What Is the Synthetic Index?

The Synthetic US Equities Index combines four micro-futures contracts — MNQ (Nasdaq 100), MES (S&P 500), MYM (Dow 30), and M2K (Russell 2000) — into a single weighted composite instrument rendered as its own candlestick chart inside a NinjaTrader sub-panel.

Rather than watching four charts separately, the indicator gives you a unified view of the broad US equity market. When all four indices are moving together, you see clean directional candles. When one diverges, the composite reveals it immediately through mixed signals and elongated wicks.

Figure 1 — The synthetic index with all overlays active: VWAP, Price Channel, Volume Histogram, Opening Range, Initial Balance, and the integrated order panel showing live positions.

Requirements

Before installing the indicator, make sure your environment meets these requirements:

• NinjaTrader 8 — latest stable release recommended
• Market data subscription for all four micro futures: MNQ, MES, MYM, M2K
• Active connection to a supported data provider (Rithmic, CQG, Kinetick, etc.)
• Sim or Live account configured in NinjaTrader if you intend to use the order panel

Installation

Quick Start

Once the indicator is loaded on a chart, here's the fastest path to trading:

1. Verify the panel — the ADTS Systems panel should appear in the top-left corner of the sub-panel. If collapsed, click the ▲ button to expand it.
2. Set quantities — adjust the MNQ, MES, MYM, and M2K quantity spinners to your desired lot size per instrument.
3. Select your account — make sure ChartTrader at the top of your chart is connected to the correct account (Sim or Live).
4. Trade — click BUY to go long all four instruments, or SELL to short all four. The flat buttons below show live P&L per leg.
5. Flatten — click any individual Flat button to close that leg, or CLOSE ALL to flatten the entire basket.

Synthetic Index — How It Works

The synthetic index normalizes each instrument's price to a common base value of 1000 at the start of the data series. Each bar's OHLC is computed by blending the normalized percentage moves of all four instruments according to their assigned weights.

For example, if NQ has moved +0.5% from its base and ES has moved +0.3% from its base (with equal 25% weights each), the synthetic index reflects the weighted average of all four percentage moves, scaled to the 1000 base. This means the synthetic chart always starts near 1000 and moves proportionally to the combined performance of the basket.

Instrument Weights

Each instrument is assigned a weight that determines how much it contributes to the composite. The default is 0.25 (25%) for each, giving equal representation. Weights are automatically normalized — they don't need to sum to 1.0.

Candlestick Rendering

The synthetic candlesticks are rendered directly using SharpDX (Direct2D) for maximum performance. This bypasses NinjaTrader's standard plot system, giving you crisp, flicker-free candles with proper wick rendering even at high zoom levels.

Bullish candles render in green, bearish candles in red. Candle body width automatically adapts to the zoom level, clamped between a minimum and maximum pixel width to stay readable at any scale.

Order Panel

Panel Layout

The panel consists of three rows:

• Title Bar — shows "ADTS Systems Synthetic US Equities Index", the account's Net P&L, and the collapse toggle. Drag this bar to reposition the panel.
• Quantity & Execution Row — four instrument labels with quantity spinners (MNQ, MES, MYM, M2K), plus BUY and SELL buttons.
• Flatten Row — four individual Flat buttons (one per instrument) showing live position direction, size, and unrealized P&L, plus the CLOSE ALL button showing total basket P&L.
• Toggle Row — feature toggle buttons for VWAP, Volume, Price Channel, and Key Levels.

Order Execution

Clicking BUY submits a market buy order for each of the four instruments at the quantity shown in its spinner. Clicking SELL submits a market sell short. All four orders are submitted simultaneously as separate market orders.

P&L Tracking

The panel updates position data every 250 milliseconds, reading directly from the NinjaTrader account object. Each flat button displays:

• Position direction — "L" for long, "S" for short
• Quantity — number of contracts held
• Unrealized P&L — in dollars, color-coded green (profit) or red (loss)

The CLOSE ALL button shows the combined unrealized P&L of all four instruments. The title bar shows the Account Net P&L which includes realized + unrealized across all positions on the account.

Session VWAP

The VWAP line renders in white and can be toggled on/off via the panel toggle button or the indicator properties.

Price Channel

The channel renders in yellow and can be toggled via the panel or indicator properties.

Volume Histogram

Bars below the volume threshold render in blue. Bars exceeding the threshold render in green to highlight high-activity periods.

Key Levels

Prior Day High / Low (PDH / PDL)

The previous session's high and low on the synthetic composite. Rendered as light gray dashed lines extending across the chart, labeled PDH and PDL on the right edge.

Opening Range (ORH / ORL)

The high and low of the first five minutes of regular trading hours (9:30–9:35 AM ET). Rendered as a semi-transparent blue rectangle spanning from the 9:30 bar to the right edge, with border lines and labels. The Opening Range is a widely-watched institutional reference — seeing it on the composite tells you where the broad market established its initial range.

Initial Balance (IBH / IBL)

The high and low of the first thirty minutes of regular trading hours (9:30–10:00 AM ET). Rendered as green (IBH) and red (IBL) horizontal lines with labels. A break of the Initial Balance on the synthetic index signals that the broad market has chosen a direction for the session.

