Built-in Strategies

MZpack includes three built-in strategies for NinjaTrader 8: two trading strategies and one data export utility. All built-in strategies support Auto and Manual operating modes, the Control Panel, trading times, and logging.

Footprint Action Strategy

Footprint Action is an order flow strategy built entirely on the mzFootprint indicator. It provides 10 delta and order flow signals that can be combined using AND or OR logic to form trading patterns.

Signals

Each signal has its own category in the strategy properties, named after the signal. The first setting in that category is the toggle that enables it and carries the signal's name.

Setting	Default	Description
Delta Divergence	true	Trend reversal signal — price makes a new extreme while delta moves in the opposite direction
Delta Tail	true	Bar has negative delta across all levels except the bottom (or vice versa), indicating absorption at the extreme
Delta Surge/Drop	true	4-bar signal tracking consecutive increasing or decreasing delta, indicating momentum buildup
Delta Flip	true	2-bar reversal signal showing a sudden delta shift from positive to negative (or vice versa)
Delta Trap	false	3-bar signal identifying a delta reversal followed by renewed strength in the original direction
Delta Slingshot	false	Trend reversal when an extreme delta reading gets overrun by the opposite extreme delta within a lookback range
Above/Below POC	false	Trade when a bar opens and closes on the same side of its Point of Control
Stacked Imbalances	false	Multiple imbalances stacked at consecutive price levels (configurable number and direction)
Volume Sequencing	false	Multiple price levels with increasing volume, indicating large trader activity
Hammer with Absorption	false	Absorption (trapped sellers/buyers) detected in the wick of a hammer candle pattern

Common Signal Controls

Every signal category repeats the same five settings below the enable toggle. They are documented once here.

Setting	Default	Description
Mandatory	false	The signal must validate for the pattern to validate, regardless of the tree logic. In OR mode a mandatory signal is still always required
Override filters	false	Use this signal's own bar filters instead of the global ones in the Strategy category
Min bar Volume	0	Per-signal minimum bar volume. Applied when Override filters is on
Min bar Delta	0	Per-signal minimum absolute bar delta. Applied when Override filters is on
Min bar Delta %	0	Per-signal minimum bar delta as a percentage of bar volume. Applied when Override filters is on

Signal-specific Parameters

Delta Divergence, Delta Tail, Delta Surge/Drop, Delta Trap, and Above/Below POC have no extra settings — they are configured entirely with the common controls above.

Delta Flip

Setting	Default	Description
Precision	40	Sensitivity of the delta-flip detection — higher values require a sharper flip, range: 1–100

Delta Slingshot

Setting	Default	Description
Lookback bars	3	Number of prior bars compared with the closed bar; the closed bar itself is not included. Example: value = 2 compares the two bars before the closed bar with the closed bar, range: 1–100

Stacked Imbalances

Setting	Default	Description
Stacked Imbalances: reverse	false	Reverse the direction the signal returns
Imbalances: %	68	Imbalance percentage threshold — the diagonal bid/ask ratio a level must exceed to count as an imbalance, range: 0.01–∞
Number	3	Minimum number of imbalances in the stack. Set 1 to accept a single imbalance, range: 1–∞
Volume filter	0	Minimum total volume in the imbalance S/R zone; 0 disables the filter, range: 0–∞
Above/below POC	true	Require the stack to be on the correct side of the bar POC — buy stacks below it, sell stacks above it

Volume Sequencing

Setting	Default	Description
Levels	4	Number of consecutive price levels with increasing volume required, range: 2–5

Hammer with Absorption

Setting	Default	Description
Wick %	35	Minimum wick size as a percentage of the bar range, range: 1–100
POC	true	Require the absorption to be below the POC for a long signal and above it for a short signal

Bar Filters

Each signal applies bar-level filters to the bars it analyzes. The bars that filters apply to depend on the signal:

