Custom Strategy — DOM + Footprint

Demonstrates StrategyMarketDepthIndicator with StrategyFootprintIndicator, combining DOM imbalance, block, and pace-of-tape rules. Requires Level 2 data (live/replay only). Recommended for ES 5 Min chart during RTH. This is a custom strategy without Algo.Strategy.

Source: [INSTALL PATH]/API/Samples/MZpackCustomStrategy4.cs Class: MZpackCustomStrategy4 : MZpackStrategyBase

What It Covers

• OnEachTickHandler for footprint data (pace of tape, session POC)
• OnMarketDepthHandler for DOM events (imbalance, block detection)
• 4-rule entry logic: pace of tape, DOM imbalance ratio, large limit order blocks within distance, session POC directional confirmation
• Position enters opposite direction when all rules align on one side

Indicator Setup

marketDepthIndicator = new StrategyMarketDepthIndicator(this, @"Depth Imbalance")
{
    ShowRealtimeOrderBook = false,
    ShowCumulativeLevelII = false,
    ShowHistoricalDOM = true,
    ShowImbalance = false,
    HoldLevels = true,
    MarketDepthFilteringMode = MarketDepthFilteringMode.Absolute,
    DisplayVolume = Strategy_BlockVolumeFilter,
    ExtremeVolume = Strategy_BlockVolumeFilter * 2,
    UseAboveExpectedAlert = false,
};

footprintIndicator = new StrategyFootprintIndicator(this, @"Clusters")
{
    RightFootprintStyle = FootprintStyle.TradesNumber,
    RightClusterStyle = ClusterStyle.Histogram,
    LeftFootprintStyle = FootprintStyle.Delta,
    LeftClusterStyle = ClusterStyle.None,
    ShowSessionPOC = true,
    ShowSessionVA = true,
    SessionDailyProfileMode = SessionDailyProfileMode.Session,
    // All other stat/imbalance/absorption features disabled
};

Pace of Tape (OnEachTickHandler)

Counts trades near bar high and low within Strategy_ClusterRange levels. Sets tradesClusterLo/tradesClusterHi flags and determines direction by session POC.

protected void StrategyOnEachTickHandler(MarketDataEventArgs e, int currentBarIdx)
{
    IFootprintBar bar;
    if (footprintIndicator.FootprintBars.TryGetValue(currentBarIdx, out bar))
    {
        double priceLo = bar.Lo, priceHi = bar.Hi;
        int tradesOnLo = 0, tradesOnHi = 0;

        for (int i = 0; i < Strategy_ClusterRange; i++)
        {
            int n;
            bar.TradesNumbers.TryGetValue(priceLo, out n);
            tradesOnLo += n;
            bar.TradesNumbers.TryGetValue(priceHi, out n);
            tradesOnHi += n;
            priceLo = footprintIndicator.RoundToTickSize(priceLo + TickSize);
            priceHi = footprintIndicator.RoundToTickSize(priceHi - TickSize);
        }

        tradesClusterLo = tradesOnLo >= Strategy_TradesNumber;
        tradesClusterHi = tradesOnHi >= Strategy_TradesNumber;
        directionBySessionPOC = e.Price.ApproxCompare(bar.Session.POC) > 0
            ? MarketPosition.Short : MarketPosition.Long;
    }
}

DOM Entry Logic (OnMarketDepthHandler)

Enters when all four rules align: pace-of-tape cluster, DOM bid/offer ratio, block within distance, and session POC direction.

protected void StrategyOnMarketDepthHandler(MarketDepthEventArgs e, int currentBarIdx)
{
    if (Position.MarketPosition == MarketPosition.Flat
        && signalLong == null && signalShort == null
        && (tradesClusterLo || tradesClusterHi))
    {
        long bid = marketDepthIndicator.RealtimeOrderBook.GetVolume(TradeSide.Bid);
        long offer = marketDepthIndicator.RealtimeOrderBook.GetVolume(TradeSide.Ask);

        if (bid > 0 && offer > 0)
        {
            if (bid > offer)
            {
                double ratio = (double)bid / offer;
                if (ratio > Strategy_Ratio && tradesClusterLo
                    && directionBySessionPOC == MarketPosition.Long
                    && OrderbookOrderRule(MarketPosition.Long))
                {
                    // Enter LONG...
                }
            }
            // Mirror logic for SHORT...
        }
    }
}

Block Detection Helper

Checks whether any blocks at the current bar meet the volume filter and are within the configured distance from the current price.

bool OrderbookOrderRule(MarketPosition direction)
{
    if (marketDepthIndicator.Blocks.ContainsKey(CurrentBar))
    {
        TradeSide depthSide = direction == MarketPosition.Long
            ? TradeSide.Bid : TradeSide.Ask;
        double price = direction == MarketPosition.Long
            ? GetCurrentBid() : GetCurrentAsk();

        List<KeyValuePair<double, IMarketDepthBlock>> blocks =
            marketDepthIndicator.Blocks[CurrentBar]
            .Where(x => GetDistanceTicks(price, x.Key, depthSide)
                <= Strategy_BlockDistanceTicks
                && x.Value.Volume >= Strategy_BlockVolumeFilter).ToList();

        return blocks.Count > 0;
    }
    return false;
}

Configurable Properties

Entry

Property	Default	Description
Strategy_TakeProfitTicks	33	Take profit ticks
Strategy_StopLossTicks	22	Stop loss ticks

Strategy

Property	Default	Description
Strategy_Ratio	1.4	DOM bid/offer imbalance ratio
Strategy_BlockVolumeFilter	600	Block volume filter
Strategy_BlockDistanceTicks	8	Max block distance from price
Strategy_TradesNumber	500	Min trades in cluster range
Strategy_ClusterRange	3	Levels from bar high/low to check

See Also

• MZpackStrategyBase — base class
• Data Access — mzFootprint — footprint data
• Working with Samples — how to compile samples