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Multi-DataSeries Strategy

Demonstrates using indicators attached to different data series. A StrategyFootprintIndicator runs on the primary data series and a StrategyVolumeProfileIndicator runs on a secondary 30-minute series. Prints bar data from both indicators on bar close.

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

What It Covers​

  • Two indicators on different DataSeriesIndex values
  • AddDataSeries(BarsPeriodType.Minute, 30) for the secondary series
  • OnEachTickHandler with manual on-bar-close emulation (BarsInProgress == 0 && currentBarIdx > lastBarIdx)
  • Footprint with full feature set (imbalances, SR zones, absorptions, cluster zones, statistic grid)
  • Volume profile with session profiles and developing POC
  • EnableBacktesting = true

Indicator Setup​

Footprint (Primary Data Series)​

footprintIndicator = new StrategyFootprintIndicator(this, @"Footprint")
{
    DataSeriesIndex = 0,  // Primary data series (default)
    LeftFootprintStyle = FootprintStyle.Delta,
    RightFootprintStyle = FootprintStyle.Volume,
    TicksPerLevel = 1,
    ShowSessionPOC = true,
    ShowSessionVA = true,
    SessionDailyProfileMode = SessionDailyProfileMode.Session,
    SessionVAIsDeveloping = true,
    ShowBarVA = true,
    BarVAPercentage = 70,
    ShowBarPOC = true,
    ShowBarPOCCount = 3,
    ShowBarVolume = true,
    ShowBarDelta = true,
    ShowBarCOT = true,
    ShowBarRatioNumbers = true,
    ShowImbalance = true,
    ImbalancePercentage = 200,
    ImbalanceFilter = 20,
    ImbalanceMarker = FootprintImbalanceMarker.Always,
    ShowImbalanceSRZones = true,
    ImbalanceSRZonesConsecutiveLevels = 2,
    ImbalanceSRZonesVolumeFilter = 200,
    ImbalanceSRZoneEnding = SRZoneEnding.ByBarPOC,
    ShowAbsorption = true,
    AbsorptionPercentage = 300,
    AbsorptionDepth = 2,
    AbsorptionFilter = 200,
    ShowUnfinishedAuction = true
};

Cluster Zones and Statistic Grid​

footprintIndicator.FootprintPresentation[FootprintBaseMVC.RIGHT_FOOTPRINT]
    .ClusterZonesShow = true;
footprintIndicator.FootprintPresentation[FootprintBaseMVC.RIGHT_FOOTPRINT]
    .ClusterZonesFilterMin = 4000;

footprintIndicator.StatisticGridShow = true;
footprintIndicator.StatisticGridPredictedValuesShow = true;
footprintIndicator.StatisticGridPredictedValuesGaugeShow = true;

Volume Profile (Secondary Data Series)​

volumeProfileIndicator = new StrategyVolumeProfileIndicator(this, @"VolumeProfile")
{
    DataSeriesIndex = 1,  // Secondary data series
    Calculate = Calculate.OnBarClose,
    ShowProfileType = ProfileType.VP,
    ProfileCreation = ProfileCreation.Session,
    POCMode = LevelMode.Developing,
    VAHVALMode = LevelMode.On,
    VWAPMode = VWAPMode.DynamicStdDev1,
    ProfileWidthPercentage = 20,
    Values1KDivider = false,
    StackedProfileCreation1 = ProfileCreation.None,
    StackedProfileCreation2 = ProfileCreation.None,
    StackedProfileCreation3 = ProfileCreation.None
};

Configuration​

In State.Configure, add the secondary data series and set the footprint to on-bar-close:

AddDataSeries(BarsPeriodType.Minute, 30);
footprintIndicator.Calculate = Calculate.OnBarClose;

Data Access​

IsFirstTickOfBar does not work correctly in OnMarketData for multi-series strategies. Use BarsInProgress == 0 && currentBarIdx > lastBarIdx to emulate on-bar-close behavior:

protected void StrategyOnEachTickHandler(MarketDataEventArgs e, int currentBarIdx)
{
    if (BarsInProgress == 0 && currentBarIdx > lastBarIdx)
    {
        if (footprintIndicator.FootprintBars.ContainsKey(lastBarIdx))
        {
            IFootprintBar bar = footprintIndicator.FootprintBars[lastBarIdx];
            Print("Footprint (" + footprintIndicator.Instrument.FullName
                + ") bar volume : " + footprintIndicator.FromInternalVolume(bar.Volume));

            IVolumeProfile last = volumeProfileIndicator.Profiles.LastOrDefault()
                as IVolumeProfile;
            if (last != null)
                Print("Volume profile (" + volumeProfileIndicator.Instrument.FullName
                    + ") total volume : " + volumeProfileIndicator.FromInternalVolume(last.Volume));
        }
        lastBarIdx = currentBarIdx;
    }
}

See Also​