Each key level set can be individually toggled via the indicator properties:

Position Entry Price Line

When you have an active position across the basket instruments, the indicator calculates your blended entry price on the synthetic index. This is the weighted average of your entry prices across all four instruments, mapped back to the synthetic index scale.

The entry line renders as a dashed horizontal line with a label showing ENTRY LONG or ENTRY SHORT and the computed synthetic price. This lets you visually see where your basket position sits relative to current price action — without having to mentally composite four separate charts.

Figure 2 — The "ENTRY LONG 994.14" line shows the blended entry price on the synthetic scale. The trader can instantly see the position is near breakeven relative to the composite.

Bar Countdown Timer

On minute-based chart periods, the price label on the right edge of the chart displays a real-time countdown timer showing the time remaining until the current bar closes. The format is MM:SS.

This is essential for breakout traders who need to know whether a candle close above/below a key level is confirmed, or if there's still time for a reversal before the bar finalizes.

All Parameters Reference

Toggle Controls

The bottom row of the panel contains four toggle buttons that control feature visibility in real time:

• ✓ VWAP — show/hide the session VWAP line
• ✓ Volume — show/hide the volume histogram at chart bottom
• ✓ Price Channel — show/hide the price channel overlay
• ✓ Key Levels — show/hide all key level lines (PDH/L, OR, IB)

A checkmark (✓) indicates the feature is currently active. Click to toggle. These toggles take effect immediately without needing to reopen the indicator properties dialog.

Panel & Drag

The WPF panel is fully draggable. Click and hold the title bar area and drag to reposition it anywhere within the indicator sub-panel. The position is automatically persisted to the indicator parameters, so it survives chart reloads and workspace saves.

Click the ▼ / ▲ toggle button on the right side of the title bar to collapse or expand the panel. The collapsed state only shows the title bar and Account Net P&L — useful when you want to maximize chart real estate but keep an eye on your account performance.

Multi-Timeframe Use

The indicator works on any bar period type that NinjaTrader supports — minute, tick, range, Renko, etc. It mirrors the primary chart's bar period for all four data series automatically.

A common workflow is to run the indicator on two charts simultaneously:

• Higher timeframe (e.g., 5-minute) for trend direction, key levels, and the Price Channel
• Lower timeframe (e.g., 1-minute) for precise entries, bar countdown timing, and volume surges

Account Selection

The order panel reads positions from and submits orders to the account selected in NinjaTrader's ChartTrader toolbar at the top of the chart. To change accounts:

1. Click the account dropdown in ChartTrader (top of the chart window)
2. Select the desired account (e.g., Sim101 for simulation, or your live account)
3. The panel will automatically begin reading positions from the new account

Market Profile Integration

Troubleshooting

Blank sub-panel / no candles

Check the NinjaTrader Output Window (Control Center → New → Output Window). Look for errors related to missing instruments. The most common cause is a missing data subscription for one of the four micro futures. Ensure MNQ, MES, MYM, and M2K are all available in your Instruments list with active data.

Panel not visible

The panel may be positioned off-screen. Go to the indicator properties and reset Panel Position X and Panel Position Y to 8. Also check that Panel Collapsed is set to false.

Orders not submitting

Verify that ChartTrader is connected to an active account. The order panel uses the ChartTrader account — if no account is selected or the connection is down, orders will fail silently. Check the Output Window for "No account" messages.

P&L not updating

The P&L display updates every 250ms. If it shows $0 despite having positions, verify that the positions are on the same account that ChartTrader is connected to. Positions on a different account will not be reflected.

Key levels not showing for current day

Key levels require at least one full session of data to compute Prior Day H/L. On the first day of loaded history, PDH/PDL will not display. Opening Range and Initial Balance require bars within their respective time windows (9:30–9:35 and 9:30–10:00 ET). If your chart hasn't loaded bars covering those times yet, the levels won't appear.

Frequently Asked Questions

Can I use this on full-size contracts (NQ, ES, YM, RTY)?

The indicator is configured for micro futures (MNQ, MES, MYM, M2K) by default. Full-size contracts are not supported in the current version but may be added in a future release.

Does the indicator work with replay data?

Yes. The synthetic index computes correctly on historical and replay data. The order panel will not function during replay (no live account), but all visualization features work as expected.

Can I change the index base value from 1000?

The base value of 1000 is currently hardcoded. This is cosmetic — it doesn't affect the proportional relationships between instruments. A configurable base may be added in a future update.

What happens if one instrument's data feed drops?

If an instrument's data feed drops mid-session, its last known price will be used until the feed recovers. The synthetic index will continue to update based on the other three instruments' live data plus the stale value. This prevents the chart from going blank, but the composite accuracy will be degraded until the feed reconnects.

Can I run this alongside other indicators?

Yes. The indicator occupies its own sub-panel and does not interfere with indicators on the main price panel or other sub-panels. You can overlay additional NinjaTrader indicators on the synthetic sub-panel if desired.

Is there a strategy version for automated trading?

Not at this time. The current release is an indicator with manual execution via the integrated panel. An automated strategy version may be considered for a future release.

Contact & Support

For technical support, feature requests, or licensing questions:

• Website — www.adtssystems.com
• Email — contact@adtssystems.com

When reporting an issue, please include the NinjaTrader version, the instrument and timeframe you're using, and any relevant output from the NinjaTrader Output Window.