Custom Strategy — Liquidity Migration

Demonstrates liquidity migration data from StrategyMarketDepthIndicator. Use on a 1 Tick chart, live or replay only. This is a custom strategy without Algo.Strategy.

Source: [INSTALL PATH]/API/Samples/MZpackCustomStrategy6.cs Class: MZpackCustomStrategy6 : MZpackStrategyBase

What It Covers

• OnMarketDepthHandler for DOM events
• Liquidity migration calculation: sum bid vs offer migration volumes from blocks
• Entry when migration ratio exceeds threshold
• Migration filters: added volume, bars count, ratio

Indicator Setup

marketDepthIndicator = new StrategyMarketDepthIndicator(this, @"MarketDepth 6")
{
    ShowHistoricalDOM = true,
    ShowImbalance = false,
    ShowRealtimeOrderBook = false,
    ShowCumulativeLevelII = false,
    ShowLiquidityMigration = true,
    MarketDepthFilteringMode = MarketDepthFilteringMode.Percentage,
    UseAboveExpectedAlert = false,
};

Strategy Logic

The OnMarketDepthHandler sums bid and offer migration volumes from blocks that meet the added-volume and bars-count filters, then enters when the ratio between the two sides exceeds the threshold.

protected void StrategyOnMarketDepthHandler(MarketDepthEventArgs e, int currentBarIdx)
{
    if (Position.MarketPosition == MarketPosition.Flat
        && signalLong == null && signalShort == null)
    {
        MarketDepthBlocks blocks;
        if (marketDepthIndicator.Blocks.TryGetValue(CurrentBar, out blocks))
        {
            float bidMigration = blocks
                .Where(x => x.Value.Descriptor.Side == TradeSide.Bid
                    && x.Value.Delta >= Strategy_MigrationAddedVolume
                    && x.Value.Descriptor.StopBarIdx - x.Value.Descriptor.StartBarIdx
                        >= Strategy_MigrationBarsCount)
                .Sum(x => x.Value.Delta);

            float offerMigration = blocks
                .Where(x => x.Value.Descriptor.Side == TradeSide.Ask
                    && x.Value.Delta > Strategy_MigrationAddedVolume
                    && x.Value.Descriptor.StopBarIdx - x.Value.Descriptor.StartBarIdx
                        >= Strategy_MigrationBarsCount)
                .Sum(x => x.Value.Delta);

            if (bidMigration > 0 || offerMigration > 0)
            {
                float ratio = (bidMigration == 0 || offerMigration == 0)
                    ? int.MaxValue
                    : Math.Max(bidMigration, offerMigration)
                        / Math.Min(bidMigration, offerMigration);

                if (ratio >= Strategy_MigrationRatio)
                {
                    if (bidMigration > offerMigration)
                    {
                        // Enter LONG...
                    }
                    else
                    {
                        // Enter SHORT...
                    }
                }
            }
        }
    }
}

Configurable Properties

Entry

Property	Default	Description
Entry_TakeProfitTicks	4	Take profit ticks
Entry_StopLossTicks	4	Stop loss ticks

Strategy

Property	Default	Description
Strategy_MigrationAddedVolume	40	Min added volume for migration
Strategy_MigrationBarsCount	10	Min bars in migration block
Strategy_MigrationRatio	1.5	Bid/offer migration ratio threshold

See Also

• MZpackStrategyBase — base class
• Working with Samples — how to compile samples