ADTS Key Levels

Introduction

ADTS Key Levels combines institutional-grade market structure analysis with direct order execution and daily risk protection. It draws previous day high/low, opening range, initial balance, European session ranges, CME pre-open range, VWAP with standard deviation bands, Market Profile with value area, and a daily directional filter—then layers a full execution panel so you can trade directly from those levels with proper risk sizing, OCO bracket orders, and automatic daily loss/profit protection.

Installation & Setup

Copy ADTSKeyLevels.cs to Documents → NinjaTrader 8 → bin → Custom → Indicators. Open NinjaScript Editor and press F5 to compile. Add to any chart via right-click → Indicators → © ADTS Key Levels.

Recommended chart: 3-minute or 5-minute on MNQ, MES, MYM, M2K, or any futures contract with CME session template (18:00–17:00 ET).

The Control Panel

A floating, draggable WPF panel with three rows of controls. Collapse with the arrow button; state persists between sessions.

Title Bar

Instrument Name (live), Account Label (Sim in gray / Live in green), Daily PnL (realized + unrealized, color-coded), Collapse Button.

Order Row

Qty selector (1–999), BUY / SELL market orders, A (available drawdown), DD (click to edit account stats), ExitMAX toggle, FLAT button (shows position info when in a trade).

Toggle Row — 14 Visual Features

Risk Row

$Capital (click to edit), Risk%, RR ratio, E (custom entry line), L▲ (long risk), S▼ (short risk), Enter (OCO bracket), Risk toggle, DayStop label (click to edit), DayTarget label (click to edit).

Key Levels: PDH/PDL, Opening Range, Initial Balance

Previous Day High/Low (PDH/PDL)

The prior session's extreme prices. Price approaching PDH from below faces selling; approaching PDL from above finds buyers. Clean breaks signal continuation; rejections create mean-reversion entries.

Opening Range (OR) — 09:30–09:35 ET

The first 5 minutes of RTH. Drawn as a shaded rectangle extending to session end. OR breakout direction sets the session tone. Narrow ORs predict range expansion days.

Initial Balance (IB) — 09:30–10:30 ET

The first-hour range. A "normal day" stays within IB; a "trend day" breaks out and never returns. IB breakout direction strongly predicts session outcome. Inside IB = mean-reversion; outside IB = trend-following.

Session Zones: EU1, EU2, CME Pre-Open

EUREX Session 1 (02:00–03:00 ET)

First hour of European equity futures. Shaded rectangle with lines extending to session end. 1:1 R+/R− extension lines drawn above/below the range as measured-move targets.

EUREX Session 2 (03:00–04:00 ET)

Second hour of European trading. Same format with R+/R− extensions. Covers the Xetra/DAX cash open at 09:00 CET.

CME Pre-Open (08:30–09:30 ET)

The hour before RTH. Captures economic data releases and institutional positioning. R+/R− extensions provide breakout targets.

R+/R− Extensions Explained

Each zone projects 1:1 risk-reward levels. If EU1 range = 10 points (high 20,110, low 20,100), then R+ = 20,120 and R− = 20,090. These are the minimum expected move targets when price breaks out of the zone with conviction.

VWAP & Standard Deviation Bands

Session VWAP resets each session. The most important institutional reference level for intraday futures. Price above VWAP = bullish bias; below = bearish.

5 STD Bands create dynamic overbought/oversold zones. Default: start 1.2σ, step 0.2σ (1.2, 1.4, 1.6, 1.8, 2.0). Upper bands shaded green, lower bands shaded red, with decreasing opacity outward. 1st band = normal retracement; 3rd+ band = extended move likely to mean-revert; 5th band = extreme (trend day, don't fade).

Trend Wave Directional Filter

Two lines calculated on 1-minute bars:

• Short T-Wave (magenta): 8-hour average price — medium-term intraday trend
• Long T-Wave (cyan): 24-hour average price — daily directional trend

Bullish filter: Short above Long → favor longs. Bearish filter: Short below Long → favor shorts. Convergence: Lines close together → no clear bias, range strategies work best. Price above both lines = strongly bullish; below both = strongly bearish.