Signal	Min bar Volume	Min bar Delta	Min bar Delta %
Delta Divergence	Closed	Closed	Closed
Delta Tail	Closed	Closed	Closed
Delta Surge/Drop	Closed	Closed	Closed
Delta Flip	Closed, Closed-1	Closed, Closed-1	Closed, Closed-1
Delta Trap	Closed	Closed, Closed-1, Closed-2	Closed
Delta Slingshot	Lookback	Lookback	Lookback
Above/Below POC	Closed	Closed	Closed
Stacked Imbalances	Closed	Closed	Closed
Volume Sequencing	Closed	Closed	Closed
Hammer with Absorption	Closed	Closed	Closed

"Closed" = the just-closed bar. "Closed-1" = one bar before. "Lookback" = all bars in the lookback range.

Signal Logic

• AND — all enabled signals must validate in the same direction
• OR — at least one signal must validate. Use Min # validated signals to require a minimum number (e.g., 2 of 5 enabled signals)

Each signal also has an Override filters option that lets it bypass the global bar filters when its own per-signal filters are configured.

Strategy Settings

Setting	Default	Description
Action	Trade	What the strategy does — Trade (evaluate patterns and submit orders) or Export (evaluate patterns and write them to CSV without trading, see Export Settings)
Trading: ON	true	Master switch for opening positions. Turn it off to keep signals calculating and drawing without entering the market
Opposite Pattern Action	None	What to do when the pattern validates in the opposite direction while a position is open — None, Close, Reverse, or Unmanaged. See Opposite Pattern Action
Suspend after trade	false	Stop opening new positions once the current trade closes, until trading is switched back on from the Control Panel
Logic of signals	Or	How enabled signals are combined — And (all must agree on direction), Or (any one is enough), or Conjunction
Min bar Volume	100	Global minimum bar volume; bars below it are ignored by all signals that do not override filters
Min bar Delta	100	Global minimum absolute bar delta
Min bar Delta %	0	Global minimum bar delta as a percentage of bar volume
Min # validated signals	0	Minimum number of validated signals for an OR tree; 0 means a single signal is enough, range: 0–∞

Position Settings

Up to three entries can be configured for position scaling, each with its own quantity, profit target, and stop loss. Set a quantity to 0 to disable that entry.

Setting	Default	Description
Direction	Any	Allowed trading direction — Long, Short, or Any
Trading Instrument: enable	false	Submit orders on a data series other than the chart series. Patterns are still evaluated on the chart series
Trading Instrument: name	MES 12-24	Instrument of the trading data series
Trading Instrument: period	Minute	Bars period type of the trading data series
Trading Instrument: value	1	Bars period value of the trading data series, range: 1–∞
Quantity 1	1	Contracts for the first entry, range: 1–∞
Profit target 1, ticks	20	Profit target of the first entry in ticks, range: 1–∞
Stop loss 1, ticks	10	Stop loss of the first entry in ticks, range: 1–∞
Quantity 2	2	Contracts for the second entry; 0 disables it, range: 0–∞
Profit target 2, ticks	30	Profit target of the second entry in ticks, range: 1–∞
Stop loss 2, ticks	10	Stop loss of the second entry in ticks, range: 1–∞
Quantity 3	0	Contracts for the third entry; 0 disables it, range: 0–∞
Profit target 3, ticks	40	Profit target of the third entry in ticks, range: 1–∞
Stop loss 3, ticks	10	Stop loss of the third entry in ticks, range: 1–∞
Breakeven	false	Move the stop loss to the entry price once the position gains Breakeven after, ticks
Breakeven after, ticks	10	Profit in ticks that triggers the break-even move, range: 1–∞
Breakeven shift, ticks	1	Ticks added to the break-even stop beyond the entry price; a positive value locks in that many ticks of profit
Trail	false	Enable the trailing stop
Trail after, ticks	15	Profit in ticks that activates the trail, range: 1–∞
Trail distance, ticks	10	Distance the trailing stop keeps behind price, in ticks, range: 1–∞
Trail step, ticks	1	Minimum price movement in ticks before the trailing stop is moved again, range: 1–∞

Trading Time Settings

Two independent intraday windows can be defined. Times use the chart's time zone. Leave both disabled to trade the whole session.

