27May/20

MZpack Settings for Indian Market (NSE)

Blog

Last updated: Mar 5, 2021

Hybrid mode for Order flow

Indian Market (NSE) data providers (eg. Accelpix) don’t translate historical bid/ask data so far. For Indian users, Hybrid mode for ‘Orderflow – Calculation’ settings has been added. The Hybrid mode uses UpDownTick calculation for historical data and BidAsk calculation for real-time data, which is more accurate. Hybrid mode is available starting from version 3.15.11.
For ‘Spread trades’ set Split or LastKnownSide.

Non-Crypto volumes divider and Ticks per level

Indian users must adjust Non-Crypto volumes divider and Ticks per level parameters.

For NIFTY features set volumes divider = 75 according to lot size. BANKNIFTY features has 20 as the lot size. See the above image. Non-crypto volumes divider is available starting from version 3.16.3

For NIFTY futures set Ticks per level = 40. We use this value for mzFootprint on 240 Range chart and for mzVolumeProfile on 30 Min chart.

For BANKNIFTY futures set Ticks per level = 1500.

mzBigTrade Indicator

mzBigTrade Indicator requires fine-tuning. See image. You can use 10 Tick chart to refine your entries. Take some screen time to make adjustments suited for your trading strategy.

Download BANKNIFTY – NIFTY workspace. MZpack 3.16.3 or later required.

05May/20

MZpack 3.15.9 beta

News

Levels
– Added saving levels in workspace and chart template. All your saved levels are on the chart when you open a workspace.
– Set an individual style for a level from the level properties window
– Add custom text to a level with ‘Label’ property
– Added AboveRight/AboveLeft for Value position.
– The new level properties window
– New level control spots: properties, delete
– A level placed inside VolumeProfile/TPO begins from begin of this profile

mzFootprint
– Added auto-scaling for Legend text
– Fix. Stat grid values are not scaled if ‘Presentation – Auto-scale’ values disabled

mzMarketDepth
– For Overall Liquidity Migration added ‘Liquidity Migration – Plots position’ which can be Top or Bottom
– Fix. Overall LM is rendered in the wrong position if there is a chart panel above indicator’s panel

mzVolumeProfile
– Fix. VWAP/StdDeviations are not visible for custom profiles if enabled from On-the-fly settings
– Fix. Minute accuracy is not disabled after switching to or loading for non-minute based bars
– Fix. Area profile presentation may throw an error for some futures.

Common
– Fix. An error might occur in UI thread for finalized indicator

07Apr/20

MZpack 3.15.8 beta

News

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

News

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

News

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

News

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

News

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

News

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

News

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

News
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.

16Jan/20
MZpack 3 - Volume Profile RTH w Overnight

MZpack 3.14.26 beta

News

What’s new

mzVolumeProfile
– Added ‘Continuous’ profile mode. By default, the continuous profile contains all data loaded on the chart.
It’s similar to Composite. But when ‘Working time’ parameter enabled new profile will be created on each new period according to Start/Stop time settings.
To build Overnight profiles use Continuous mode with Start time > Stop time.
E.g. to build RTH and Overnight profiles add two instances of mzVolumeProfile with relevant Working time on the chart.
– ‘Working time’, ‘Start time’, ‘Stop time’ parameters can be applied to chart profiles only but not to Stacked profiles.
– ‘Working time’, ‘Start time’, ‘Stop time’ parameters can be applied on-the-fly. E.g. open On-the-fly Settings window, enter desired Start time and press Enter key.
– Fix. Session/Daily profiles are merged on live data when ‘Working time’ enabled.

Download MZpack 3 – Volume Profile RTH w Overnight chart template in .zip
Close Ninja and unzip zip-file to templates folder, the default is Documents\NinjaTrader 8\templates\Chart\

09Jan/20

MZpack 3.14.24 beta

News

What’s new

mzFootprint
– Added ‘S/R zones: ended by’ parameter of Imbalance/Absorption SR zones. A zone may be ended by bar high/low, by bar close or by bar POC

mzMarketDepth
– Fix. Real-time DOM visible even when is out of indicator working time.

Common
– Fix. Excessive bars might be rendered on the chart if ‘Bar marker’ and ‘S/R Zones’ both enabled.
– Fix. Excessive message box ‘Reload indicator (F5) to take effect for historical data’ might appears on indicators loading
– Fix. The pop-up hint may lead to an error.

