A custom NinjaTrader 8 strategy that streams Footprint, Volume Profile, Big Trade, and Market Depth indicator values to CSV for external analysis. Supports multiple instruments and dataseries with configurable export fields.

Type
Strategy

Components
mzFootprint, mzVolumeProfile, mzBigTrade, mzMarketDepth

Parameters
127

Status
Delivered

Capabilities

  • 📤 Multi-instrument data export (up to 3 instruments)
  • 📊 Multi-dataseries (2 configurable timeframes per instrument)
  • 🧾 Footprint export (45+ selectable values including delta, imbalances, absorption, session levels)
  • 📈 Volume Profile export (28+ values including POC, VAH/VAL, VWAP, TPO)
  • 🔍 Big Trade export (volume, direction, iceberg, DOM pressure)
  • 📖 Market Depth export (historical and real-time DOM, liquidity migration)
  • ⚡ Real-time and historical export modes
  • ⚙ Configurable CSV delimiter and header

Built on MZpack API

This project leverages the following MZpack API namespaces and classes:

  • MZpack.NT8.Algo.Indicators.StrategyFootprintIndicator
  • MZpack.NT8.Algo.Indicators.StrategyVolumeProfileIndicator
  • MZpack.NT8.Algo.Indicators.StrategyBigTradeIndicator
  • MZpack.NT8.Algo.Indicators.StrategyMarketDepthIndicator
  • MZpack.NT8.Algo.DataExport
  • MZpack.NT8.MZpackStrategyBase

Configuration

Exposes 127 configurable parameters across:

  • Export (delimiter, header, date range, real-time mode)
  • Instruments and dataseries (up to 2 additional instruments, 2 timeframes each)
  • Footprint (45+ selectable export values)
  • Volume Profile (28+ selectable export values)
  • Big Trade (volume, direction, iceberg, DOM pressure)
  • Market Depth (historical and real-time DOM, liquidity migration)