Setting	Default	Description
Trading time #1: enable	false	Enable the first trading window
Trading time #1: begin	08:30:00	Start of the first window
Trading time #1: end	15:15:00	End of the first window
Trading time #2: enable	false	Enable the second trading window
Trading time #2: begin	15:30:00	Start of the second window
Trading time #2: end	17:00:00	End of the second window

Risk Management Settings

Limits apply at the account level and reset overnight. See Risk Management for how they are evaluated.

Setting	Default	Description
Daily loss limit: enable	false	Enable the daily loss limit
Daily loss limit	500	Maximum loss for the day in account currency
Daily profit limit: enable	false	Enable the daily profit limit
Daily profit limit	2500	Profit target for the day in account currency
Daily max drawdown: enable	false	Enable the trailing daily drawdown limit
Daily max drawdown	1500	Maximum drop from the day's peak account value, in account currency
Daily trades limit: enable	false	Enable the daily trades limit
Daily trades limit	5	Maximum number of filled entries per day

Export Settings

When Action is set to Export, the strategy writes each validated pattern to a CSV file instead of trading.

Setting	Default	Description
Header	true	Write the column header row at the top of the file
Batch	false	Accumulate records in memory and write them in one pass instead of after each pattern
File	footprint_action.csv	Output file name
NinjaScript Output	false	Mirror each exported record to the NinjaTrader Output window

Control Panel and Dashboard Defaults

Footprint Action re-exposes four inherited strategy framework settings on the MZpack Control Panel so they can be changed at runtime, and ships different defaults for them.

Setting	Default	Description
Entry/Exit: markup	MarkerAndText	Marker style drawn at the entry and exit price — None, Marker, or MarkerAndText
Pattern dashboard: show	true	Show the decision-tree dashboard on the chart
Pattern dashboard: legend	true	Show the legend that names the signal in each dashboard row
Pattern dashboard: position	Top	Edge of the chart panel the dashboard is anchored to — Top or Bottom

Source Code

See Footprint Action Source Code for a developer-level walkthrough of the class structure, decision tree construction, all 10 signal implementations, and data export schema.

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GhostResistance Strategy

GhostResistance is a reversal strategy that targets liquidity traps — situations where price pushes beyond support or resistance levels, triggering stop orders and breakout entries from trapped traders, then reverses sharply back into the prior value area.

The strategy combines absorption zones, big trade detection, bar metrics, and volume profile levels to identify these reversal setups.

How It Works

Short setup: Price spikes above resistance with aggressive buying. Absorption builds at the extreme as sellers absorb the buying pressure. Price reverses downward as trapped longs exit.

Long setup: Price drops below support with aggressive selling. Absorption builds at the extreme as buyers absorb the selling pressure. Price reverses upward as trapped shorts cover.

Confirmation Signals

GhostResistance uses AND logic — all enabled signal groups must confirm before a trade is taken. One entry per bar maximum.

Signal Group	Description
Bar Metrics	Bar must meet minimum volume, delta, delta %, wick %, and optionally be a hammer pattern
Absorption	Absorption S/R zones from mzFootprint — configurable percentage, depth, consecutive levels, and zone volume
Big Trade	Significant trades detected by mzBigTrade — configurable minimum size, iceberg detection, and aggression (sweep) filter
Profile Levels	Price must be approaching a volume profile level (session or weekly) from mzVolumeProfile — optional, can be disabled for pure order flow mode

Strategy Settings

Setting	Default	Description
Action	Trade	What the strategy does — Trade (evaluate patterns and submit orders) or Export (write validated patterns to CSV without trading)
Trading: ON	true	Master switch for opening positions. Turn it off to keep signals calculating and drawing without entering the market
Opposite Pattern Action	None	What to do when the pattern validates in the opposite direction while a position is open — None, Close, Reverse, or Unmanaged. See Opposite Pattern Action
Suspend after trade	false	Stop opening new positions once the current trade closes, until trading is switched back on from the Control Panel
Wait for bar close	false	Validate the pattern only on bar close instead of on each tick. Fewer, later, but more reliable entries
Short circuit	true	Stop evaluating the signal tree as soon as a signal returns None. Read-only

