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MZpackCustomStrategy4 Class

Demonstrates how to use StrategyMarketDepthIndicator and StrategyFootprintIndicator classes. Use it on ES 5 Min chart during RTH session.
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. Pace of tape rule: Check if a bar has clusters with high pace of tape in 'Cluster range' range from bar high or low. Sum trades numbers from those clusters and compare with 'Min trades number in clusters' parameter.
2. Imbalance rule: Calculate DOM Imbalance and check if it is greater or equal to 'Imbalance Ratio'.
3. Large block rule: Check if DOM contains one or more blocks of size 'Block volume' no closer than 'Order distance, ticks' parameter from the current price.
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, open position in opposite direction.
See installation folder for the source code.
Inheritance Hierarchy
SystemObject
  NinjaScript
    NinjaScriptBase
      StrategyBase
        StrategyRenderBase
          MZpack.NT8.AlgoMZpackStrategyBase
            NinjaTrader.NinjaScript.Strategies.MZpackAPISamplesMZpackCustomStrategy4

Namespace:  NinjaTrader.NinjaScript.Strategies.MZpackAPISamples
Assembly:  MZpack.NT8.Pro (in MZpack.NT8.Pro.dll) Version: 3.18.1.0 (3.18.1.0)
Syntax
C#
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public class MZpackCustomStrategy4 : MZpackStrategyBase

The MZpackCustomStrategy4 type exposes the following members.

Constructors
  NameDescription
Public methodMZpackCustomStrategy4
Initializes a new instance of the MZpackCustomStrategy4 class
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Properties
Methods
See Also