MZpack custom strategy SAMPLE #4.
Demonstrates how to get data from StrategyMarketDepthIndicator and StrategyFootprintIndicator. Use it on ES 5 Min chart.
WARNING: The strategy works on Market replay or live data only because it uses Level 2 data.
ATTENTION: Indicator settings in UI are used only for displaying markers on the chart. Strategy uses its own internal settings for filters and logic.
Strategy logic description.
1. Imbalance rule: Calculate DOM Imbalance and check if it is greater or equal to 'Imbalance Ratio'.
2. Large block rule: Check if DOM contains one or more blocks of size 'Block volume' no closer than 'Order distance, ticks' parameter from current price.
3. Pace of tape rule: Check if bar has clusters with high pace of tape (see 'Trades number in cluster' parameter) near high and low in 'Cluster range' range.
4. Session POC rule: Check if current price is above session POC for SHORT or below it for LONG.
5. If Imbalance, block(s), pace clusters are on the same DOM side and Session POC rule has the same direction, enter position in opposite direction.
See installation folder for the source code.
MZpack.NT8.Pro (in MZpack.NT8.Pro.dll) Version: 18.104.22.168 (22.214.171.124)
public class MZpackCustomStrategy4 : MZpackStrategyBase
The MZpackCustomStrategy4 type exposes the following members.
Constructors Properties Methods See Also