Bar Metrics Settings

Setting	Default	Description
Enable	true	Include the bar metrics signal in the pattern
Min bar Volume	100	Minimum bar volume
Min bar Delta	100	Minimum absolute bar delta
Min bar Delta %	10	Minimum bar delta as a percentage of bar volume
Min wick %	30	Minimum wick size as a percentage of the bar range, range: 0–100
Hammer	true	Require a hammer candle — the wick must be on the side the reversal is expected from

Absorption Settings

Setting	Default	Description
Enable	true	Include the absorption signal in the pattern. Read-only — absorption is always required
Absorption %	200	Minimum absorption percentage — how far the absorbing side's volume must exceed the aggressing side's
Absorption depth	2	How far price must bounce from the absorption level to qualify, in ticks
Consecutive	2	Minimum number of consecutive absorption levels forming the S/R zone
Zone volume	50	Minimum total volume in the absorption S/R zone

Big Trade Settings

Setting	Default	Description
Enable	true	Include the big trade signal in the pattern. Read-only — a big trade is always required
Trade filter	200	Minimum trade size in contracts for a trade to count
Iceberg filter: enable	true	Require iceberg volume in the trade
Iceberg filter	20	Minimum iceberg volume, applied when the iceberg filter is enabled
Aggression filter: enable	true	Require the trade to be aggressive — a sweep across several price levels
Aggression filter, ticks	3	Minimum sweep range in ticks, applied when the aggression filter is enabled

Profile Levels Settings

When enabled, the strategy only takes trades near selected volume profile levels. The bar high or low must come within the approaching distance (in ticks) of a selected level.

Setting	Default	Description
Enable	true	Require price to be approaching a selected profile level. Disable for pure order flow mode
RTH begin	08:30:00	Start of the regular trading hours session used to build the RTH profile
RTH end	15:15:00	End of the regular trading hours session
ETH begin	17:30:00	Start of the overnight (extended hours) session. Clamped to be no earlier than RTH end
ETH end	08:30:00	End of the overnight session. Clamped to be no later than ETH begin
Overnight POC	true	Use the overnight session Point of Control as a level
Overnight VAH/VAL	true	Use the overnight session value area high and low as levels
Overnight High/Low	true	Use the overnight session high and low as levels
RTH POC	true	Use the RTH session Point of Control as a level
RTH VAH/VAL	true	Use the RTH session value area high and low as levels
RTH High/Low	true	Use the RTH session high and low as levels
Overnight/RTH level approaching, ticks	8	How close the bar high/low must come to an overnight or RTH level, in ticks
Weekly POC	true	Use the weekly Point of Control as a level
Weekly VAH/VAL	true	Use the weekly value area high and low as levels
Weekly High/Low	true	Use the weekly high and low as levels
Weekly level approaching, ticks	20	How close the bar high/low must come to a weekly level, in ticks

Operating Modes

GhostResistance can be configured for different trading styles:

• Level-based trap trading — profile levels enabled with stricter absorption and big trade thresholds for selective setups near key levels
• Pure order flow reversals — profile levels disabled, relying only on absorption and big trade activity to identify turning points
• Conservative mode — enable Wait for bar close for bar-close confirmation with higher thresholds for fewer, higher-quality trades

Position Settings

GhostResistance supports up to 3 entries for position scaling, each with independent quantity, stop loss, and profit target. The same break-even and trail settings apply to all entries. Set a quantity to 0 to disable that entry.