15Dec/19

MZpack 3.14.22 beta

News

mzVolumeProfile
– Fix. Creation value of a stacked profile is not visible in UI for some profile modes.

mzFootprint
– Fix. Cluster value notification does not alert in some cases.

mzBigTrade
– Added DOM pressure/Market-Limit markers (triangles) if Trade markers = Line.
– Added keyboard shortcuts for changing the size of markers. Increase size LeftCtrl + ‘+’. Decrease size LeftCtrl + ‘-‘
– Loading time optimization.
– “Too many trades selected…” message has deprecated.
– Fix. Minimal marker size is for 1-Lot trade always and doesn’t depend on min trade filter.

01Dec/19

MZpack 3.14.21 Pro beta

News
  • Added Momentum indicator
  • Pattern property has been moved to MZpack.NT8.Algo.Strategy class.
  • Added method MZpack.NT8.Algo.Strategy.OnPatternCalculateFilter(DateTime time)
  • Method MZpack.NT8.Algo.Strategy.CheckEnterPosition(Pattern pattern, DateTime time) replaced by
    MZpack.NT8.Algo.Strategy.OnPositionOpenFilter(DateTime time)
    Pattern parameter was depricated, use Pattern property of Strategy class.
    base.OnPositionOpenFilter() call is not required in overrider.
    See AlgoStrategy5.cs sample.
  • Added allowed parameter in Signal.OnCalculate() method. Use allowed to optimize calculation of the signal.
26Nov/19

MZpack 3.14.21 beta

News

mzFootprint
– Fix. Imbalance/Absorption is missed in some cases.
– Fix. Footprint is not visible with default settings for the chart bars.
– Fix. If no connection established footprint bars are not scaled as expected upon loading on the chart.

mzVolumeProfile
– UI cleanup with dynamic parameters. E.g. 1st stacked profile parameters are not visible if ‘1st profile show’ is None.

Common
– Added ‘General – Working time’ option to avoid excessive time series access which might lead to database errors. It’s disabled by default.
Start/Stop time parameters are hidden if ‘Working time’ is disabled.
– User Guide has been updated.
– Fix. In some cases, UI/handlers are not detached when indicator finalized.
– Fix. UI fix.

Trial
– Trial version has been updated.

24Nov/19

MZpack 3.14.19 beta

News

mzFootprint
– Fix. Footprint is not visible with default settings for the chart bars.
– Fix. If no connection established footprint bars are not scaled as expected upon loading on the chart.

mzVolumeProfile
– UI cleanup with dynamic parameters. E.g. 1st stacked profile parameters are not visible if ‘1st profile show’ is None.

Common
– Fix. UI fix.

16Nov/19

MZpack 3.14.18 Pro beta

News
MZpack 3.14.18 Pro beta

– Added functionality in mzVolumrProfile API for backtesting.
To get access to indicator’s data in Historical mode, add this code:

// See MZpackCustomStrategy0.cs sample
if (State==State.DataLoaded)
{
myVolumeProfileIndicator.ModelIncrementRefresh = ModelIncrementRefresh.HistoricalRealtime;
...

– Added sample on basic VolumeProfile API and backtesting support. See MZpackCustomStrategy0.cs
– Fix of 3.14.16 Pro beta ‘feature’. Indicator requires Calculate = Calculate.OnEachTick to be set to process data.
– Fix. IVolumeProfile.Deviation property is not set.

31Oct/19

MZpack 3.14.15 beta

News

MZpack 3.14.15 beta

mzBigTrade
– 3.14.14 Added ‘Show last N trades’ parameter. The valid range is 1..3000. You will see a warning message if your filters generate more trades than this value.
– 3.14.14 New trades are displayed on top of previous ones.

mzMarketDepth
– Fix 3.14.15. Total volume for the side in Real-time DOM is the sum of all available (but not only visible) DOM levels.
– Fix 3.14.14. The color of Imbalance lines is not correct.
– Fix 3.14.14. Total volumes of bid and offer sides are the sum of volumes of all orders in the order book.
– Fix 3.14.14. Cumulative ladders were rendered in the wrong position.

mzFootprint
– Fix 3.14.14. S/R zones may not appear on the chart in real-time and may not be adjustable on-the-fly.
– Fix 3.14.14. Notifications – Trades number: sound can’t be changed.
– Fix 3.14.14. An exception may be raised when ‘Left or Right cluster: alert’ is on.

