Skip to main content

Algo Strategy — Patterns + ATM

Demonstrates a pattern-based Algo.Strategy that combines custom BigTradeSignal, EMASignal, and DOMImbalanceFilter. Requires Level 2 data (live or replay only). Uses dual entries with independent stop/target settings and limit order support with cancel-after-bars logic.

Source: [INSTALL PATH]/API/Samples/MZpackAlgoStrategy1.cs (uses AlgoStrategy1.cs) Class: MZpackAlgoStrategy1 : MZpackStrategyBase

What It Covers​

  • Custom AlgoStrategy1 subclass with OnPositionOpenFilter (no entries on stop-loss bar)
  • Three indicators: StrategyBigTradeIndicator, EMA, StrategyMarketDepthIndicator
  • Two custom signals: BigTradeSignal (Level 1, OnEachTick) and EMASignal (Level 1, OnEachTick)
  • Custom DOMImbalanceFilter (Level 2, OnEachTick)
  • Pattern with AND root, Range {Bars=1} for signals, Range {Bars=5} for filters
  • Dual entries with independent stop/target, trail on entry 2
  • Limit order support with cancel-after-bars logic
  • OnEachTickHandler for pending limit order cancellation

Architecture​

MZpackAlgoStrategy1 : MZpackStrategyBase
 ├── StrategyBigTradeIndicator "Big Trade"
 ├── EMA indicator
 ├── StrategyMarketDepthIndicator "Market Depth"
 └── AlgoStrategy1 : Algo.Strategy
      └── Entry Pattern (AND root, short-circuit)
           ├── SignalsTree (AND, range: 1 bar)
           │    ├── BigTradeSignal "Big Trade"
           │    └── EMASignal "EMA"
           └── FiltersTree (AND, range: 5 bars)
                └── DOMImbalanceFilter (optional)

Custom Strategy Subclass​

AlgoStrategy1 prevents entries on the same bar as a stop loss and tracks stop-loss bar index:

public class AlgoStrategy1 : MZpack.NT8.Algo.Strategy
{
    int stopLossBarIdx = -1;

    public override bool OnPositionOpenFilter(DateTime time)
    {
        if ((Pattern.Direction == ((MZpackAlgoStrategy1)MZpackStrategy).Position_Direction
            || ((MZpackAlgoStrategy1)MZpackStrategy).Position_Direction == SignalDirection.Any)
            && MZpackStrategy.CurrentBar > stopLossBarIdx)
        {
            stopLossBarIdx = -1;
            return true;
        }
        return false;
    }

    public override void OnOrderUpdate(Order order, OrderState orderState)
    {
        base.OnOrderUpdate(order, orderState);
        Entry e;
        if (orderState == OrderState.Filled && Positions.IsStoplossOrder(order, out e))
            stopLossBarIdx = MZpackStrategy.CurrentBar;
    }
}

BigTradeSignal​

Custom signal based on ReconstructedTrades. Fires when a trade meets volume, iceberg, and DOM pressure thresholds. Calculates entry price with a configurable shift from the trade price:

class BigTradeSignal : Signal
{
    ITrade lastTrade;

    public BigTradeSignal(MZpack.NT8.Algo.Strategy strategy)
        : base(strategy, MarketDataSource.Level1, SignalCalculate.OnEachTick, false) { }

    public override void OnCalculate(MarketDataEventArgs e, int barIdx, SignalDirection allowed)
    {
        MZpackAlgoStrategy1 __strategy = ((MZpackAlgoStrategy1)Strategy.MZpackStrategy);
        if (__strategy.BigTradeIndicator.ReconstructedTrades.Count > 0)
        {
            ITrade trade = __strategy.BigTradeIndicator.ReconstructedTrades[
                __strategy.BigTradeIndicator.ReconstructedTrades.Count - 1];

            if (lastTrade == null || lastTrade.Id != trade.Id)
            {
                if (trade.Volume >= __strategy.BigTrade_TradeVolume
                    && trade.IcebergVolume >= __strategy.BigTrade_IcebergVolume
                    && trade.DomPressureVolume >= __strategy.BigTrade_DomPressureVolume)
                {
                    Direction = trade.Side == TradeSide.Bid
                        ? SignalDirection.Long : SignalDirection.Short;
                    ChartRange = new ChartRange()
                    { MinBarIdx = trade.StartBarIdx, MaxBarIdx = trade.StopBarIdx };
                    EntryPrice = __strategy.Instrument.MasterInstrument.RoundToTickSize(
                        Direction == SignalDirection.Long
                            ? trade.StopPrice + Math.Min(
                                __strategy.Signals_EntryShiftTicks * __strategy.TickSize,
                                __strategy.GetCurrentBid())
                            : trade.StopPrice - Math.Min(
                                __strategy.Signals_EntryShiftTicks * __strategy.TickSize,
                                __strategy.GetCurrentAsk()));
                }
                lastTrade = trade;
            }
        }
    }
}

