Dark Pool Prints Strategy (C#)

Dark Pool Prints Strategy

Trades large off-exchange reports in the direction of their reported aggressor side, with the execution instrument's SMA20 as a trend filter.

Set Security to the execution instrument and DarkPoolSecurity to a separate report stream for the same underlying instrument. The latter must have a different security ID and provide genuine off-exchange ticks (IsSystem = false), price, volume, timestamp, and OriginSide. Missing or identical sources are rejected at startup. Exchange prints, unknown-side reports, invalid prices/volumes, duplicates and out-of-order reports cannot trigger entries.

A report qualifies when its volume is strictly greater than 1.5 × mean(previous 20 report volumes). The current report is excluded from the baseline. Buy on a reported buy above SMA20; sell on a reported sell below SMA20. Candle colour and candle volume do not determine the reported side or activity. An opposite entry reverses the whole filled position with an order of Volume + abs(Position).

SMA uses finished 15-minute candles. Close a long below SMA20 and a short above SMA20, independently of report volume and entry cooldown. CooldownBars = 0 by default; a positive value delays subsequent entries by that many finished candles. Pending orders block overlapping signals.

StopLoss = 2 means local native protection at 2% from the actual filled entry price. Protection monitors the execution instrument's bid/ask updates and submits a market exit; a quote feed is required for protection between candles. No take-profit is configured.