30Oct/19

MZpack 3.14.14 beta

News

MZpack 3.14.14 beta

mzBigTrade
– Added ‘Show last N trades’ parameter. The valid range is 1..3000. You will see a warning message if your filters generate more trades than this value.
– New trades are displayed on top of previous ones.

mzMarketDepth
– Fix. The color of Imbalance lines are not correct.
– Fix. Total volumes of bid and offer sides are the sum of volumes of all orders in the order book.
– Fix. Cumulative ladders were rendered in the wrong position.

mzFootprint
– Fix. S/R zones may not appear on the chart in real-time and may not be adjustable on-the-fly.
– Fix. Notifications – Trades number: sound can’t be changed.
– Fix. An exception may be raised when ‘Left or Right cluster: alert’ is on.

14Oct/19

MZpack 3.14.13 beta

News

MZpack 3.14.13 beta

mzMarketDepth
– Added option ‘Extend ladders’ to extend all levels of Realtime DOM.

mzVolumeProfile
– Fix. The new profile started unexpectedly after a bar with zero volume.

mzVolumeDelta
– Fix. Cumulative delta unexpectedly reset after a bar with zero volume.

Licensing
– Improvements for stable license checking on a VPS.

05Oct/19

MZpack 3.14.12 beta

News

MZpack 3.14.12 beta

mzFootprint
– Notifications (alerts) added for:
a) Bar values: Trades number, Volume, Buy/Sell volume, Delta, Delta %, Abs delta average, Delta change, COT high/low
b) Cumulative delta
c) Cluster value for left and right footprints: trades number, volume, bid/ask volume, delta
– S/R zones: render optimization.
– Statistics grid: Lines of COT High and COT Low were swapped – COT High goes first now.
– Fix. S/R zones require Imbalance/Absorption is visible to be shown.

mzBigTrade
– Min/max filters added for all filters (excluding Iceberg filter).
– Limit for maximal trades on the screen is set to 3000. You will see a warning message when this limit has reached after adjusting of the filters.
– Added Buy/sell shape borders.
– Fix. Shape border is always rendered with Iceberg color if Iceberg volume filter = 0.

mzVolumeProfile
– Fix. With Stacked profile on the chart ‘Delta saturation’ option leads to indicator error.

Common
– Fix. The installer places installation files in the administrator folders if it was run by a user without administrator rights.

05Oct/19

MZpack 3.14.12 Pro beta

News

MZpack 3.14.12 Pro beta

– Added ImbalanceSRZones, AbsorptionSRZones to IFootprintBar interface.
– Filters in IBigTradeIndicator has been renamed.
– IBigTradeIndicator.Trades is SortedDictionary<> now.
– Added ‘attempts’ parameter to MZpack.NT8.Algo.Strategy.Initialize(). Number of attempts to enter position. After value is reached current pattern will be reset.
– In OnCalculate() method of a custom signal or in OnMarketData() method IFootprintBar instance requires RefreshModel() call in historical state for values actualization: Imbalances/Absorptions, SR zones, UA, Session POC/VAH/VAL.
See sample:

public override void OnCalculate(MarketDataEventArgs e, int barIdx)
{
IFootprintBar bar = Strategy.MZpackStrategy.FootprintIndicator.FootprintBars[barIdx];
if (Strategy.MZpackStrategy.FootprintIndicator.__State == State.Historical) bar.RefreshModel(new RefreshModelArgs() { Action = RefreshModelAction.BuildModel }); ...
}

 

19Sep/19

MZpack 3.14.9 beta

News

MZpack 3.14.9 beta

mzVolumeProfile

  • Fix. TPO may not be accurately calculated if Ticks per level > 1.
  • Fix. Ladders may disappear.

mzMarketDepth

  • Fix. Changing ‘Liquidity migration – Added/Removed volume filter’ requires indicator reloading to take effect for historical migrations.
  • Fix. In Historical DOM last blocks are not rendered in some cases.
  • Fix. Liquidity migration when visible might throw an exception.
  • Fix. Line style for ‘Cumulative Bid/Offer’ is not saved in template.

mzFootprint

  • Fix. Settings of Imbalance/Absorption are not applied for historical data when changed.

mzBigTrade

  • Optimization of applying of indicator’s settings.

