07Apr/20

MZpack 3.15.8 beta

mzVolumeProfile
– Fix. Bars mode works not as expected for Stacked profile.

mzFootprint
– Fix. Ending types for Imabalce/Absorption S/R zones can affect each other
– Fix. Absolute Delta Average can be 0 for historical data and requires indicator reloading to be calculated

mzVolumeDelta
– ‘Presentation – Negative delta’ parameters have ben merged with ‘Presentation – Sell volume’ => ‘Presentation – Sell volume/Negative delta’.
The same is for ‘Positive delta’ parameter

mzBigTrade
– Rendering optimization for auto-scaled values
– Fix. Some trades are not shown if Reconstruct tape disabled
– Fix. Reconstruct tape, when enabled On-the-fly, ignores some collected Iceberg/DOM pressure/support values on historical bars
– Fix. Optimized render when enabled doesn’t limit rendering time

mzMarketDepth
– Maximal value for ‘History depth, bars’ is 10000 now.

Common
– Optimization of memory releasing
– Fix. Multi-threading locks.

25Mar/20

MZpack 3.15.7 beta

mzVolumeProfile
– Fix. TPO is not updated live when Split enabled.
– Fix. Volume profile (or its part )with Area presentation maybe not visible for some zoom values
– Fix. Custom profile is not changed during creation/resizing

19Mar/20

Speed Up The Calculation of Volume Profiles and TPO. MZpack 3.15.6 beta

mzVolumeProfile
– Profile accuracy = Minute mode.
E.g. calculation of profiles for one year of ES futures requires only 10-15 seconds on an average machine now.
Use Profile accuracy = Minute with disabled Tick replay to speed up the calculation of Volume Profiles or TPO for huge periods like months or years.
Tick replay data are not used with Minute accuracy.
Also, we recommend setting ‘Ticks per level’ = 10..20
Note, to emulate Daily bars use 1440 Minute bars. See video.

HISTORICAL DATA
Minute volumes are being spread proportionally across each minute range.
Volumes of up bars are buy volumes, volumes of down bars are sell volumes.
For strategies API: Calculation of the profiles will be OnBarClose – this means ‘on close of each 1 Min interval according to Profile Accuracy’.

REAL-TIME DATA
Orderflow Calculation mode is ‘UpDownTick’
The rest is the same as for Tick accuracy

Orderflow settings are not available for Minute accuracy.

NOTICE.
On historical data, the Minute accuracy shows volume spreading is very close to Tick accuracy for large profiles.
But we don’t recommend using Delta with Minute accuracy on historical data!
TPO is identical in both modes for historical and real-time.

– ‘Profile accuracy’ has been moved to ‘Common’ section.
– Added two workspaces to illustrate TPO+VP features and Minute accuracy.

mzMarketDepth
– Rendering optimization
– Added ‘General – Refresh delay, ms’ parameter. The default value is 250 ms. Min value is 50 ms. Don’t use low values on slow machines.
– Fix. Historical DOM is not fully visible when ‘Hold levels’ disabled.
– Fix. Enumeration exception may occur

12Mar/20

MZpack 3.15.4 beta

mzFootprint
– ‘Filters – Display value’ can be 0 to display zero values.
– Added ‘Value: align’ option for all footprint styles except BidAsk. Align can be Inner or Center
– Fix. LVN is not visible inside ‘0x0’ gap on both side of the footprint.

mzVolumeProfile
– ‘Chart Profile mode – Bars’ has enabled
– Added ‘TPO – Presentation’: Letter or Block
– When there is no room to render TPO letters, blocks are rendered
– Fix. Gaps in letters in some cases.
– Fix. TPO profile might be not completed if ‘Ticks per level’ > 1
– Fix. Period open is not visible if ‘Ticks per level’ > 1
– Fix. Some latest letters can be missed in TPO

mzVolumeDelta
– UI has re-arranged, Add ‘Presentation’ group
– Added ‘Custom’ color mode
– Fix. ‘Filters – Trade min/max, Display color’ parameters are limited to 100 million. Extended to 2 billion.

