Data Export Overview

The MZpack data export system provides a composable pipeline for exporting indicator values and chart drawing objects to CSV files or the NinjaScript Output panel.

Namespace: MZpack.NT8.Algo

Two Export Scenarios

1. IndicatorExport — Indicator Values

Exports calculated values from MZpack indicators (footprint metrics, volume profile levels, delta, etc.) to CSV. Each row represents a bar, with columns defined by a DataSchema.

2. DrawingObjectsExport — Chart Drawing Objects

Exports chart annotations (arrows, text, dots, etc.) placed by strategies. Each drawing object is mapped to a numeric value via a ChartObjectDescriptor, enabling signal labeling for analysis or machine learning.

Architecture

Pipeline
 ├── IndicatorExport          (indicator values → CSV)
 │    ├── ExportedIndicator   (data source)
 │    └── DataSet             (rows of values)
 │         └── DataSchema     (column definitions)
 │              └── ValueDescriptor[]
 │
 └── DrawingObjectsExport     (drawing objects → CSV)
      ├── ChartObjectDescriptor (object → value mapping)
      └── DataSet
           └── DataSchema

Pipeline

Pipeline is the central orchestrator. It chains one or more IndicatorExport instances and drives per-bar export across all of them. Adjacent exports are linked via PipelinePrior / PipelineNext for synchronized processing.

var args = new ExportArgs
{
    FileName = "ES_footprint.csv",
    IsHeader = true,
    IsTime = true
};

var pipeline = new Pipeline(strategy, args);

var fpExport = new IndicatorExport(strategy, fpIndicator,
    ExportDataSource.Level1, ExportTemporality.Historical,
    ExportGranularity.Bar, args);

fpExport.DataSet.Schema
    .Append(IndValue.POC)
    .Append(IndValue.Delta)
    .Append(IndValue.Volume);

pipeline.Add(true, fpExport);
pipeline.ExportDates(beginTime, endTime);

Enums

ExportTemporality

[Flags]
public enum ExportTemporality
{
    Historical = 1,
    Realtime = 2
}

Value	Description
Historical	Export historical bar data after loading
Realtime	Export data as it arrives in real time

ExportDataSource

Value	Description
Level1	Level 1 (trade/tick) data
Level2	Level 2 (market depth) data
Custom	Custom data source

ExportGranularity

Value	Description
Tick	One row per tick
Bar	One row per bar
Update	One row per update event

ExportMode

Value	Description
Save	Write data to output
Load	Read data from file

ExportArgs

Configuration object passed to all export constructors.

Property	Type	Default	Description
FileName	string	—	Output file name (e.g., "data.csv")
BaseDirectory	string	null	Root directory (null = strategy default \data)
SubDirectory	string	—	Subdirectory within base
IsHeader	bool	false	Include column header row
IsTime	bool	false	Include Time column
IsFile	bool	true	Write to file
IsNinjaScriptOutput	bool	false	Write to NinjaScript Output panel
IsExportWhileCollecting	bool	false	Stream rows as they are collected. The file is truncated once on the first row and appended thereafter; when false, all rows are written when the export's temporality ends
FlushIntervalMs	int	0	Streaming-writer flush period in milliseconds. 0 flushes every row; raise it for high-rate Level 2 or Update exports to trade visibility latency for throughput
IsBatch	bool	false	Create numbered batch files
Delimiter	char	,	Column delimiter
SignedVolume	bool	false	Prefix volumes with sign (+buy, −sell)
Shift	int	0	Bar shift for exported items

Streaming a Realtime Export

Set IsExportWhileCollecting only when the consumer needs rows before the strategy stops. The streaming writer stays open with FileShare.ReadWrite, so another process such as Excel can read the CSV while it is being written. IsBatch remains the way to retain prior runs; a normal streaming run replaces its file on the first row.

var args = new ExportArgs
{
    FileName = "ES_dom.csv",
    IsHeader = true,
    IsExportWhileCollecting = true,
    FlushIntervalMs = 250 // batch disk flushes for a high-rate DOM export
};

For an export whose Temporality is Historical, rows are produced during the historical load. A Realtime export is the usual case for a file watched while a strategy is running.

Constants

Constant	Value	Description
Export.DELIMITER	,	Default delimiter
Export.TIME_FORMAT	yyyy-MM-ddTHH:mm:ss.fff	Timestamp format
Export.APPEND	true	Append mode flag

See Also

• DataSchema / DataSet — defining output structure
• ValueDescriptor — column definitions and delegates
• DrawingObjectsExport — exporting chart annotations
• Export Indicators Values sample — complete working example