StrategyFootprintIndicator

StrategyFootprintIndicator wraps mzFootprint for use inside MZpack strategies. It implements IFootprintIndicator, so all data access is identical to the chart indicator.

Namespace: MZpack.NT8.Algo.Indicators Inheritance: StrategyFootprintIndicator : mzFootprint, IFootprintIndicator Data level: Level 1 Source: [INSTALL PATH]/API/Indicators/StrategyFootprintIndicator.cs

Setup in a Strategy

public class MyStrategy : MZpackStrategyBase
{
    StrategyFootprintIndicator footprint;

    protected override void OnStateChange()
    {
        if (State == State.Configure)
        {
            // Create the indicator
            footprint = new StrategyFootprintIndicator(this, "Footprint");

            // Configure settings
            footprint.TicksPerLevel = 1;
            footprint.TradeFilterMin = 0;
            footprint.ShowImbalance = true;
            footprint.ImbalancePercentage = 300;
            footprint.ShowAbsorption = true;
        }
    }
}

Accessing Data

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

    // Get the current footprint bar
    IFootprintBar bar = footprint.FootprintBars[CurrentBar];

    // Bar-level data
    long delta = bar.Delta;
    double poc = bar.POC;
    long volume = bar.Volume;
    long buyVolume = bar.BuyVolume;
    long sellVolume = bar.SellVolume;

    // Per-level data
    foreach (var kvp in bar.Volumes)
    {
        double price = kvp.Key;
        long levelVolume = kvp.Value;
    }

    // Imbalance check
    if (bar.BuyImbalanceCount >= 3)
    {
        // Stacked buy imbalances detected
    }

    // Session data
    ISession session = footprint.GetSession(Time[0]);
    double sessionPOC = session.POC;
    long sessionDelta = session.Delta;
}

Exported Values

StrategyFootprintIndicator exports 50+ values for use in data export and strategy plots:

Category	Values
OHLC	Open, High, Low, Close
Volume	Volume, BuyVolume, SellVolume
Delta	Delta, MinDelta, MaxDelta, DeltaChange, DeltaCumulative, DeltaRate
Value Area	POC, POCVolume, VAH, VAL
Session	SessionPOC, SessionVAH, SessionVAL, SessionOpen, SessionClose, SessionHigh, SessionLow
Per-level	Volumes, Deltas, Bids, Asks, TradesNumbers (as arrays)

See Also

• IFootprintIndicator — interface reference
• IFootprintBar / ISession — data structures
• Data Access — mzFootprint — sample code