Setting	Default	Description
Direction	Any	Allowed trading direction — Long, Short, or Any
Trading Instrument: enable	false	Submit orders on a data series other than the chart series. Patterns are still evaluated on the chart series
Trading Instrument: name	MES 12-24	Instrument of the trading data series
Trading Instrument: period	Minute	Bars period type of the trading data series
Trading Instrument: value	1	Bars period value of the trading data series, range: 1–∞
Enter by limit order	false	Enter with a limit order at the big trade POC instead of a market order
Cancel limit order type	Bars	What measures the life of an unfilled limit order — None, Ticks, Bars, or Milliseconds
Cancel limit order value	3	How many ticks, bars, or milliseconds an unfilled limit order is left working before it is cancelled
Quantity 1	1	Contracts for the first entry, range: 1–∞
Profit target 1, ticks	40	Profit target of the first entry in ticks, range: 1–∞
Stop loss 1, ticks	20	Stop loss of the first entry in ticks, range: 1–∞
Quantity 2	2	Contracts for the second entry; 0 disables it, range: 0–∞
Profit target 2, ticks	60	Profit target of the second entry in ticks, range: 1–∞
Stop loss 2, ticks	20	Stop loss of the second entry in ticks, range: 1–∞
Quantity 3	0	Contracts for the third entry; 0 disables it, range: 0–∞
Profit target 3, ticks	80	Profit target of the third entry in ticks, range: 1–∞
Stop loss 3, ticks	20	Stop loss of the third entry in ticks, range: 1–∞
Breakeven	false	Move the stop loss to the entry price once the position gains Breakeven after, ticks
Breakeven after, ticks	10	Profit in ticks that triggers the break-even move, range: 1–∞
Breakeven shift, ticks	1	Ticks added to the break-even stop beyond the entry price; a positive value locks in that many ticks of profit
Trail	false	Enable the trailing stop
Trail after, ticks	15	Profit in ticks that activates the trail, range: 1–∞
Trail distance, ticks	10	Distance the trailing stop keeps behind price, in ticks, range: 1–∞
Trail step, ticks	1	Minimum price movement in ticks before the trailing stop is moved again, range: 1–∞

GhostResistance uses the same trading time and risk management settings as Footprint Action, and re-exposes the same four Control Panel and dashboard settings with the same defaults.

Control Panel

The GhostResistance Control Panel provides runtime buttons:

Button	Action
Trade	Toggle trading on/off (green = active)
Auto suspend	Pause trading after the next completed trade
Break Even	Immediately move stop loss to break-even on the current position
Trail	Toggle trailing stop on/off for the current position
Close	Cancel pending orders and close the current position

Best Market Conditions

• Rotational or range-bound sessions with defined support/resistance
• Price action with frequent stop-runs and wicks beyond key levels
• Avoid strong trending days where reversals fail more frequently

Source Code

See GhostResistance Source Code for a developer-level walkthrough of the class structure, indicator wiring, signal implementations, and decision tree construction.

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Data Export Strategy

The Data Export strategy is a utility that exports indicator data to CSV files. It does not trade — it collects and writes data from up to four MZpack indicators for external analysis, backtesting research, or machine learning pipelines.

Supported Indicators

Indicator	Data Source	Export Granularity
mzFootprint	Level 1	Bar
mzVolumeProfile	Level 1	Bar or Tick
mzBigTrade	Level 1	Tick
mzMarketDepth	Level 2	Update

Each indicator can be independently enabled or disabled for export.

Common Export Settings

The Export category applies to all four exports.

Setting	Default	Description
Header	true	Write the column header row at the top of each file
Time	true	Write a timestamp column as the first column
Batch	false	Accumulate records in memory and write them in one pass instead of after each record
Signed volume	false	Give volumes a sign — + for buy, - for sell
Delimiter	;	Column separator character

Every setting in the four sections below is a column toggle unless noted otherwise: enabling it adds that column to the file, in the order the settings appear. All columns are off by default except the ones listed with default true.

Footprint Export

Exported once per closed bar. Values not calculated by mzFootprint are written as empty strings or zeros — enable the corresponding indicator feature first.