Common

  • Saturation presets 2,3,4 became brighter.
  • ‘General – Smooth render’ option added. This option turns on anti-alias mode and makes the picture smooth. Turn it off to get a sharper image.
30Aug/19

MZpack Bookmap Style w DOM Pressure and Migration Delta

Blog

MZpack Bookmap Style w DOM Pressure and Migration Delta

Overall Liquidity Migration mini-chart is the unique feature of MZpack for NinjaReader 8 (mzMarketDepth indicator). In this particular case, we used OfferBid delta for calculations of migration represented by bars on the additional mini-chart.

The second unique feature we used here is the DOM pressure (mzBigTrade indicator). It also uses Level 2 data for analysis and shows pressure by limit orders in the DOM against the direction of the trade.

Signals:

  1. The Resistance level on Overall Liquidity Migration mini-chart
  2. 99-Lot of DOM pressure at bid side (green triangle) against 211-Lot sell order.

Both signals are signals of resistance. Therefore, we can use those to determine a reversal pattern.

Download NinjaTrader 8 chart template zip-file (Close Ninja and unzip zip-file to templates folder, the default is Documents\NinjaTrader 8\templates\Chart\)

Read more.

Overall Liquidity Migration Feature In mzMarketDepth Indicator

A Question On Overall Liquidity Migration

 

 

29Aug/19

MZpack 3.14.8 beta

News

MZpack 3.14.8 beta

Common
– ‘Optimize render performance’ feature improved.
– Reliable errors handling so as not to overload the log files and the platform.

mzBigTrade
– Iceberg border for a shape became a stroke with additional settings.
– Shapes’ border added.
– ‘General – Optimize render performance’ option added.
– Render optimization and performance fix.

mzVolumeProfile
– ‘Volume Profile – Ladders saturation’ option added.
Saturation requires a significant amount of graphical resources for large ranged profiles. The default value is off.

mzFootprint
– Fix. ‘Custom’ color mode doesn’t work for Bid or Ask footprint.

mzVolumeDelta
– ‘General – Optimize render performance’ option added.
– Fix. New session profile doesn’t start if starting bar(s) missed on the chart.

mzMarketDepth
– ‘Optimize render performance’ option added.
– Visual enhancements for Historical DOM – blocks look more consistent now.

Download NinjaTrader 8 chart template zip-file (Close Ninja and unzip zip-file to templates folder, the default is Documents\NinjaTrader 8\templates\Chart\)

21Aug/19

MZpack TPO for NinjaTrader – CME Index Futures RTH – ETH

Blog

On this chart two sessions (RTH + ETH) have been combined using Trading Hours settings. MZpack 3.14.6 (mzVolumeProfile indicator) or later required.

How to split RTH and ETH sessions in Volume Profile and TPO?

You can easily do this with Trading Hours

  1. Download Trading Hours template and place it to Documents\NinjaTrader 8\templates\TradingHours folder. You will get Trading Hours like on the image.
  2. Adjust Time zone: UTC-6
  3. Restart NinjaTrader
  4. Open pre-installed workspace MZpack – TPO – CME Index Futures RTH – ETH (or download and install this one – place it to Documents\NinjaTrader 8\workspaces, restart NinjaTrader)

Trading Hours for NinjaTrader 8 to split ETH and RTH sessions

Note, that mzVolumeProfile ‘Common – Chart Profile mode’ = Session.

17Aug/19

Simple Approach to Trading

Blog

Simple Approach to Trading

  1. There are three key skills for trading success: Strategy, Execution, and Mindset. These skills relate to each other.
  2. Trading preparation. Market Fundamentals and the information that is the most important to look at every day: Daily Settlement.
  3. Technical Analysis of the setup which is a key element in entries and exits.
  4. Order Flow tool. Even if you are an experienced trader, an Order Flow tool will refine your trading.
16Aug/19

MZpack 3.14.7 beta

News

MZpack 3.14.7 beta

mzFootprint
– Fix. Error on calling ‘OnRender’ method on bar …: Collection was modified; enumeration operation may not execute at MZpack.FootprintBarsBase.PrepareRenderArgs(RenderArgs e)

