API Overview

The MZpack API is a C# framework for building custom indicators and automated trading strategies on NinjaTrader 8. It exposes all public classes of the MZpack library. This gives you programmatic access to the same order flow data, volume profiling, and trade detection that power the MZpack chart indicators — letting you create your own analysis tools and trading algorithms.

What You Can Build

Use Case	Description
Custom indicators	Process order flow data (footprint, delta, volume profile, big trades, DOM) and render custom visualizations on NinjaTrader charts using SharpDX/Direct2D
Automated strategies	Build rule-based trading systems using the strategy pipeline — combine signals, filters, and decision trees with built-in position and risk management
Data export	Extract indicator data (footprint clusters, volume profiles, trade records, DOM snapshots) to CSV for external analysis or machine learning

Architecture

The API is organized into three layers:

Core Types — data structures that represent market data at every granularity:

Type	What It Represents
ICandle	OHLCV bar data
Tick & ITrade	Individual ticks and trade data

Indicators API — each chart indicator is accessible through a typed interface:

Interface	Chart Indicator	Key Data
IFootprintIndicator	mzFootprint	Footprint bars, clusters, imbalance, absorption, S/R zones
IVolumeProfileIndicator	mzVolumeProfile	Volume profiles, POC, Value Area, VWAP, TPO
IVolumeDeltaIndicator	mzVolumeDelta	Volume/delta histograms, cumulative delta, icebergs
IBigTradeIndicator	mzBigTrade	Filtered trades, iceberg detection, DOM pressure
IMarketDepthIndicator	mzMarketDepth	DOM snapshots, liquidity, migration, imbalance
IDeltaDivergenceIndicator	mzDeltaDivergence	ZigZag breakpoints, divergence signals

Strategy Pipeline — components for building trading algorithms:

Component	Role
Action	Signal generation — processes market data and outputs a trading direction
Filter	Trade filtering — confirms or rejects signals based on additional conditions
Decision Tree	Combines signals and filters using AND/OR/CONJUNCTION logic
Entry	Order submission — market, limit, or stop-limit with protective orders
Exit	Position closing — stop loss, profit target, and exit signals
Trail	Trailing stop — follows price at a configurable distance after activation
Risk Management	Daily limits — loss, drawdown, profit, and trade count caps

For a detailed walkthrough of how these components connect, see Pipeline Overview.

Strategy Indicator Classes

Strategies use their own internal indicator instances rather than chart indicators. Each strategy indicator class wraps the corresponding chart indicator:

Strategy Class	Chart Indicator	Data
StrategyFootprintIndicator	mzFootprint	Level 1
StrategyVolumeProfileIndicator	mzVolumeProfile	Level 1
StrategyVolumeDeltaIndicator	mzVolumeDelta	Level 1
StrategyBigTradeIndicator	mzBigTrade	Level 1
StrategyMarketDepthIndicator	mzMarketDepth	Level 2
StrategyDeltaDivergenceIndicator	mzDeltaDivergence	Level 1

Strategy indicators are not visible on the chart by default. Use Partially Visible mode to show only the data relevant to validated signals — see Algo Strategy — Partially Visible sample.

Built-in Signals

The API ships with 20+ ready-to-use signals that you can combine in decision trees. A few examples:

Signal	Source Indicator	Description
DeltaDivergenceSignal	mzDeltaDivergence	Price/delta divergence at swing points
FootprintImbalanceSignal	mzFootprint	Stacked imbalances indicating aggressive one-sided activity
FootprintAbsorptionSignal	mzFootprint	Passive absorption at price extremes
BigTradeSignal	mzBigTrade	Large trade detection with optional iceberg and sweep filters
RelativeToProfileSignal	mzVolumeProfile	Price position relative to VWAP, VAH, or VAL
DOMImbalanceSignal	mzMarketDepth	Order book bid/ask imbalance

Custom signals are created by extending the Signal base class. See Built-in Strategies for examples of how these signals are combined.

