StrategyBigTradeIndicator

StrategyBigTradeIndicator wraps mzBigTrade for use inside MZpack strategies. It implements IBigTradeIndicator.

Namespace: MZpack.NT8.Algo.Indicators Inheritance: StrategyBigTradeIndicator : mzBigTrade, IBigTradeIndicator Data level: Level 1 Source: [INSTALL PATH]/API/Indicators/StrategyBigTradeIndicator.cs

Setup in a Strategy

public class MyStrategy : MZpackStrategyBase
{
    StrategyBigTradeIndicator btIndicator;

    protected override void OnStateChange()
    {
        if (State == State.Configure)
        {
            btIndicator = new StrategyBigTradeIndicator(this, "BigTrade");

            // Configure trade filter
            btIndicator.TradeFilterEnable = true;
            btIndicator.TradeFilterMin = 100;
            btIndicator.FilterLogic = TradeFilterLogic.All;

            // Optional: enable iceberg detection
            btIndicator.IcebergFilterEnable = true;
            btIndicator.IcebergFilterMin = 200;

            // Optional: DOM pressure filter
            btIndicator.DomPressureFilterEnable = true;
            btIndicator.DomPressureFilterMin = 1.5;
        }
    }
}

Accessing Data

protected override void OnBarUpdate()
{
    if (CurrentBar < 1) return;

    // Get the last N filtered trades
    List<ITrade> trades = btIndicator.Trades;
    int count = trades.Count;
    if (count == 0) return;

    // Most recent trade
    ITrade lastTrade = trades[count - 1];
    double price = lastTrade.Price;
    long volume = lastTrade.Volume;
    TradeSide side = lastTrade.Side;

    // Check for trades on the current bar
    if (btIndicator.ChartTrades.ContainsKey(CurrentBar))
    {
        var barTrades = btIndicator.ChartTrades[CurrentBar];
        long totalBuyVolume = 0;
        long totalSellVolume = 0;

        foreach (ITradeView tv in barTrades)
        {
            // Aggregate buy/sell volume
        }
    }
}

Exported Values

Category	Values
Price	Open (StartPrice), Close (StopPrice), High, Low, RangeTicks
Volume	Volume, IcebergVolume
POC	POC, POCVolume
DOM	DomSupportVolume, DomPressureVolume
Characteristics	Side, Smart, TicksNumber

See Also

• IBigTradeIndicator — interface reference