Setting	Default	Description
Export	true	Enable the footprint export
Temporality	Historical	When data is collected — Historical or Realtime. See Temporality
File	footprint\	Output folder, relative to the strategy data folder
Open	true	Bar open price
Close	true	Bar close price
High	false	Bar high price
Low	false	Bar low price
RangeTicks	false	Bar range in ticks
RangeLevels	false	Bar range in price levels (clusters)
Direction	false	Bar direction — up or down
DurationMs	false	Bar duration in milliseconds
Volumes	false	Per-level total volume ladder
Bids	false	Per-level bid (sell) volume ladder
Asks	false	Per-level ask (buy) volume ladder
Deltas	false	Per-level delta ladder
TradesNumbers	false	Per-level trades count ladder
TradesNumber	false	Total number of trades in the bar
Volume	true	Bar total volume
BuyVolume	false	Bar ask-side volume
SellVolume	false	Bar bid-side volume
Delta	true	Bar delta — buy volume minus sell volume
VAH	false	Bar value area high price
VAL	false	Bar value area low price
POC	false	Bar Point of Control price
POCVolume	false	Volume at the bar POC
BuyPercentage	false	Buy volume as a percentage of bar volume
SellPercentage	false	Sell volume as a percentage of bar volume
DeltaPercentage	false	Delta as a percentage of bar volume
MinDelta	false	Lowest intra-bar cumulative delta reading
MaxDelta	false	Highest intra-bar cumulative delta reading
DeltaChange	false	Change in delta from the previous bar
DeltaCumulative	false	Session cumulative delta at bar close
DeltaRate	false	Delta rate — delta per unit of time
DeltaRateHigh	false	Highest intra-bar delta rate
DeltaRateLow	false	Lowest intra-bar delta rate
AbsoluteDeltaAverage	false	Average absolute per-level delta in the bar
AbsoluteDeltaTotal	false	Sum of absolute per-level deltas in the bar
COTHigh	false	Commitment of Traders high
COTLow	false	Commitment of Traders low
RatioNumbers	false	Ratio Numbers metric — volume of the level adjacent to the highest-volume level divided by that level's volume, an exhaustion measure
VolumePerSecond	false	Bar volume divided by bar duration in seconds
UnfinishedAuctionHigh	false	Price of an unfinished auction at the bar high, 0 if none
UnfinishedAuctionLow	false	Price of an unfinished auction at the bar low, 0 if none
BuyImbalanceCount	false	Number of buy imbalances in the bar
SellImbalanceCount	false	Number of sell imbalances in the bar
BuyAbsorptionCount	false	Number of buy absorptions in the bar
SellAbsorptionCount	false	Number of sell absorptions in the bar
BuyStackedImbalanceCount	false	Number of buy imbalances that belong to a stack
SellStackedImbalanceCount	false	Number of sell imbalances that belong to a stack
BuyStackedAbsorptionCount	false	Number of buy absorptions that belong to a stack
SellStackedAbsorptionCount	false	Number of sell absorptions that belong to a stack
BuyStackedImbalanceMaxConsec	false	Longest run of consecutive buy imbalances in the bar
SellStackedImbalanceMaxConsec	false	Longest run of consecutive sell imbalances in the bar
BuyStackedAbsorptionMaxConsec	false	Longest run of consecutive buy absorptions in the bar
SellStackedAbsorptionMaxConsec	false	Longest run of consecutive sell absorptions in the bar
DeltaDivergence	false	Delta divergence on the bar — 1 for buy divergence, -1 for sell divergence, 0 for none
SessionOpen	false	Session open price
SessionClose	false	Session close price
SessionHigh	false	Session high price
SessionLow	false	Session low price
SeesionVAH	false	Session value area high price
SeesionVAL	false	Session value area low price
SessionPOC	false	Session Point of Control price

note

SeesionVAH and SeesionVAL are spelled that way in the NinjaTrader property grid.

