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Data Access — mzVolumeDelta

Demonstrates how to access volume delta bar data from StrategyVolumeDeltaIndicator. The OnBarCloseHandler prints volume, delta, cumulative delta, and iceberg volume for each bar.

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

Indicator Setup​

volumeDeltaIndicator = new StrategyVolumeDeltaIndicator(this, @"Volume Delta")
{
    VolumeDeltaMode = VolumeDeltaMode.Delta,
    DeltaMode = DeltaMode.Cumulative,
    TradeFilterMin = 0,
    TradeFilterMax = 10,
    ZeroLine = true
};

Apply UI property overrides in State.Configure:

else if (State == State.Configure)
{
    volumeDeltaIndicator.TradeFilterMin = TradeFilterMin;
    volumeDeltaIndicator.TradeFilterMax = TradeFilterMax;
}

Accessing IVolumeDeltaBar​

void StrategyOnBarCloseHandler(MarketDataEventArgs e, int currentBarIdx)
{
    if (volumeDeltaIndicator.VolumeDeltaBars.ContainsKey(currentBarIdx))
    {
        IVolumeDeltaBar bar = volumeDeltaIndicator.VolumeDeltaBars[currentBarIdx];
        // ...
    }
}

Available Data​

// Volume (use FromInternalVolume() for crypto)
volumeDeltaIndicator.FromInternalVolume(bar.Volume)  // Total volume
bar.VolumeBySide(TradeSide.Bid)     // Sell volume
bar.VolumeBySide(TradeSide.Ask)     // Buy volume

// Iceberg volume
bar.IcebergVolume                          // Total iceberg volume
bar.IcebergVolumeBySide(TradeSide.Bid)     // Iceberg on bid
bar.IcebergVolumeBySide(TradeSide.Ask)     // Iceberg on ask

// Delta
bar.Delta               // Bar delta
bar.OpenDelta           // Open delta (cumulative delta of previous bar)
bar.CumulativeDelta     // Cumulative delta of this bar
bar.DeltaHi             // Max delta within bar
bar.DeltaLo             // Min delta within bar

// Cumulative extremes
bar.DeltaHi + bar.OpenDelta    // Max cumulative delta in bar
bar.DeltaLo + bar.OpenDelta    // Min cumulative delta in bar

Properties​

PropertyDefaultDescription
TradeFilterMin0Minimum trade size filter
TradeFilterMax-1Maximum trade size filter (-1 = no limit)

See Also​