15Aug/19

MZpack 3.14.6 beta

News

MZpack 3.14.6 beta

mzVolumeProfile
– ‘General – Optimize render performance’ option has been added. This allows you to optimize rendering performance so as not to exceed the Maximum rendering time parameter. This avoids potential delays in the chart.
In this mode, some of the profiles may be not visible on the chart in short moments of high CPU usage. Current profile and stacked profiles are always visible.
If you are facing with chart delay issue try to set ‘Maximal render time, ms’ = 50..20
– Ladders and values (including Delta overlay) of a volume profile can be rendered outside the profile if ‘Width, %’ or ‘Delta, %’ is less than zero.
The valid range for widths is -100..100 %
– ‘Right margin, px’ option was added. It reserves space for ladders outside of right-most profile if Profile position = Right
– Fix. Width of volume profile ladders in ‘Relative width’ mode might be not correct if profiles contain different bar number.
Note, when ‘Relative width’ is on, for some profiles with some combinations of ladders volumes and profiles widths, width of ladders might exceed the width of the profile. This is the expected behavior.
– Fix. Custom TPO doesn’t start from A letter.
– Fix. Labels font is used to print TPO letters.

02Aug/19

MZpack 3.14.5 beta

News

MZpack 3.14.5 beta

mzVolumeProfile
– ‘Split’ option for TPO has been added. See image.

mzFootprint
– ‘Scale source’, ‘Gradient source’ options have been added. Watch video.
– Border for footprint clusters
– Bug fix. Bars’ width/space is set to defaulr after chart reloading. Presentation – ‘Bar space, px’, ‘Bar width, px’ options have been added.

01Jul/19

MZpack 3.14.4 beta. Custom Colored Clusters

News

MZpack 3.14.4 beta. Custom Colored Clusters

mzFootprint
– New presentational feature upon your requests! ‘Custom’ mode has been added for ‘Color mode’ for each Left and Rigth footprints. See image.
– ‘Values divider’ now are decimal values greater or equal to 1. You can set any number for divider now (useful for some markets) but not x10 based value only.

Download chart template zip-file for the chart as on this image (unzip template to templates folder, default is Documents\NinjaTrader 8\templates\Chart)

26Jun/19

MZpack 3.14.3 Pro beta

News

MZpack 3.14.3 Pro beta

API
– Improved performance and stability of mzVolumeProfile indicator.
– API for mzVolumeProfile indicator has changed. Samples have been updated.
– filtersRange parameter has been added for Pattern class constructor. See API documentation.
– Strategy.OnQuote() has been renamed to OnMarketDepth()
– API online documentation was updated.

17Jun/19

MZpack 3.14.2 beta

News

MZpack 3.14.2 beta

mzVolumeProfile
– Fix. Naked/Extended/DevelopingNaked levels of POC/VAH/VAL are not supported if volume profile is in Rigth position.
– Fix. Data is accumulated for the last session of the chart even it’s out of session bounds.
– Fix. Stacked profile mode is not restoring from chart template for slots #2 and #3.

All indicators
– Orderflow section cleanup for some indicators

09Jun/19

MZpack 3.14.1 beta

News

MZpack 3.14.1 beta

mzVolumeProfile
– Deep optimization
– Independent view (VP, TPO, All, None) for each Stacked profile
– ‘Delta saturation’ option has been added
– Profile quick buttons have been modified
– Profile mode ‘Bars’ is not supported for chart profiles
– Download demo chart template zip-file for the chart as on this news image (MZpack 3.14.1 beta required, unzip template to templates folder, default is Documents\NinjaTrader 8\templates\Chart)

mzFootprint
– ‘POCs count’ option has been added for multiple POCs displaying

ATTENTION. To upgrade from any previous MZpack 3.13.X version or prior one you must send a request to support@mzpack.pro to reset your activation record.

26Apr/19

MZpack TPO (Market Profile)

News

MZpack 3.14.0 beta for NinjaTrader 8

mzVolumeProfile
– TPO (Market Profile)
– Aggregation of price levels for both VP and TPO (see image)

Licensing
– Fix: unstable Hardware Id calculation method

WARNING. To run this release you need to send a request to support@mzpack.pro to reset your activation record. Because of Hardware Id calculation method has been changed. Don’t run any previous version of the MZpack 3 until you will receive a positive response on your request. Otherwise, there is a chance that you will need to re-send your request.
Note, that we can reset activations for lifetime licenses and monthly subscriptions only.