Volume Profile Export

Setting	Default	Description
Export	false	Enable the volume profile export
Granularity	Bar	One record per Bar or per Tick
Temporality	Historical	When data is collected — Historical or Realtime
File	volumeprofile\	Output folder, relative to the strategy data folder
Open	false	Profile open price
Close	false	Profile close price
High	false	Profile high price
Low	false	Profile low price
RangeTicks	false	Profile range in ticks
MID	false	Midpoint between the profile high and low
DurationMs	false	Profile duration in milliseconds
TradesNumber	false	Total number of trades in the profile
Volume	false	Profile total volume
BuyVolume	false	Profile ask-side volume
SellVolume	false	Profile bid-side volume
Delta	false	Profile delta
VAH	false	Value area high price
VAL	false	Value area low price
POC	false	Point of Control price
POCVolume	false	Volume at the POC
TickPOC	false	Tick POC price — the POC computed at single-tick resolution
TickPOCVolume	false	Volume at the tick POC
VWAP	false	Volume weighted average price
_1StdDeviationPos	false	VWAP plus one standard deviation
_1StdDeviationNeg	false	VWAP minus one standard deviation
_2StdDeviationPos	false	VWAP plus two standard deviations
_2StdDeviationNeg	false	VWAP minus two standard deviations
DeltaPercentage	false	Delta as a percentage of profile volume
BuyPOCVolume	false	Ask-side volume at the POC
SellPOCVolume	false	Bid-side volume at the POC
VAVolume	false	Total volume inside the value area
TPO_POC	false	TPO Point of Control price
TPO_VAH	false	TPO value area high price
TPO_VAL	false	TPO value area low price
TPOLettersCount	false	Number of TPO letters in the profile

Big Trade Export

Exported once per detected trade.

Setting	Default	Description
Export	false	Enable the big trade export
Temporality	Historical	When data is collected — Historical or Realtime
File	bigtrade\	Output folder, relative to the strategy data folder
High	false	Highest price of the trade
Low	false	Lowest price of the trade
Volume	false	Trade volume
IcebergVolume	false	Iceberg volume within the trade
Direction	false	Trade side — 1 for buy, -1 for sell
RangeTicks	false	Price range swept by the trade, in ticks
POC	false	Price level of the trade that took the most volume
POCVolume	false	Volume at the trade POC
DomPressureVolume	false	DOM pressure volume associated with the trade
DomSupportVolume	false	DOM support volume associated with the trade
Smart/Predatory	false	Whether the trade was classified as smart/predatory — 1 or 0
TicksNumber	false	Number of ticks the trade consists of; greater than 1 for a reconstructed trade
Ticks	false	The individual ticks of the trade

Market Depth Export

Exported on each order book update. Market depth has no Temporality setting — it is real time only.

Setting	Default	Description
Export	false	Enable the market depth export
File	orderbook\	Output folder, relative to the strategy data folder
MarketDepth	false	Configured depth of the order book
RealMarketDepth	false	Actual number of levels the data feed delivered
BestBid	false	Best bid price
BestOffer	false	Best offer price
RealtimeBids	false	Bid sizes per level
RealtimeOffers	false	Offer sizes per level
RealtimeBidsWithPrices	false	Bid sizes paired with their price levels
RealtimeOffersWithPrices	false	Offer sizes paired with their price levels
RealtimeBidVolume	false	Total bid volume across the book
RealtimeOfferVolume	false	Total offer volume across the book

Output File Location

By default, exported files are saved to:

Documents\NinjaTrader 8\mzpack\strategy\...\Data_Export\data\<instrument>_<id>.csv

Indicator settings are saved to XML and restored automatically on the next run. Values that are not calculated or not supported by the indicator are exported as empty strings or zeros.

note

Enable the relevant indicator features before exporting. For example, enable volume profile POC in the mzVolumeProfile settings to export POC values.

Temporality

Each indicator export can run in one of two temporalities:

Mode	Description
Historical	Exports data from loaded historical bars (requires backtesting mode)
Realtime	Exports data as it arrives during live trading

Source Code

See Data Export Source Code and Drawing Objects Export Source Code for developer-level walkthroughs of the export strategy implementations.