. Resting orders can be pulled. Confirm with traded volume.
- Reading order flow without a level. Delta swings all day. It means most at prices that matter: prior highs and lows, VWAP, profile nodes.
- Expecting bid/ask history from a provider that does not send it. Delta history then looks wrong or empty. Use Up Down Tick, or check what your provider supplies.
- Loading weeks of Volumetric bars. Charts slow down. Load only the days you read.
- Confusing a Volume Profile with Volumetric bars. One summarises a session or range; the other breaks down each bar.
Beyond the built-in tools
Order Flow+ shows you the raw picture, and third-party indicators add their own analysis on top of it. For imbalance zones, block trades and unfinished auctions drawn on the chart, see Impact Order Flow, our NinjaTrader order flow indicator. For a comparison of the options, read what is the best order flow indicator?, and for the strategy side, order flow trading. If you are new to indicators in general, day trading with NinjaTrader indicators is a good start.
Affordable Indicators, Inc. is not affiliated with or endorsed by NinjaTrader. Futures trading carries a substantial risk of loss; the examples above are illustrations, not advice.