30Mar/19

MZpack 3.13.4 for NinjaTrader 8

News

MZpack 3.13.4 for NinjaTrader 8

Licensing
– License checker has been improved. This will reduce the number of activation requests if your hardware has slightly changed. We strongly recommend updating.
Trial users: if you had licensing issues and your trial period is not over, update your trial version, please.

mzVolumeProfile
– Fix: DevelopingNaked POC can be in the wrong position if a profile is not visible on the chart

25Mar/19

MZpack for Ninja 8 is from $36 now! Monthly Subscriptions are available.

News, Promo

Monthly Subscriptions are from $36/mo. VAT may be applied depending on your country. Purchase auto-renewing Monthly Subscription.

Read what our customers say

15.03.2019
Joseph G.
I also wanted to let you know how impressed I am with your software and the improvements you have made to it over the past few years. I have been trading now for about 30 years and I can tell you without hesitation MZpack delivers and is a bargain to boot. Keep up the good work and thanks again.

08.03.2019
Jack N.
Just wanted to let you know I’m going through the free trial period now and I’m quite impressed with what you offer! I can see there is a wealth of very valuable data withMZpack and I am very much enjoying the learning process.

27.02.2019
Greg B.
Thanks for that I’m ready to purchase now. MZ pack is a fantastic set of indicators with a lot of features. They really suit my order flow style of trading with everything that I need.

20.02.2019
Victor B.
Thank you for such awesome you have done to quickly develop MZPack to what it is. Absolutely amazing I even though am only starting to make money in trading, I would not have been able to get where I am today without your indicators.

14.02.2019
Юрий
Михаил, спасибо вам за такой классный набор инструментов ) Просто тащусь каждый день, работая с вашими индюками.

14.02.2019
Matthew C.
I continue to love your MZPack. Thanks again!

14.02.2019
Anthony B.
Hey Mz thank you for all your work.
Im learning a lot with your stuff.

20.01.2019
Pato C.
Thank you for Volume profile indicator……is amazing…..thanks form Mexico…..appreciate

10.01.19
Dinesh B.
I started working on MZPack and its amazing and getting used to it. I have alsoreferredcouple of my friends.

06.01.19
FT _ Fund Manager
I found the COT reading an excellent attribute to the software I am not aware of anyone else offering this on a footprint, I recommend any trader to understand this and if used correctly can generate good risk reward trading.
I would certainly recommend this product “FootPrint by MZpack and just to state I have no connection with this company other than being a customer.
I also purchased this product mainly because it provides mewiththe certain end of day information which I need to workout market flow for the next day, week or month. This does it very well and I can read the information quickly.

Purchase auto-renewing Monthly Subscription
$36/mo Buy now!

09Mar/19

MZpack 3.13.3 for NinjaTrader 8

News

MZpack 3.13.3 for NinjaTrader 8

mzVolumeProfile
– ‘Custom profile unique settings’ option was added. If checked, each custom profile will have unique settings accessible via buttons.
Settings from On-the-fly settings window will not be applied if ‘Custom profile unique settings’ is On.
– ‘Scale’ option has been renamed to ‘Relative width’. It scales the width of profiles according to chosen type of values among all chart profiles
– ‘Opacity, %’ option has been renamed to ‘Ladders/Area/Contour opacity, %’
– ‘Delta opacity, %’ was added
– In Contour presentation line of the contour is drawn over all other graphics to be more visible
– Fix: POC ladder is visible in Area and Contour presentations
– Fix: Developing/extended levels are not visible if profile area is not on the chart

Licensing
– Fix of Hardware Id calculation for some VPS machines

28Feb/19

MZpack 3.13.2 for NinjaTrader 8

News

MZpack 3.13.2 for NinjaTrader 8

mzFootprint
– Bugfix: S/R zones rendering
– Bugfix: Level may throw an exception while attaching to the last bar

mzVolumeProfile
– Bugfix: invalid calculation of VWAP/deviations if Profile accuracy = Minute

mzVolumeDelta
– Bugfix: possible crash during indicator rendering

mzMarketDepth
– Bugfix: Imbalance is calculated for all available DOM levels despite of ‘Depth of market’ parameter
– Bugfix: possible crash during indicator rendering

26Feb/19

How To Get NinjaTrader 8 Free

Blog

How To Get NinjaTrader 8 Free

NinjaTraderBrokerage offers Free NinjaTrader 8 Demo. You can start your live demo to experience NinjaTrader’s award-winning features powered by high-speed data. You will need

  1. NinjaTrader 8 platform installer
  2. Live market data subscription

Request your free NinjaTrader 8 demo at NinjaTraderBrokerage. Futures and Forex market data are available.

