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Algo Strategy — ATM + TradesClusterSignal

Demonstrates an Algo.Strategy that uses TradesClusterSignal to detect trade clusters on both Ask and Bid sides, then enters with market orders using breakeven and trailing stop management.

Source: [INSTALL PATH]/API/Samples/MZpackAlgoStrategy0.cs Class: MZpackAlgoStrategy0 : MZpackStrategyBase

What It Covers​

  • StrategyBigTradeIndicator for trade cluster detection
  • Algo.Strategy with OppositePatternAction.Reverse
  • Pattern with OR logic root and two TradesClusterSignal instances (Ask/Bid)
  • Single Entry with market orders, breakeven, and trailing stop
  • TradesClusterSignal configured with Range (bars + ticks), MinVolume, MinCount
  • PartiallyVisibleMode = OnPatternValidated

Architecture​

MZpackAlgoStrategy0 : MZpackStrategyBase
 ├── StrategyBigTradeIndicator "Clusters"
 └── Algo.Strategy
      └── Entry Pattern (OR root)
           ├── TradesClusterSignal "Ask Clusters" → Short
           └── TradesClusterSignal "Bid Clusters" → Long

Constructor​

The constructor wires up delegate callbacks for indicator and strategy creation:

public MZpackAlgoStrategy0() : base()
{
    OnCreateAlgoStrategy = new OnCreateAlgoStrategyDelegate(CreateAlgoStrategy);
    OnCreateIndicators = new OnCreateIndicatorsDelegate(CreateIndicators);
}

Creating the Algo.Strategy​

protected MZpack.NT8.Algo.Strategy CreateAlgoStrategy()
{
    return new MZpack.NT8.Algo.Strategy(@"MZpack Algo Strategy #0", this)
    {
        OppositePatternAction = OppositePatternAction.Reverse,
        LogLevel = LogLevel,
        LogTarget = LogTarget,
        LogTime = LogTime
    };
}

Indicator Setup​

bigTradeIndicator = new StrategyBigTradeIndicator(this, @"Clusters")
{
    FilterLogic = TradeFilterLogic.ALL,
    TradeFilterEnable = true,
    DomPressureFilterEnable = true,
    AggressionFilterEnable = false,
    MarkerType = TradeMarkerType.Box,
    MaxShapeExtent = 10,
    ColorMode = ColorMode.Saturation,
    ShowTradePOC = true,
    VolumesPosition = VolumesPosition.OutsideRight,
    UseBigTradeAlert = false
};

Pattern Setup​

Two TradesClusterSignal instances are added to an OR root — Ask clusters trigger Short entries, Bid clusters trigger Long entries:

Pattern pattern = new Pattern(Strategy,
    Logic.Or,
    null,
    true);

pattern.Signals.Root.AddChild(
    new TradesClusterSignal(Strategy, bigTradeIndicator, SignalDirection.Short)
    {
        Name = "Ask Clusters",
        Side = TradeSide.Ask,
        Range = new Range() { Bars = BigTrade_ClusterBarRange, Ticks = BigTrade_ClusterPriceRangeTicks, Logic = Logic.And },
        MinVolume = BigTrade_MinTotalVolume,
        MinCount = BigTrade_MinTotalCount,
        VolumeCountLogic = Logic.And,
        PartiallyVisibleMode = SignalPartiallyVisibleMode.OnPatternValidated
    });
pattern.Signals.Root.AddChild(
    new TradesClusterSignal(Strategy, bigTradeIndicator, SignalDirection.Long)
    {
        Name = "Bid Clusters",
        Side = TradeSide.Bid,
        Range = new Range() { Bars = BigTrade_ClusterBarRange, Ticks = BigTrade_ClusterPriceRangeTicks, Logic = Logic.And },
        MinVolume = BigTrade_MinTotalVolume,
        MinCount = BigTrade_MinTotalCount,
        VolumeCountLogic = Logic.And,
        PartiallyVisibleMode = SignalPartiallyVisibleMode.OnPatternValidated
    });

Strategy.Initialize(pattern, entries, 3);

Entry Setup​

A single entry with market order, optional breakeven, and optional trailing stop:

Entry[] entries = new Entry[EntriesPerDirection];
Trail trail = Position_IsTrail ? new Trail(Position_TrailAfter, Position_TrailDistance, Position_TrailStep) : null;
entries[0] = new Entry(Strategy)
{
    EntryMethod = EntryMethod.Market,
    Quantity = Position_Quantity,
    SignalName = SIGNAL_NAME,
    StopLossTicks = Position_StopLoss,
    ProfitTargetTicks = Position_ProfitTarget,
    IsBreakEven = Position_IsBE,
    BreakEvenAfterTicks = Position_BEAfterTicks,
    BreakEvenShiftTicks = Position_BEShiftTicks,
    Trail = trail
};

Configurable Properties​

Signals​

PropertyDefaultDescription
BigTrade_TradeMin20Min trade volume filter
BigTrade_TradeMax500Max trade volume filter
BigTrade_DomPressureMin5Min DOM pressure
BigTrade_ClusterBarRange4Cluster bar range
BigTrade_ClusterPriceRangeTicks4Cluster price range in ticks
BigTrade_MinTotalVolume50Min total cluster volume
BigTrade_MinTotalCount3Min trades in cluster

Position​

PropertyDefaultDescription
Position_DirectionAnyAllowed direction
Position_Quantity2Contracts
Position_StopLoss18Stop loss ticks
Position_ProfitTarget35Profit target ticks
Position_IsBEfalseEnable breakeven
Position_BEAfterTicks14Ticks before breakeven
Position_BEShiftTicks4Breakeven shift ticks
Position_IsTrailtrueEnable trailing
Position_TrailAfter20Trail activation ticks
Position_TrailDistance10Trail distance ticks
Position_TrailStep2Trail step ticks

See Also​