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Export Indicator Values

Demonstrates how to export MZpack indicator data to CSV files using the IndicatorExport and DataSchema classes. Set ExportTemporality to Historical for chart data or Realtime for live data. Saving begins when the strategy is disabled.

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

What It Covers​

  • StrategyFootprintIndicator and StrategyVolumeProfileIndicator with SaveSettings
  • IndicatorExport with ExportArgs (file, delimiter, time, header)
  • DataSchema with IndValue enum for column selection
  • Two exports: footprint (open, close, volume, delta, POC, session POC) and volume profile (high, low, volume, delta, VAH, VAL, POC, VWAP, std deviations, TPO POC)
  • ExportTemporality.Historical for backtesting, Realtime for live

Indicator Setup​

indicators.Add(new StrategyFootprintIndicator(this, FOOTPRINT)
{
    SaveSettings = true,
    ShowVersionInfo = false
});

indicators.Add(new StrategyVolumeProfileIndicator(this, VOLUMEPROFILE)
{
    SaveSettings = true,
    ShowVersionInfo = false,
    ShowProfileType = ProfileType.VP,
    StackedShowProfileType1 = ProfileType.None,
    VWAPMode = VWAPMode.Dynamic
});

Export Setup​

Footprint Export​

IndicatorExport footprintDataExport = new IndicatorExport(this,
    footprintIndicator,
    ExportDataSource.Level1,
    ExportTemporality,
    ExportGranularity.Bar,
    new ExportArgs()
    {
        IsFile = true,
        BaseDirectory = BaseDir,
        FileName = FootprintFile,
        Delimiter = ';',
        IsTime = true,
        IsHeader = true
    });

DataSchema schema = new DataSchema(footprintDataExport.DataSet)
    .Append(IndValue.Open)
    .Append(IndValue.Close)
    .Append(IndValue.Volume)
    .Append(IndValue.Delta)
    .Append(IndValue.POC)
    .Append(IndValue.SessionPOC);
if (ExportVAH)
    schema.Append(IndValue.VAH);
footprintDataExport.DataSet.Schema = schema;

Register(footprintDataExport);

Volume Profile Export Schema​

schema = new DataSchema(volumeProfileDataExport.DataSet)
    .Append(IndValue.High)
    .Append(IndValue.Low)
    .Append(IndValue.Volume)
    .Append(IndValue.Delta)
    .Append(IndValue.VAH)
    .Append(IndValue.VAL)
    .Append(IndValue.POC)
    .Append(IndValue.VWAP)
    .Append(IndValue._1StdDeviationPos)
    .Append(IndValue._1StdDeviationNeg)
    .Append(IndValue.TPO_POC);

Configurable Properties​

PropertyDefaultDescription
ExportTemporalityHistoricalHistorical or Realtime export
BaseDir—Override base directory (default: Documents\NinjaTrader 8\mzpack\...)
FootprintFile"footprint.csv"Footprint export filename
VolumeProfileFile""Volume profile filename (empty = random name)
ExportVAHfalseInclude VAH in footprint export

See Also​