Download and install latest NinjaTrader 8 with free demo license. Note, that with the free license you may practice on demo account only, live trading is not available.

You will receive CQG demo login and password in a few minutes after registration. Demo subscription is valid for 20 days and granted one time only per each email. You can purchase live market data subscription from CQG, Rithmic, IQFeed, etc. later. For best results with MZpack use data subscriptions with Level 2 support.

Free version of Ninja 8 has no limitations in features (it’s like full lifetime version). But you can’t use free version on live broker account, but only with demo one.

MZpack doesn’t depend on the type of Ninja license. You can use MZpack with any version of NinjaTrader – free, lifetime, subscription.

21Feb/19

MZpack 3.13.1 for NinjaTrader 8

News

MZpack 3.13.1 for NinjaTrader 8

  • License checking subsystem fix
  • New hardware Ids with flash/USB drives support

We strongly recommend to update up to this version ASAP. If you will run previous versions after Feb 21th, 2019 you will not be able to pass licensing system check with any new version starting from 3.13.1 without support request.

13Feb/19

Sharing of Best Trading Practice

News

Sharing of Best Trading Practice

Trading futures market is not an easy business. The complexity of this particular market requires an adequate tool to succeed. MZpack for NinjaTrader is one of those tools, and also for the adequate price.

The key benefits of MZpack software lie in utilizing of market microstructure, order-flow, and volume-based analysis. This requires a deep understanding of features and correct interpretation of signals of MZpack indicators.

We believe that this mission can be completed only by doing everyday practice. So, basic education for you can be started from real-time trades as an example of this kind of trading activity.

We have started to publish our best practice, trades, and articles in the Blog section of our site for all who interested in self-education materials.

  • Read the Blog
  • Get enough screen time on a demo account
  • Find your trading strategy
  • Make good trades with low risk and high potential profit
  • Track your activity

Thanks and good trading!

12Feb/19

02/12/2019. E-mini SP500 – Trade by The Trend

Blog

02/12/2019. E-mini SP500 – Trade by The Trend

Download workspace: MZpack – Trade by The Trend – ES

The position has two parts.

The big picture (see 30-Minute chart)

  • Up-trend on 30 Minute chart. The price is above daily VWAP at VAH

Orderflow events

  • Significant Buy initiative 150-Lot (aggressive) from inside day open range
  • A range of consecutive aggressive BUY orders

Microstructural events (see 10 Tick chart)

  • 172-Lot Buy after 172-Lot Sell trade. Buyers are taking control
  • Steady support on BID side

The entry was made from 1st standard deviation of the day.

Stop loss order is under day VWAP. Take profits are near 7-days high with RR = 2.5

Reasons to close the long

  • The exhaust of volume and trades number with first significant negative COT-high (close 1/2)
  • Huge negative COT-high (1/2)

11Feb/19

02/11/2019 Mirror Level Trade

Blog

02/11/2019 Mirror Level Trade

Download workspace: Mirror Level Trade

Once the Mirror Level occurred we need to wait for micro-structural confirmation of long trade. That was pressure on BID side at day VAL (mzBigTrade indicator). Later we detected big aggressive BUY trade at local During the trade at local low. So we decided to stay in the position.

Stop loss: under the support zone. Take profit was placed on day POC. RR = 1.6

08Feb/19

02/07/2019. Breakeven E-mini SP500 Trade

Blog

02/07/2019. Breakeven E-mini SP500 Trade

Download NinjaTrader 8 workspace: MZpack – Day Trading – ES – v1.4

8 Range chart, mzFootprint indicator

  • The price tested support zone. There is a huge positive COT Low 1912.
  • Delta change for the bar is +3834 (relative to -2276 in the prior bar)

10 Tick chart, mzMarketDepth, mzBigTrade indicators

  • Multiple support in the DOM (green triangles) and iceberg orders on BID side (fuchsia contours)
  • Buy initiative over 400 Lot
  • Entry on the pullback. Liquidity is migrating on BID side – Offer/Bid delta declines

1 Min, 30 Min charts, mzVolumeProfile, mzVolumeDelta, mzBigTrade indicators

  • Predatory sell trade with huge support in DOM after it (green triangle) is a supporting activity. See mzBigTrade indicator
  • Session VAL as a support level

Stop loss order is under 2nd std deviation of VP of the session. Nearest target is on M30 session VWAP. RR = 2.5

  • Multiple predatory sell trades (red boxes) with average DOM support on BID side.

