Interpretations for Some of mzBigTrade Indicator Order Flow Patterns

Here are the interpretations for some of mzBigTrade Indicator Order Flow patterns.

Solid colored triangles are DOM pressure.
Green triangles mean DOM support.
Red triangles mean DOM resistance.
A. Selling. But with DOM support and Iceberg orders.
B. Aggressive (dotted contour) buy trades (with slippage) with DOM resistance at the top.
C. DOM liquidity pulling (grey dotted triangle) but with aggressive buy trades – avoid this on local highs.
D. Huge Aggressive sell trade – stop loss trigger, selling culmination.
E. See C.
F. See A.
Ignore small amounts of DOM events (small triangles).
For long targets spot trade cluster such in A case.
See User Guide for more information, please.

PREVIEW of MZpack Pro API Update

Here is the PREVIEW of MZpack Pro API Update.  The release is scheduled for the beginning of December 2020. Stay tuned.

All these new improvements give you unlimited flexibility to build order flow strategy from precoded blocks. Only a minimum amount of coding required.

What’s new (only major features)

– API cleanup. Strategies code is shorter and very easy to understand now.
– New Pattern concept:
Added Signals and Filters decision trees with logical (AND/OR) and signals nodes.
Added built-in bar and price ranges control – localize your patterns easily.
– Added built-in signals: TradesClusterSignal, DOMImbalance, etc. More signals/filters will come.
– Added visualization for validated patterns.
– Added partially view mode for mzBigTrade, mzFootprint, mzMarketDepth indicators.
Now you can control from the strategy code which particular plots of an indicator should be visible. Eg. you can make visible only particular footprint bars or particular big trades from which a signal has been validated. This allows keeping the picture clean.
– Samples have been updated

Normal Visible Mode of Indicators

The same chart. New Partially Visible Mode of Indicators. Focus on meaningful plots only!



MZpack 3.15.21

– Fix. Indicator error might occur when Statistic Grid is visible
– Fix. Invalid cluster rendering in some cases for Forex pairs if Ticks per level > 1


Optimizing VolumeProfile and TPO Charts in MZpack

Comprehensive order flow indicators like MZpack with a lot of features require significant CPU resources. The performance issue is aggravated by the fact that NinjaTrader 8 can utilize only one CPU thread per instrument. No matter how many CPU cores your system has – only one core will be used for processing market data for this particular instrument (even it is opened on ten charts). The purpose of this was synchronizing data and orders handling on all your charts, but in reality, this may lead to significant delays. And you guessed it, this greatly reduces the performance of the platform.

In this article, we will show how to create beautiful MZpack charts like this one on the screenshot in the header with around 1% CPU load and a very short overall loading time.

The idea is to use Minute profile accuracy for huge periodical profiles. Minute accuracy doesn’t require tick replay mode, requires much fewer CPU resources, and has significantly less loading time. As what about TPO profiles, those can be used with Minute accuracy mode even for very short periods like session.

The Required Steps

  1. Open a new clean chart. We use 5 Min ES chart in this example.
    Add two Data Series: 1st Data Series with Tick replay enabled and Days to load = 5 and 2nd Data Series with Tick replay disabled and Days to load = 30.
    We recommend using equal time periods for both data series.
    Now you have two panels with added data series.
  2. Add mzVolumeProfile indicator to your chart. By default, it will be attached to the 1st data series. We used Weekly periodical profiles and Monthly profile as a stacked VP.
  3. Choose 2nd Data Series as Input series for your mzVolumeProfile indicator.
    Choose Minute for Profile accuracy. Then click Apply. The profile now is attached to 2nd data series.

  4. Add mzFootprint indicator. It will be attached to the 1st Data Series by default.
  5. Send 2nd Data Series to the panel containing 1st one. Now you have both Data Series on the same panel.

The result

The resulting image will look like this. Our Footprint indicator covers the latest 5 days of the chart. Whereas mzVolumeProfile indicator is applied to all 30 days.

The micro-dynamic of order flow can be observed by zooming in the chart.

Adding More Indicators

Add 2nd mzVolumeProfile indicator doing the same steps if you need more plots. Eg. we added another mzVolumeProfile to plot monthly WVAP with standard deviations.
Also, you can add more order flow indicators, like mzBigTrade or mzVolumeDelta to your 1st Data Series with Tick replay enabled.


The common method of adding mzVolumeProfile indicator with Minute accuracy:

  1. Add mzVolumeProfile with Tick accuracy on your Data Series with Tick replay enabled
  2. Move added mzVolumeProfile indicator to Data Series with disabled Tick replay
  3. Change Profile accuracy to Minute
The Workspace

Download NinjaTrader 8 zipped workspace: MZpack Mixed VP-Footprint


MZpack 3.15.19

– Added displaying of the price range for Delta Rate
– Optimization of S/R zones rendering
– Fix. Cluster scale is not correct when Scale source = TradesNumber and Ticks per level > 1
– Fix. Level can’t be attached to a footprint bar when adding


MZpack 3.15.18

– Delta Rate of Change has been added to the Statistics Grid and Notifications
Delta Rate value is attached to the bar and is shown in Statistics Grid, but is calculated continuously. Only the maximal (modulo) value of Delta Rate is shown for the bar.
Delta rate: type. Tick or Millisecond
Delta rate: value. Value of Delta rate measure interval in ticks or milliseconds

– Legend of the Statistics Grid can be adjusted Left or Right


Transfer of MZpack License Update

Hey Traders!

As you probably know, MZpack license is linked to your PCs with product activation. But if you change machines or its hardware parts, you are able to transfer your license within 24 business hours by creating a support ticket.

This service was free previously. But because of the very high volume of transfer requests License transfer rules have been updated. Starting from Sep 21th 2020 you will be able to transfer your license by purchasing this transfer service (one purchase per license key).

Read more on the License Transfer Service page, please.