Algo Strategy — Footprint Imbalance

Demonstrates an Algo.Strategy that uses FootprintImbalanceSignal to detect footprint imbalances, with trading time windows, risk management, and a custom strategy subclass that tracks entry bar indices.

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

What It Covers

Custom AlgoStrategy_Imbalance subclass with OnPositionOpenFilter override
OnOrderUpdate tracking entry bar index
StrategyFootprintIndicator configured for imbalance detection
FootprintImbalanceSignal with MinCount and PartiallyVisibleMode
TradingTimes with two configurable windows
RiskManagement with daily loss, profit, and trades limits
Footprint visual customization (values brush, font)

Architecture

MZpackAlgoStrategy_Imbalance : MZpackStrategyBase
 ├── StrategyFootprintIndicator "Imbalance"
 │    └── IsPartiallyVisible (configurable)
 └── AlgoStrategy_Imbalance : Algo.Strategy
      ├── TradingTimes[] (two configurable windows)
      ├── RiskManagement (daily limits)
      └── Entry Pattern (AND root, short-circuit)
           └── FootprintImbalanceSignal "Imbalance"

Custom Strategy Subclass

The AlgoStrategy_Imbalance subclass overrides OnPositionOpenFilter and tracks the entry bar index via OnOrderUpdate:

class AlgoStrategy_Imbalance : MZpack.NT8.Algo.Strategy
{
    int entryBarIdx = -1;

    public AlgoStrategy_Imbalance(string name, MZpackAlgoStrategy_Imbalance strategy)
        : base(name, strategy) { }

    public override bool OnPositionOpenFilter(DateTime time)
    {
        return true;  // No double entries logic available (commented out)
    }

    public override void OnOrderUpdate(Order order, OrderState orderState)
    {
        base.OnOrderUpdate(order, orderState);
        if (orderState == OrderState.Filled && order.Name == ENTRY_NAME)
            entryBarIdx = MZpackStrategy.CurrentBar;
    }
}

Creating the Algo.Strategy

Trading times and risk management are configured on the strategy instance:

AlgoStrategy_Imbalance strategy = new AlgoStrategy_Imbalance(
    @"MZpack Algo Strategy - Imbalance", this)
{
    OppositePatternAction = OppositePatternAction.None,
    LogLevel = LogLevel, LogTarget = LogTarget, LogTime = LogTime
};

if (Time1_Enable)
    strategy.TradingTimes.Add(new TradingTime()
    { Begin = tryParseDateTime(Time1_Begin), End = tryParseDateTime(Time1_End) });

strategy.RiskManagement = new MZpack.NT8.Algo.RiskManagement(strategy)
{
    Currency = Currency.UsDollar,
    EntryName = ENTRY_NAME,
    DailyLossLimitEnable = Risk_DailyLossLimit_Enable,
    DailyLossLimit = Risk_DailyLossLimit,
    DailyProfitLimitEnable = Risk_DailyProfitLimit_Enable,
    DailyProfitLimit = Risk_DailyProfitLimit,
    DailyTradesLimitEnable = Risk_DailyTradesLimit_Enable,
    DailyTradesLimit = Risk_DailyTradesLimit
};

Footprint Indicator Setup

footprintIndicator = new StrategyFootprintIndicator(this, @"Imbalance")
{
    ShowBarVolume = false,
    ShowBarDelta = true,
    ShowImbalance = true,
    ImbalanceMarker = FootprintImbalanceMarker.Always,
    ImbalanceHighlightValues = true,
    ShowBarPOC = true,
    ShowVersionInfo = false
};

Signal Setup

A single FootprintImbalanceSignal is added to an AND-root pattern:

pattern.Signals.Root.AddChild(new FootprintImbalanceSignal(Strategy, footprintIndicator)
{
    Name = "Imbalance",
    IsReset = true,
    MinCount = Strategy_Footprint_BarImbalanceMinCount,
    PartiallyVisibleMode = SignalPartiallyVisibleMode.OnPatternValidated
});

Strategy.Initialize(pattern, null, entries);

Configurable Properties

Strategy

Property	Default	Description
`Strategy_Footprint_TicksPerLevel`	`1`	Ticks per level
`Strategy_Footprint_ImbalancePercentage`	`100`	Imbalance percentage
`Strategy_Footprint_ImbalanceFilter`	`1`	Imbalance volume filter
`Strategy_Footprint_BarImbalanceMinCount`	`1`	Min imbalances in bar

Position

Property	Default	Description
`Position_Direction`	`Any`	Allowed direction
`Position_Quantity`	`2`	Contracts
`Position_StopLoss`	`18`	Stop loss ticks
`Position_ProfitTarget`	`35`	Profit target ticks
`Position_IsBE`	`false`	Enable breakeven
`Position_IsTrail`	`true`	Enable trailing
`Position_TrailAfter`	`20`	Trail after ticks
`Position_TrailDistance`	`10`	Trail distance ticks
`Position_TrailStep`	`2`	Trail step ticks

Trading Time

Property	Default	Description
`Time1_Enable`	`false`	Enable first window
`Time1_Begin`	`"08:30:00"`	Start time
`Time1_End`	`"15:15:00"`	End time
`Time2_Enable`	`false`	Enable second window

Risk Management

Property	Default	Description
`Risk_DailyLossLimit_Enable`	`true`	Enable daily loss limit
`Risk_DailyLossLimit`	`500`	Daily loss limit (USD)
`Risk_DailyProfitLimit_Enable`	`true`	Enable daily profit limit
`Risk_DailyProfitLimit`	`2500`	Daily profit limit (USD)
`Risk_DailyTradesLimit_Enable`	`false`	Enable daily trades limit
`Risk_DailyTradesLimit`	`5`	Max trades per day

Footprint

Property	Default	Description
`VisibleFootprintIndicator`	`true`	Show footprint indicator
`PartiallyVisibleFootprintIndicator`	`false`	Partially visible mode

What It Covers​

Architecture​

Custom Strategy Subclass​

Creating the Algo.Strategy​

Footprint Indicator Setup​

Signal Setup​

Configurable Properties​

Strategy​

Position​

Trading Time​

Risk Management​

Footprint​

See Also​