Signals Overview

Signals are the building blocks of MZpack strategy patterns. Each signal evaluates a market condition and returns a direction (Long, Short, or None). Signals are organized into decision trees where AND, OR, and CONJUNCTION logic combines them into pattern validation rules.

The built-in FootprintImbalanceSignal, FootprintAbsoprtionSignal, BigTradeSignal, RelativeToProfileSignal, and DOMImbalanceSignal are included in the Strategies assembly and can be used directly in custom strategies. FootprintAbsoprtionSignal is the public class name; its existing spelling is retained for compatibility.

Node Hierarchy

Node (abstract)
├── Signal                          ← market condition evaluator
│   ├── Action                      ← simplified signal (no range constraints)
│   │   └── RollingProfileAction    ← rolling volume profile generation
│   └── [21 built-in signals]
├── LogicalNode                     ← AND / OR / CONJUNCTION logic
└── RangeNode                       ← bar/tick range constraint
    └── Range                       ← concrete range implementation

Two Ways to Use Signals

1. In a Decision Tree (Pattern Condition)

Signals are added to a pattern's SignalsTree or FiltersTree. The tree evaluates all signals on each market event and validates the pattern when the tree resolves to a determined direction.

var pattern = new Pattern(strategy, Logic.And, new Range(), true);
pattern.Signals.Root.Add(new FootprintImbalanceSignal(strategy,
    MarketDataSource.Level1, SignalCalculate.OnEachTick));
pattern.Signals.Root.Add(new BarDeltaSignal(strategy,
    MarketDataSource.Level1, SignalCalculate.OnBarClose));

2. As an Action

Action is a simplified Signal subclass used for preparatory operations (like generating a rolling volume profile) before other signals evaluate. Actions have no range constraints and don't expire.

Built-in Signals by Data Source

Footprint Signals

Signal	Condition	Calculate
FootprintImbalanceSignal	Stacked buy/sell imbalances in footprint bar	OnEachTick
FootprintAbsorptionSignal	Passive absorption at price extremes	OnEachTick
FootprintSRZonesSignal	Active imbalance/absorption S/R zones	OnEachTick
ClusterZonesSignal	Consecutive cluster zones in footprint	OnBarClose

Volume Profile Signals

Signal	Condition	Calculate
RelativeToProfileSignal	Price position relative to VWAP, VAH/VAL, or StdDev	OnBarClose
VolumeProfileDeltaSignal	Profile delta direction with volume/range filters	OnBarClose
BarJoinedPOCsSignal	Consecutive joined POCs within a bar	OnEachTick

Volume Delta Signals

Signal	Condition	Calculate
BarDeltaSignal	Bar delta direction with minimum threshold	OnBarClose
CumulativeDeltaSignal	Session cumulative delta direction	OnBarClose
DeltaRateSignal	Delta rate of change with threshold	OnBarClose
BarIcebergsSignal	Iceberg detection by volume threshold	OnEachTick

Big Trade Signals

Signal	Condition	Calculate
BigTradeSignal	Large trade detection (opposite side = signal)	OnEachTick
TradesClusterSignal	Cluster of trades by volume, count, and range	OnEachTick

Market Depth Signals (Level 2)

Signal	Condition	Calculate
DOMImbalanceSignal	Bid/ask ratio imbalance in order book	NotApplicable
DOMBlockSignal	Persistent large order in DOM	NotApplicable

Delta Divergence Signals

Signal	Condition	Calculate
DeltaDivergenceSignal	Price/delta divergence at swing points	OnBarClose

Bar-Based Signals

Signal	Condition	Calculate
BarVolumeSignal	Bar volume exceeds threshold (filter)	OnBarClose
BarWickSignal	Wick size at bar extreme	OnBarClose
BarMetricsSignal	Bar body/size/wick metrics	OnBarClose
OrderflowBarMetricsSignal	Orderflow bar metrics (volume, delta, delta%)	OnBarClose
UpDownBarSignal	Bullish or bearish bar direction	OnBarClose
TradesClusterSignal	Cluster of trades matching criteria	OnEachTick

Creating Custom Signals

Extend the Signal base class to create your own signal. See Custom Signal for a step-by-step guide.

See Also

• Signal Base Classes — Node, Signal, LogicalNode, RangeNode
• Decision Tree — how signals combine in patterns