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SweepScope · Learn

Settings

Every SweepScope setting with its default, group by group, plus the settings of StructureScope.

The groups below follow the order of the SweepScope settings window. Defaults are the values a fresh SweepScope has, which are also the values of the ES 1 minute template.

Liquidity Settings

  • Swing Lookback Period: default 5 (1 to 50). How many bars on each side of a swing point SweepScope checks.
  • Minimum Swing Size (Ticks): default 1 (0 to 100). The smallest swing that counts for a level.
  • Equal High/Low Tolerance (Ticks): default 3 (1 to 20). Swings this close in price join the same level.
  • Minimum Swings in Cluster: default 2 (1 to 10). How many swings a level needs before it can be swept.
  • Max Bars in Cluster: default 100 (1 to 500). A new swing joins a level when it is within this many bars of the level's first swing.
  • Minimum Liquidity Size (Ticks): default 0 (0 to 100). The smallest distance between two levels. 0 means no minimum.
  • Node Expiry Bars (0-unlimited): default 0 (0 to 1000). Removes an open level this many bars after its last swing, and a swept level this many bars after its sweep. 0 keeps it.

Sweep Detection

  • Minimum Sweep Reverse (Ticks): default 2 (1 to 20). A sweep needs the close back by more than this many ticks, so 2 means at least 3 ticks back. Key level sweeps and reclaims use it too.
  • Require Delta Confirmation (needs Order Flow+): off by default. When on, a sweep of an equal high or low level also needs a cumulative delta spike on its bar. It needs NinjaTrader's Order Flow+ and tick data. Without Order Flow+, SweepScope turns it off and writes one line to the log.
  • Delta Threshold: default 1.5 (1 to 10). The delta spike ratio used by the setting above.
  • Sweep Event Expiry Bars: default 200 (0 to 500). Removes sweep events after this many bars. It also removes the lines of swept levels, but only when Node Expiry Bars is 0, the default. 0 keeps them.

Alerts

  • Sweep Alerts: off by default. Turn it on for an alert (Alerts log and sound) on each live sweep, one per level and bar.
  • Alert On Equal-Swing Levels: on by default. Alerts when an equal high or low level is swept.
  • Alert On Key Levels: on by default. Alerts when a prior day, overnight or opening range level is swept or reclaimed.
  • Alert Sound: the sound file played with the alert. The default is NinjaTrader's Alert2.

Visual Settings

  • Show Liquidity Zones: on. Draws the equal high and low levels.
  • Show Sweep Markers: on. Shows the sweep triangles. With it off, the plots still hold their values for strategies.
  • Show Liquidity Labels: on. Writes the level name (for example LQH#3 or LQL#8) on each level.
  • Show Swept Zones: on. Keeps drawing a level after it is swept.
  • Show Fair Value Gaps: off. See Fair Value Gaps below.
  • Show Swing Labels: on. Labels each swing point with its level and its count in that level.
  • Show Developing Clusters: on. Shows levels that do not have Minimum Swings in Cluster yet.
  • Show Failed Clusters: off. Shows levels that price broke through without closing back.
  • Show Cluster State Labels: on. Adds the state (Developing, Confirmed, Swept or Failed) to the level label.
  • Liquidity Above Color: red. Liquidity Below Color: green.
  • Zone Transparency (%): 50. Swept Zone Transparency (%): 20.
  • Developing Cluster Color: yellow. Developing Cluster Transparency (%): 40.
  • Failed Cluster Color: gray. Failed Cluster Transparency (%): 30. Failed Cluster Expiry Bars: 200 (0 keeps them).
  • Label Font: Arial 12. Gap Label Font: Arial 12.

Key Levels

All times are US Eastern.

  • Prior Day High/Low: on. The high and low of the prior day's regular session, and their sweeps. Full holidays are skipped. Early close days count.
  • Overnight High/Low: on. The high and low from the overnight start to the regular session open, and their sweeps.
  • Opening Range High/Low: on. The high and low of the first minutes of the regular session, and their sweeps.
  • Opening Range (Minutes): default 30 (1 to 390).
  • Reclaim Bars: default 10 (1 to 100). After a close beyond a key level, a close back inside within this many bars counts as a reclaim, a slower sweep.
  • RTH Open (ET, HHmm): 930. RTH Close (ET, HHmm): 1600. Overnight Start (ET, HHmm): 1800, which is also the start of the new trading day.
  • Show Key Level Labels: on. Writes PDH, PDL, ONH, ONL, ORH and ORL at the right end of each line.
  • Key Level Line Width: default 2 (1 to 10).
  • Prior Day Color: orange. Overnight Color: medium purple. Opening Range Color: deep sky blue.