Requirements

Requirement	Specification
Platform	NinjaTrader 8.0.27 or later
Runtime	.NET Framework 4.8
Language	C# 13 (NinjaTrader v8.1.6 required)
IDE	Visual Studio 2022 or NinjaTrader 8 built-in editor
License	MZpack Strategies w/ Divergence or MZpack Indicators & Strategies w/ Divergence

See Prerequisites for the full development environment setup, and Project Setup for creating your first project.

Samples

All samples are included in the MZpack source code wrapped in #if APISAMPLE blocks with XML summary comments.

Sample	Class	What It Demonstrates
Advanced Template	AdvancedTemplate	Advanced MZpack strategy template with full indicator setup
Biggest Trade Indicator	BiggestTradeIndicator	Custom indicator marking the biggest trade with a rectangle
Control Panel	ControlPanel	Control Panel with [ControlPanel] attribute and CreateControlPanelElements()
Custom Plots	CustomPlots	Access mzFootprint data, custom plots via StrategyPlotIndicator
Data Access — mzFootprint	DataAccess_mzFootprint	Access StrategyFootprintIndicator data
Data Access — mzVolumeDelta	DataAccess_mzVolumeDelta	Access StrategyVolumeDeltaIndicator data
Data Access — mzVolumeProfile	DataAccess_mzVolumeProfile_MinuteAccuracy	Access StrategyVolumeProfileIndicator with Minute accuracy
Export Indicator Values	ExportIndicatorsValues	Export indicator values with Historical/Realtime temporality
Fibonacci Retracement Entry	FiboRetracementEntryStrategy	Fibonacci retracement entry strategy
Multi-DataSeries Advanced	MultiDataSeriesAdvancedStrategy	Trading on a second data series
Multi-DataSeries Strategy	MultiDataSeriesStrategy	Using indicators on different data series
Algo Strategy — ATM + TradesCluster	MZpackAlgoStrategy0	Algo.Strategy with proprietary ATM and TradesClusterSignal
Algo Strategy — Patterns + ATM	MZpackAlgoStrategy1	Patterns with ATM, BigTradeSignal, EMASignal, and DOMImbalanceFilter (Level 2, live/replay)
Algo Strategy — Partially Visible	MZpackAlgoStrategy2	Algo.Strategy with TradesClusterSignal, DOMImbalanceSignal, and Partially Visible mode
Algo Strategy — Footprint Imbalance	MZpackAlgoStrategy_Imbalance	Algo.Strategy with FootprintImbalanceSignal
Custom Strategy — VWAP/POC	MZpackCustomStrategy0	StrategyVolumeProfileIndicator with VWAP/POC rules for backtesting (OnBarClose)
Custom Strategy — BigTrade + VolumeProfile	MZpackCustomStrategy1	StrategyBigTradeIndicator with StrategyVolumeProfileIndicator in Custom mode for backtesting
Custom Strategy — DOM + Footprint	MZpackCustomStrategy4	StrategyMarketDepthIndicator with StrategyFootprintIndicator, DOM imbalance/block/pace rules (Level 2, live/replay)
Custom Strategy — Liquidity Migration	MZpackCustomStrategy6	Liquidity migration from StrategyMarketDepthIndicator (1 Tick, live/replay)
Technical Indicators	MZpackTechnicalSample0	Using well-known technical indicators in MZpack strategies
Risk Management	RiskManagement	RiskManagement class demo (OnBarClose)
Trading Times	TradingTimes	TradingTimes feature (OnBarClose)

Source Code

The Source Code section provides developer-level walkthroughs of the 4 built-in strategy source files — class structure, indicator wiring, signal implementations, decision tree construction, and data export schemas:

Strategy	What It Demonstrates
Footprint Action	10 signals, AND/OR tree with mandatory grouping, runtime signal toggle, EMA indicator, per-signal bar filters
Ghost Resistance	3 indicators, AND tree with OR sub-node, signal dependency, limit orders, one-entry-per-bar filter
Data Export	Non-trading utility, conditional indicators, per-indicator export schemas, 100+ export fields
Drawing Objects Export	Minimal strategy, XML schema loading, ChartObjectDescriptor mappings