Common
– Fix. Licensing system may detect system date manipulation in a wrong way

25Feb/20

MZpack 3.15.2 beta

mzFootprint
– Fix. Gaps in footprint with an unexpected aggregation of price levels for some instrument, e.g. FGBL

mzVolumeProfile
– TPO: IB has repositioned – inside the profile.
– TPO. Auto-scaling has been adjusted to give more space for letters

22Feb/20

MZpack 3.15.1 beta

mzFootprint
– ‘LVN: ended by’ option has been removed. LVN is ended always by bar crossing
– Fix. S/R Zone endings ‘ByBarClose’, ‘ByBarPOC’ end zones not as expected in some cases
– Fix. Indicator might crashes if footprint values visible on instruments with Tick size > 1
– Fix. Footprint values might be too big if auto-scaled

mzMarketDepth
– Fix. Real-time histograms for bids and offers have the same maximal width even if maximal values are different

mzVolumeProfile
– Added option: ‘Common – Button font’

14Feb/20

MZpack 3.15.0 beta

ATTENTION! You probably will need to review your workspaces with these indicators after updating up to 3.15.0 beta: mzFootprint, mzBigTrade, mzVolumeDelta

Orderflow core
Level 2 data are not required for iceberg orders and DOM pressure/support
– The default value for ‘Spread trades’ is Ignore
– Added message box on error in Ninja database cache with resolving instructions

mzFootprint
– In ‘Imbalance’ section ‘Bid’ parameter for color has been renamed to ‘Sell/Resistance zone’, ‘Ask’ parameter for color has been renamed to ‘Buy/Support zone’
– In ‘Absorption’ section ‘Bid’ parameter for color has been renamed to ‘Sell/Support zone’, ‘Ask’ parameter for color has been renamed to ‘Buy/Resistance zone’
ATTENTION! We previously used ‘Ask’ as the color for Support zones, and ‘Bid’ for Resistances zones. Now the colors are swapped to avoid discrepancies.
– Added LVN zones. See ‘Left/Right Footprint – LVN: enable’
– Optimization of order flow processing
– Optimization of zones rendering
– UI cleanup
– Fix. S/R Zones may be rendered outside of session even ‘Break on session’ enabled

mzBigTrade
– ‘Fuzzy’ and ‘None’ Iceberg algorithms have been deprecated
– ‘Filters’ section includes filters processed by the chosen Logic only
– Aggression and Smart filters have been moved to a new group ‘Extra Filters’
– DOM pressure filter enhancement. See images
DOM pressure term is used to describe the behavior of the liquidity on the way of a market order. Positive DOM pressure means liquidity pushing/adding. Negative DOM pressure means liquidity pulling. E.g. Buy order with negative DOM pressure means pulling of the liquidity on best Ask upon execution of the order.

MZpack BigTrade Iceberg orders with DOM pressure

– Added ‘Presentation – Liquidity pulling line’
– Added ‘DOM support’ filter. See images.
Added ‘Presentation – Show DOM support’ option
– MarketLimit filter has deprecated. To spot Market-Limit orders enable ‘DOM support’, ‘Smart’ and ‘Aggression’ = 1 filters
– All filters are applied to collected live data without reloading of indicator.
– Aggressive trades are rendered with dotted contour

MZpack Aggressive Trades

– Added ‘Liquidity pulling line’ parameter
– Memory usage optimization
– Fix. Unexpected behavior of ‘Reconstruct tape apply’ parameter

mzVolumeDelta
– Added support of reconstructed tape
– Added ‘Filters – Trade min’, ‘Filters – Trade max’ parameters
– ‘Fuzzy’ and ‘None’ Iceberg algorithms have been deprecated
– In Statistic Grid, colors intensity for Delta based data sets like ‘Delta cumulative’, ‘Absolute Delta average’, etc. is calculated from data sets’ min/max values but not from min/max of Delta data set
– UI cleanup
– Fix. Buy Volume/Sell Volume are Buy/Sell POC volumes instead of bar Buy/Sell volumes
– Fix. Colors in Statistic Grid may be too close from each other

mzVolumeDelta - Volume histogram based on reconstructed tape

mzMarketDepth
– Render optimization of Historical DOM
– Fix. The real-time histogram might be too narrow.

The User Guide has been partially updated

22Jan/20
MZpack - Footprint with Reconstruct tape enabled

MZpack 3.14.27 beta

What’s new

mzFootprint
* Added ‘Trade min’ and ‘Trade max’ filters. Adjust these parameters if you used previously ‘Trade filter’ in your template.
* Added ‘Orderflow – Reconstruct tape’ parameter. See image. In Tape reconstruction mode ‘Ticks per level’ is always 1.
* ‘Trade min/max’ filters affect on COT calculation now.

Download MZpack 3 – Footprint w Reconstructed tape chart template in .zip
Download MZpack – Cluster Chart with Tape reconstruction chart template in .zip

Close Ninja and unzip zip-file to templates folder, the default is Documents\NinjaTrader 8\templates\Chart\

MZpack - Cluster Chart with Tape reconstruction

mzVolumeProfile
* Fix. Reversed Delta is shown in VolumeDelta mode.

mzBigTrade
* Added ‘Trade POC’ for setting the style of trade POC.
* Fix. ‘Show POC’ parameter is not visible if Trade marker is Bubble, Box or Bar.