On minute and second charts, the bars must end on the regular session open and close (for example 1, 5, 15 or 30 minutes), or the key levels are off. For the opening range, the bars must also divide its length. SweepScope writes a line in the NinjaScript Output window when this happens.

Fair Value Gaps

Off by default (Show Fair Value Gaps in Visual Settings). The settings in this group apply once you turn it on:

  • Minimum Gap Size (Ticks): 1. Minimum Gap Size (ATR): 0.25.
  • Gap Is Filled When: Full (also Half or Touch).
  • Max Gaps Kept: 50.
  • Require Largest Middle Body: off. Require Same Color Candles: off.
  • Show 50% Line: on. Volume Backed Threshold: 1.5.
  • Filled Gap Expiry Bars, Show Filled Gaps, Show Gap Labels, Bullish Gap Color, Bearish Gap Color, Gap Opacity (%) and Filled Part Opacity (%) set how gaps are drawn.

Plots

SweepScope has two plots that strategies and other indicators can read:

  • LongSweepSignal: the low of a bar that swept a low level or reclaimed a broken low key level. Drawn as a green triangle.
  • ShortSweepSignal: the high of a bar that swept a high level or reclaimed a broken high key level. Drawn as a red triangle.

On other bars they hold no value. SweepScope works out each bar once, after it closes, and writes the result on that bar:

  • With Calculate set to On bar close, read the newest values at [0].
  • With On each tick or On price change, read them at [1].

When a chart loads or reloads (F5) in the middle of a bar, NinjaTrader hands that unfinished bar over as a finished one. Its results use the prices it had so far and can differ from a later reload. With the market closed this does not happen.

StructureScope

StructureScope (listed as SweepScope Structure before version 1.00.1) is the helper SweepScope uses to find swings. You do not need it on your chart. SweepScope runs its own hidden copy with the swing dots, swing lines and dealing range turned off, so the settings below matter when you add it to a chart yourself.

Parameters

  • Swing Lookback Period: 5 (1 to 50). A swing is confirmed this many bars after the swing bar.
  • Minimum Swing Size (Ticks): 1. Minimum Bars Between Swings: 1.
  • Max Swings to Show: 0, which keeps all.
  • Double Top/Bottom Strength (%): 5.

When a new swing high comes after another swing high with no swing low between them, the higher one stays and the other is removed. Swing lows work the same way.

Display

  • Show Swing Highs and Show Swing Lows: on. Swing Point Size: 10.
  • Show Swing Labels, Show Swing Price, Show Swing Ticks/Bars, Show Swing Volume and Show Swing Percent: on. Swing Label Font: Arial 20.
  • Show Swing Lines: on. Swing Line Colors: Swing (also Default or Text). Swing Line Stroke: gray, solid, 2.
  • Swing High Color: lime green. Swing Low Color: tomato.
  • HH, LH, HL, LL, DT and DB Text Color: lime green, orange, yellow, tomato, purple and magenta.

Background Highlight

  • Background Highlight Plot: None. The trend is not drawn by default; its values are in the Data Box. To color the chart background by trend, set this to OverallTrend or QuickTrend.
  • Background Highlight Opacity (%): 20. Long Trend Background Color: light green. Short Trend Background Color: light coral.

Dealing Range

  • Enable Dealing Range: on. Trend Threshold: 30.
  • Dealing Range Left Strength and Dealing Range Right Strength: 5. Micro Structure Period: 4.
  • Fib Level: 0.5. Show Dealing Range Lines: on. Show Fib Line: on.
  • Enable Fibonacci Levels: off. When on, Fib Level 1 to Fib Level 5 (%) are 23.6, 38.2, 50, 61.8 and 78.6, each with its own Enable and Color setting. Fib Line Left Offset: 20. Fib Line Right Offset: minus 10. Show Fib Labels: on. Fib Label Font: Arial 20.

To change the colors of the dealing range lines and the Fib line, use the Plots section of the settings window.