EMASignal​

Fires when price is above or below the EMA, matching the allowed direction:

class EMASignal : Signal
{
    public EMASignal(MZpack.NT8.Algo.Strategy strategy)
        : base(strategy, MarketDataSource.Level1, SignalCalculate.OnEachTick, false) { }

    public override void OnCalculate(MarketDataEventArgs e, int barIdx, SignalDirection allowed)
    {
        double ema = ((MZpackAlgoStrategy1)Strategy.MZpackStrategy).EMAIndicator.Values[0][barIdx];
        if ((e.Price > ema && Signal.IsShortAllowed(allowed)) ||
            (e.Price < ema && Signal.IsLongAllowed(allowed)))
        {
            Direction = allowed;
            ChartRange = new ChartRange() { MinBarIdx = barIdx, MaxBarIdx = barIdx };
            Time = e.Time;
        }
    }
}

DOMImbalanceFilter​

Level 2 filter that compares total offer vs. total bid volume in the order book:

class DOMImbalanceFilter : Signal
{
    double ratio;

    public DOMImbalanceFilter(MZpack.NT8.Algo.Strategy strategy, double ratio)
        : base(strategy, MarketDataSource.Level2, SignalCalculate.OnEachTick, false)
    {
        this.ratio = ratio;
    }

    public override void OnCalculate(MarketDepthEventArgs e, int barIdx, SignalDirection allowed)
    {
        MZpackAlgoStrategy1 __strategy = ((MZpackAlgoStrategy1)Strategy.MZpackStrategy);
        if (barIdx > -1 && Signal.IsDetermined(allowed))
        {
            long totalOffer = __strategy.DOMImbalanceIndicator
                .RealtimeOrderBook.GetVolume(TradeSide.Ask);
            long totalBid = __strategy.DOMImbalanceIndicator
                .RealtimeOrderBook.GetVolume(TradeSide.Bid);
            double offerBidRatio = (double)totalOffer / totalBid;
            double bidOfferRatio = (double)totalBid / totalOffer;

            if ((Signal.IsShortAllowed(allowed) && offerBidRatio >= ratio) ||
                (Signal.IsLongAllowed(allowed) && bidOfferRatio >= ratio))
            {
                Direction = allowed;
                ChartRange = new ChartRange() { MinBarIdx = barIdx, MaxBarIdx = barIdx };
                Time = e.Time;
            }
        }
    }
}

Pending Limit Cancellation​

OnEachTickHandler cancels pending limit orders after a configurable number of bars:

protected void StrategyOnEachTickHandler(MarketDataEventArgs e, int currentBarIdx)
{
    lock (Sync)
    {
        if (pendingLimitBarIdx > 0
            && currentBarIdx - pendingLimitBarIdx > Common_CancelLimitAfterBars
            && Strategy.Positions.HasPendingLimitOrders())
        {
            Strategy.Patterns.Reset(SignalsTree.MARKETDATASOURCES_LEVEL1);
            Strategy.Positions.CancelPendingEntries(
                "Cancelled by overpassed bars count", e.Time);
            pendingLimitBarIdx = -1;
        }
    }
}

Configurable Properties​

Common​

PropertyDefaultDescription
Common_EntryMethodLimitOrder type (Market/Limit)
Common_CancelLimitAfterBars10Cancel pending limit after N bars
Common_OppositePatternActionReverseAction on opposite signal

Position​

PropertyDefaultDescription
Position_DirectionAnyAllowed direction
Position_Quantity12Entry 1 contracts
Position_Quantity21Entry 2 contracts (0 = disabled)
Position_StopLoss118Entry 1 stop loss ticks
Position_StopLoss220Entry 2 stop loss ticks
Position_ProfitTarget135Entry 1 profit target ticks
Position_ProfitTarget270Entry 2 profit target ticks
Position_IsBEfalseEnable breakeven
Position_BEAfterTicks20Ticks before breakeven
Position_BEShiftTicks5Breakeven shift ticks
Position_IsTrailtrueEnable trailing on entry 2
Position_TrailAfter15Trail activation ticks
Position_TrailDistance10Trail distance ticks
Position_TrailStep2Trail step ticks

Signals​

PropertyDefaultDescription
BigTrade_TradeVolume300Trade volume filter
BigTrade_IcebergVolume0Iceberg volume filter
BigTrade_IcebergAlgoSoftIceberg detection algorithm
BigTrade_DomPressureVolume20DOM pressure filter
EMA_Period14EMA period
Signals_EntryShiftTicks-2Entry price shift from trade price

Filters​

PropertyDefaultDescription
Filters_DOMImbalancetrueEnable DOM imbalance filter
Filters_DOMImbalance_Ratio1.4DOM bid/ask imbalance ratio

See Also​