StrategyVolumeProfileIndicator

StrategyVolumeProfileIndicator wraps mzVolumeProfile for use inside MZpack strategies. It implements IVolumeProfileIndicator, so all data access is identical to the chart indicator.

Namespace: MZpack.NT8.Algo.Indicators Inheritance: StrategyVolumeProfileIndicator : mzVolumeProfile, IVolumeProfileIndicator Data level: Level 1 Source: [INSTALL PATH]/API/Indicators/StrategyVolumeProfileIndicator.cs

Setup in a Strategy

public class MyStrategy : MZpackStrategyBase
{
    StrategyVolumeProfileIndicator vpIndicator;

    protected override void OnStateChange()
    {
        if (State == State.Configure)
        {
            vpIndicator = new StrategyVolumeProfileIndicator(this, "VP");

            // Configure profile creation
            vpIndicator.ProfileCreation = ProfileCreation.Session;
            vpIndicator.ShowProfileType = ProfileType.VP;
            vpIndicator.TicksPerLevel = 1;
            vpIndicator.VAPercentage = 0.70f;

            // For backtesting, use Minute accuracy
            vpIndicator.ProfileAccuracy = ProfileAccuracy.Minute;
        }
    }
}

note

For backtesting with OnBarClose, use ProfileAccuracy.Minute. Tick accuracy requires Tick Replay or live data.

Accessing Data

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

    // Get the most recent profile
    IVolumeProfile profile = vpIndicator.GetProfile(0);
    if (profile == null || profile.IsEmpty) return;

    // Key levels
    double poc = profile.POC;
    double vah = profile.VAH;
    double val = profile.VAL;
    double vwap = profile.VWAP;

    // Standard deviations
    double upper1SD = profile._1StdDeviationPos;
    double lower1SD = profile._1StdDeviationNeg;

    // Volume data
    long totalVolume = profile.Volume;
    long delta = profile.Delta;

    // Price position relative to Value Area
    double price = Close[0];
    if (price > vah)
    {
        // Price above Value Area
    }
    else if (price < val)
    {
        // Price below Value Area
    }
    else
    {
        // Price inside Value Area
    }

    // Find nearest VAH/VAL from all profiles
    foreach (IModelItem2 item in vpIndicator.Profiles)
    {
        IVolumeProfile p = item as IVolumeProfile;
        if (p == null) continue;

        double pVAH = p.VAH;
        double pVAL = p.VAL;
    }
}

Exported Values

StrategyVolumeProfileIndicator exports 20+ values for data export and strategy plots:

Category	Values
OHLC	Open, High, Low, Close, MID
Duration	DurationMs, RangeTicks
Volume	Volume, BuyVolume, SellVolume, TradesNumber
Delta	Delta, DeltaPercentage
Value Area	VAH, VAL, POC, POCVolume, TickPOC, TickPOCVolume
VWAP	VWAP, _1StdDeviationPos/Neg, _2StdDeviationPos/Neg
POC breakdown	BuyPOCVolume, SellPOCVolume, VAVolume
TPO	TPO_POC, TPO_VAH, TPO_VAL, TPOLettersCount

See Also

• IVolumeProfileIndicator — interface reference
• IVolumeProfile / Profile2 — profile data structure
• Data Access — mzVolumeProfile — sample code