Market Profile

Real-time TPO histogram from 1-minute data. POC (gold solid line) = most time spent = fairest price. VAH/VAL (dashed) = 70% value area boundaries. yPOC = yesterday's POC extended across today — one of the most important MP reference levels.

Up to 10 historical session profiles are displayed. A directional triangle marker shows current price position on the profile edge (green = bullish, red = bearish).

Poor Highs/Lows & Single Prints

Poor High/Low: Flat top/bottom of the profile — unfinished auctions. Price magnets for revisitation. High-probability continuation targets.

Single Prints: Levels with minimal TPO count (configurable, default 1). Prices moved through quickly. Act as support/resistance on pullbacks. Failure of a single-print zone → next zone becomes the target.

3D Bar Rendering & Last Price Marker

Custom SharpDX Direct2D candlesticks with front, top, and side faces. Auto-shading computes lighter top and darker side from base color. Falls back to 2D at small bar widths. All colors configurable.

Last Price Marker: Price label with countdown timer (mm:ss to bar close), horizontal price line, directional coloring (green up, red down). Offset, font size, padding, and all colors configurable.

Order Execution

BUY/SELL: Market orders at the Qty selector quantity via the Chart Trader account.

FLAT: Two-stage flatten — (1) Cancel all pending orders on the instrument, (2) once clean, submit market close for exact open quantity. Button shows "FLAT..." during cancel-wait. 5-second timeout safety.

Risk Management Lines

Draggable stop (red), TP (green), and custom entry (yellow) lines with real-time position sizing and risk calculation.

Stop label: R%, dollar risk, qty, points, ticks. TP label: Same format with actual R:R. Risk alert: Label turns red when 1 contract exceeds configured risk %. Lines persist across chart reloads.

OCO Bracket Entry

The Enter button submits: market entry + OCO pair (StopMarket at stop + Limit at TP). Requires risk lines active, custom entry OFF, stop/TP on correct sides, and stop distance ≥ 1 tick.

Account Drawdown Tracking

Trailing high-water mark net liquidation tracking with persistent file storage. Available DD = Net Liq − Threshold (capped at configured DD). Click DD label to configure Initial Balance, Intraday DD, Threshold, and DD Type.

DayStop: Daily Loss Protection

Automatically flattens entire account when daily PnL falls below threshold. Three methods:

DayTarget: Daily Profit Protection

Hard target: PnL reaches Initial Target → immediate flatten. Arm phase: PnL reaches Arm% of target → trailing protection activates. Protect phase: Floor = PnL HWM × Protect%. Floor only rises. Min Offset Ticks prevents micro-fluctuation triggers.

Example: Target $300, Arm 80%, Protect 70%. PnL reaches $240 → arms. PnL rises to $280 → floor = $196. PnL drops to $196 → flattens. You keep $196.

ExitMAX: Net Liquidation Guard

When enabled, every new all-time high in net liquidation triggers a full account flatten. Designed for prop firm evaluation completion. Stays enabled until manually toggled off.

Strategy 1: VWAP Bounce with T-Wave Confirmation

Avoid when: T-Wave opposes your direction. Price at 2nd+ STD band already. VWAP is flat with choppy price action.

Strategy 2: Opening Range Breakout

Edge: Narrow OR days produce the best breakout moves. If OR < 30% of average daily range, breakout probability is high.

Strategy 3: IB Breakout Trend Day

Target: Trend days move 2–3× IB range. Trail stop or scale out at 1×, 2× IB range extensions.

Strategy 4: Value Area Fade

Strategy 5: European Session Range Play (US Futures)

Best edge: When EU1 and EU2 ranges stack in the same direction, RTH is more likely to trend that way.

Strategy 6: EU1 Breakout — DAX & European Index Futures

Instruments

DAX (FDAX / Mini-DAX), EURO STOXX 50 (FESX), FTSE 100, CAC 40. Also works on US Globex contracts (MNQ, MES, MYM, M2K) because EU institutional flow drives overnight US index prices.

