Per-price-level bid/ask volume per bar: the data behind footprint, delta and POC tools. Opt in once and the framework aggregates it for you.

Opting in

Footprint-class indicators need per-level, per-side traded volume. Building that for history means loading tick (or second/minute) data, which is expensive, so the host only loads it when an indicator on the chart asks. Tag the indicator with [RequiresOrderFlow] and read the per-bar data through ctx.OrderFlow(seriesIndex), an ISeries<OrderFlowBar> aligned 1:1 with the bars.

Say how much you read. [RequiresOrderFlow] asks for the full footprint. An indicator that reads only the per-bar totals (volume, buy volume, sell volume, trade count, delta) declares [RequiresOrderFlow(OrderFlowDetail.Totals)]. The host then loads the venue's own bars where they carry the buy/sell split, instead of the footprint. A chart loads the most any of its indicators asks for, so a totals indicator next to a footprint simply reads the footprint's totals. With totals, read TotalAskVolume, TotalBidVolume, TotalTradeCount and Delta: historical bars can come without price levels.

The attribute covers the chart's own series, index 0. A series you add yourself is loaded as bars unless you add it with ctx.AddDataSeries(spec, OrderFlowDetail.Totals) or ctx.AddDataSeries(spec, OrderFlowDetail.PriceLevels); see Adding a series.

The data arrives for history and live, as a pre-aggregated OrderFlowBar read in OnDataLoaded and OnBarUpdate. If you also want the raw live trade stream, opt into ProcessesMarketData separately; the two combine.

PocMarker.csusing SabrTrader.Pipeline.Indicators;
using SabrTrader.Pipeline.OrderFlow;
using SabrTrader.Pipeline.Plots;
using SabrTrader.Pipeline.Series;

[IndicatorDescription("Marks each bar's volume Point of Control: the price level with the most traded volume.")]
[IndicatorCategory(IndicatorCategory.OrderFlow)]
[IndicatorInput(IndicatorInputKind.None)]
[RequiresOrderFlow]                                  // loads historical order flow for this chart
public sealed class PocMarker : IndicatorBase
{
    private readonly ChunkedSeries<double> _poc = new();

    public PocMarker(IIndicator? parent = null) : base(parent)
    {
        AddPlot(new Plot("POC", _poc, PlotStyle.Dots, new ChartColor(255, 152, 0), 4.0));
    }

    public override void OnDataLoaded(IIndicatorContext ctx)
    {
        var of = ctx.OrderFlow(0);
        for (int i = of.Count - 1; i >= 0; i--)
            _poc.Append(PocOf(of[i]));
    }

    public override void OnBarUpdate(IIndicatorContext ctx)
    {
        _poc.Append(PocOf(ctx.OrderFlow(0)[0]));
    }

    private static double PocOf(in OrderFlowBar bar)
        => bar.TryGetPoc(out double price, out _) ? price : double.NaN;
}

What an OrderFlowBar gives you

An OrderFlowBar is a value type holding the underlying Bar plus its per-price-level volume, built for allocation-free reads in tight render loops. The members you use most:

Each OrderFlowLevel carries Price, BidVolume, AskVolume, TradeCount, plus computed TotalVolume and Delta (ask minus bid). When the producer tracked a per-side print split, HasTradeCountSplit is true and GetBidTradeCount(i) / GetAskTradeCount(i) return it; otherwise they return 0. The full member list, including the helper types for building order flow yourself, is in the order flow & depth reference.

Per-bar statistics

Some quantities depend on the order of the trades and can only be computed while ticks are aggregated. When available, OrderFlowBar.HasStats is true and Stats (an OrderFlowBarStats) exposes:

• RunningDeltaMax / RunningDeltaMin: running-delta extremes within the bar.
• DeltaHighSetAfterLow: which extreme was set last (Sierra Chart's Finish AskVol BidVol Diff).
• AskVolumeSinceHigh, BidVolumeSinceHigh, AskVolumeSinceLow, BidVolumeSinceLow, and the commitment-of-traders helpers CotHigh / CotLow.
• FirstTradeUtc / LastTradeUtc and TradeSpan (last minus first). These are true UTC; to show them on the chart, convert with ChartDisplayTime.FromUtc(utc, ctx.DisplayTimeZone) and keep the field itself unchanged.
• VolumePerSecond, FirstTickVolume, LastTickIsBid, LastTradePrice, LastTickRuleDirection.
• UpTickVolume / DownTickVolume: the tick-rule totals, also surfaced as OrderFlowBar.TotalUpTickVolume / TotalDownTickVolume.

Bars built without a tick aggregator (empty bars, multi-timeframe seeding, ladders without trade order) carry Stats == null, so check HasStats first.

Backfill resolution

OrderFlowResolution sets the granularity of the history loaded for order flow: Tick (finest, exact aggressor and delta), Second, Minute (coarsest, fastest, with estimated bid/ask), and Auto (the default, derived from the chart's bar period: intraday charts get tick data, higher timeframes get second or minute data). When several indicators on a chart ask for different resolutions, the chart loads the finest one requested.

IndicatorBase implements IOrderFlowResolutionAware, so every indicator has an OrderFlowResolution property. The settings dialog shows it as a "Resolution" dropdown on indicators marked [RequiresOrderFlow].

Open Interest

For the venue-reported open interest, tag the indicator with [RequiresOpenInterest] and read ctx.OpenInterest(seriesIndex): a scalar series aligned 1:1 with the bars, with double.NaN on bars that report no open interest. The attribute steers backfill routing; the channel itself is always reachable. Hosts without an open-interest channel return an empty series, so read defensively (TryGet, and treat a miss as NaN).

Order flow gives you the data; turning it into footprint cells, profile columns or POC lines is a rendering job. See Custom rendering.

Dynamic order-flow requirement

When the need for order flow depends on runtime configuration instead of being fixed for the class, implement IDynamicOrderFlowRequirement, the runtime counterpart of [RequiresOrderFlow]:

public interface IDynamicOrderFlowRequirement
{
    bool RequiresOrderFlow { get; }
    event Action? RequirementChanged;
}

The host reads RequiresOrderFlow whenever it plans a chart's backfill (chart build, workspace restore, adding the indicator). Raise RequirementChanged when a configuration change turns the need on; if the chart was built without historical order flow, the host reloads it with order flow enabled.