Multi-DataSeries Advanced

Demonstrates trading on a second data series using Algo.Strategy in unmanaged mode. Adds a secondary instrument/timeframe via AddDataSeries and routes trade execution to it.

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

What It Covers

• Algo.Strategy with IsUnmanaged = true (required for multi-dataseries)
• WorkingDataSeriesIdx = -1 to pass all data series to the core
• TradingDataSeriesIdx = 1 to route entries to the secondary series
• UpDownBarSignal for simple entry logic

Strategy Setup

protected MZpack.NT8.Algo.Strategy CreateAlgoStrategy()
{
    MZpack.NT8.Algo.Strategy strategy = new MZpack.NT8.Algo.Strategy(
        @"Multi-DataSeries Advanced", this)
    {
        IsUnmanaged = Strategy_Instrument_Enable ? true : false,
    };
    return strategy;
}

Configuration

When the secondary instrument is enabled, WorkingDataSeriesIdx is set to -1 so the core processes all data series, and TradingDataSeriesIdx routes entries to the secondary series:

if (Strategy_Instrument_Enable)
{
    WorkingDataSeriesIdx = -1;  // Pass all dataseries to the core
    AddDataSeries(Strategy_Instrument_Name,
        Strategy_Instrument_BarsPeriodType,
        Strategy_Instrument_BarsPeriodValue);
    TradingDataSeriesIdx = 1;  // Route entries to secondary series
}

Entry[] entries = new Entry[EntriesPerDirection];
entries[0] = new Entry(Strategy)
{
    Quantity = 1,
    SignalName = "MDSA",
    StopLossCalculationMode = CalculationMode.Ticks,
    StopLossTicks = 10,
    ProfitTargetCalculationMode = CalculationMode.Ticks,
    ProfitTargetTicks = 20,
};

Pattern entryPattern = new Pattern(Strategy, Logic.And, null, true);
entryPattern.Signals.Root.AddChild(new UpDownBarSignal(Strategy) { Name = "Up/Down" });
Strategy.Initialize(entryPattern, exitPattern, entries);

Configurable Properties

Property	Default	Description
Strategy_Instrument_Enable	true	Enable secondary instrument
Strategy_Instrument_Name	"MES 12-24"	Secondary instrument name
Strategy_Instrument_BarsPeriodType	Minute	Secondary instrument period type
Strategy_Instrument_BarsPeriodValue	1	Secondary instrument period value

Key Points

• IsUnmanaged = true is mandatory for multi-dataseries strategies
• WorkingDataSeriesIdx = -1 tells the core to process all data series, not just the primary
• TradingDataSeriesIdx sets which data series receives the trade entries

See Also

• MZpackStrategyBase — base class
• Algo.Strategy — strategy framework
• Entry — entry configuration
• Multi-DataSeries Strategy — indicators on multiple data series
• Working with Samples — how to compile samples