Setup

1. Wait for EU1 range to complete (03:00 ET / 09:00 CET).
2. Note range width. Narrow EU1 (<30 pts on DAX) signals compression likely to break with force.
3. Check T-Wave: 8-hour average above/below 24-hour average gives directional bias.
4. Watch for first candle closing cleanly above EU1 High (long) or below EU1 Low (short).

Long Breakout

Entry: Close above EU1 High, T-Wave bullish. Enter immediately or on first pullback holding above EU1 High.

Stop: Below EU1 Low (full range) or EU1 midpoint (tighter). DAX with 40pt range → full stop = 40pts, midpoint = 20pts.

Target 1 (1:1 RR): The R+ line — automatically drawn at EU1 High + EU1 Range. For a 40pt range with high at 18,500: R+ = 18,540.

Target 2: PDH or next resistance above R+.

Short Breakout

Entry: Close below EU1 Low, T-Wave bearish. Stop above EU1 High/midpoint. Target: R− line at EU1 Low − Range.

DAX-Specific Notes

• DAX moves 150–300+ points per session. EU1 captures 30–80 points. The 1:1 extension is highly achievable.
• DAX responds strongly to 09:00 CET cash open. EU1 captures pre-cash positioning.
• VWAP above EU1 High confirms long breakout. DAX wider ticks → use full-range stop with smaller size.

Strategy 7: EU2 Breakout — European Session Continuation

The EU1 → EU2 Continuation Pattern

The strongest European session setup. EU1 breaks in one direction, EU2 forms above/below it (stacked ranges), then EU2 breaks the same way. Double confirmation = high-probability trend continuation.

Setup

1. EU1 breaks out (e.g., long — price above EU1 High).
2. EU2 forms during 03:00–04:00 ET. Ideally, EU2 Low sits near or above EU1 High (bullish stacking).
3. EU2 breaks in the same direction → enter on the EU2 breakout.
4. Stop below EU2 Low (or EU1 High if close). Target: EU2 R+ (1:1 extension).

Instrument Notes

DAX: EU2 covers 09:00–10:00 CET including Xetra cash open. Highest-volume hour. EU2 breakouts are often explosive.

EURO STOXX 50: Narrower ranges, equally reliable in percentage terms.

FTSE: London cash opens at 08:00 GMT / 03:00 ET, overlapping both windows.

Failure signal: If EU2 breaks OPPOSITE to EU1, this signals a potential reversal. Do not trade continuation — wait for additional confirmation.

Strategy 8: CME Pre-Open Breakout with 1:1 Targets

Why CME Pre-Open Matters

Economic data drops here (CPI, PPI, NFP, jobless claims). Institutional desks position aggressively. The range reflects digested data + resulting positioning. Breaking out after RTH opens = market commitment.

Setup

1. CME range completes at 09:30 ET. Range high, low, R+/R− drawn.
2. Wait for OR (09:30–09:35 ET) to complete.
3. Check alignment: does OR breakout direction match CME breakout direction?

Trade Execution

Aligned breakout (highest probability): CME breaks up + OR breaks up → long. Stop at CME Low (wide) or OR Low (tight). Target 1: CME R+ (1:1). Target 2: PDH or 1st STD band.

CME-only breakout: Wait for OR to confirm. If OR breaks against CME → stand aside (conflicting signal).

Data-driven spike: Wide CME range on heavy data days. Partial scale-out at VWAP/IB. Runner targets R+/R−.

Non-data days: Narrower CME range → 1:1 target more achievable. Particularly reliable with T-Wave alignment.

Position Sizing

Set Entry at current price, Stop at opposite CME boundary. For exact 1:1 alignment, set RR to 1.0 — your TP line aligns with R+/R−. For asymmetric targets, adjust RR accordingly.

Strategy 9: STD Band Reversion from Extremes

Strategy 10: yPOC Magnet Trade

Strategy 11: Poor High/Low Repair Trade

Strategy 12: Single Print Support/Resistance

Strategy 13: Multi-Confluence Level Entry

Strategy 14: DayStop Tightening Scalp Strategy

Strategy 15: Evaluation Completion (ExitMAX)

Strategy 16: Session Rotation with Profile Marker

Strategy Quick Reference

Panel Quick Reference

Color Coding