Creating automated trading strategies with the footprint indicator

Using plots to build your own orderflow strategy / indicator

The FootPrint indicator exports 50+ plots for all the common delta signals & metrics. These plots are standard NinjaTrader plots and can be used from :

You can use these plots from:
- your own indicator
- your own strategy
- Bloodhound*
- Ninja Script
- Strategy builder

By using these plots you can develop your own orderflow based automated strategies.

 (*) You can use these plots with BloodHound. However, BloodHound does not support Tick Replay yet in NinjaTrader 8. This means that the signals/plots will only work with Bloodhound when you disable tick replay !!

Avilable plots:

Example strategy using plots exported by the Footprint indicator 

Here we have a very simple automated strategy which uses some of these plots.
The strategy is just a skeleton example on how to use the footprint indicator.
Ofcourse you will need to extend it with your own entry/exit logic rules, but it does show how you can use the footprint indicator
In this case it just uses the Volume Per Second plot to get the Volume Per Second for the current bar  and then prints it to the ninjascript output window

How to create an orderflow strategy using the Strategy builder

Another option to create an automated strategy is by using the Strategy Builder which comes with NinjaTrader. The strategy builder allows you to create automated trading strategies without any coding. In the follow video we take a quick look at the strategy builder and demonstrate how you can create a simple strategy using the Strategy Builder and the footprint indicator 

Creating advanced orderflow strategies using the IFootprintBar interface 

Besides the 50+ plots mentioned above the indicator also provides a way to get access to all footprint bars with all the internals. This gives strategy developers much greater control and enables them to access much more details about each footprint bar

Below you can see the same strategy as above, but this time we use the  IFootprintBar interface to get the footprint bar on line #48
The IFootprint bar exposes many more properties then the 50+ plots mentioned above

Here is another example which uses the IFootPrintBar interface. Again we get the footprint bar for the previous candle
And then collect all the buy and sell imbalance which appeared in that footprint candle and print them in the ninjascript output window

IFootPrintBar

The IFootPrintBar contains all data about a single footprint bar. You can get a handle to IFootPrintBar using the
GetFootPrintBar(barsAgo) method as shown above

Here you will see the definition of IFootPrintBar with all is properties

IImbalance

The IFootPrintBar contains several lists with imbalances (e.g. the AskVolumeSequences)
Below you can find the interface declaration for IImbalance