Tracing the stop loss order. We will it to a breakeven later.

The trade has been closed after breakeven order triggered.

 

07Feb/19

ES 03-19 Scalping using MZpack Indicators

Blog

ES 03-19 Scalping using MZpack Indicators

We are using M5, 400 Tick and 20 Tick ES 03-19 charts with mzBigTrade, mzVolumeProfile,
mzVolumeDelta and mzMarketDepth.

  • Using the M5 chart we see that the price was stopped after the Negative Delta Cluster
    near VWAP.

  • At the 400 Tick chart we see that 2 Big Positive Delta (1,2K) in Volume Profile appeared
    after the Negative Delta Cluster. The LONG position was opened.

  • The LONG position was closed after the price stop near VAH .

Download workspace

07Feb/19

MZpack 3.12.7 for NinjaTrader 8

News

MZpack 3.12.7 for NinjaTrader 8. The new stable version released!

Chart templates and workspaces
– Added new chart templates and workspaces. See User Guide, p.7

mzBigTrade
– Iceberg order is marked with contour if iceberg value is greater or equal to the iceberg filter.
– DOM pressure/Market-Limit triangles are displayed if corresponded volumes are greater or equal to the filters.

mzMarketDepth
– Tick replay mode is not necessary for the indicator.

mzFootrpint
– Bugfix. Ladders size for Left footprint is changed also if ‘Cluster scale’ changed to Chart for The Right footprint

06Feb/19

NQ 03-19 Trade with MZpack Indicators

Blog

NQ 03-19 Trade with MZpack Indicators

We are using M15, M5 and 20 Tick NQ03-19 charts with mzBigTrade, mzVolumeProfile,
mzMarketDepth and mzVolumeDelta.

  • Using the M15 chart we see that the price was stopped at the VAH after the Long Delta
    Volume growth.
  • Also we can see at M5 chart that the Sell Volume Delta is greater than the Long Volume
    Delta near the VAH.

  • Using the 20 Tick chart the Short position was opened.

  • The SHORT position was closed near VAL after the price was stopped while the Sell
    Volume Delta was greater than the Long Volume Delta.

Download workspace

03Feb/19

ES 03-19 Trade using MZpack Indicators

Blog

ES 03-19 Trade using MZpack Indicators

We are using M5 and 400 Tick ES 03-19 charts with mzBigTrade, mzVolumeProfile and
mzVolumeDelta.

  • Using the M5 chart we see that the price was stopped at the 2696,00 – 2697,00 zone.
  • Secondly the price was stopped during the Negative Delta Cluster after several SELL Big
    Trades.
  • Also we see the Negative Delta Cluster (400 Tick chart) and the Big Positive Delta (1,1K)
    after it in Volume Profile. The LONG position was opened.

  • The LONG position was closed near POC and VWAP.

Download workspace

01Feb/19

GOLD (GC) Scalping using MZpack and ATR Indicators

Blog

GOLD (GC) Scalping using MZpack and ATR Indicators

We are using M5 and 20 Tick GC 02-19 charts with mzBigTrade, mzVolumeProfile,
mzVolumeDelta and ATR indicators.

  • Using the M5 chart we see the ATR New High at the SHORT Big Trade, after which the
    price was stopped near the VAL.
  • The 20 Tick chart confirmes the price stop – we see the LONG Delta Growth and the
    Price Stop Area during the negative DELTA is greater than the positive DELTA.
  • The LONG position was opened near the VAL and VWAP.

  • The LONG position was closed near VAH after several LONG Big Trades and ATR
    New High appearance.

Download workspace: GC 02-19.

31Jan/19

NASDAQ (NQ) Trades using MZpack Workspace

Blog

NASDAQ (NQ) Trades using MZpack Workspace

We are using M5 and M1 NQ 03-19 charts with mzBigTrade, mzMarketDepth, mzVolumeProfile,
mzVolumeDelta indicators and NASDAQ Workspace 1.1

  • Using the M5 chart we see the Delta and ATR increasing, but the price was stopped
    near the VAL.
  • The LONG position (1) was closed near the VAL (week) and VWAP.
  • The LONG position (2) was opened also near the VAL.

  • After opening the LONG position (2) we see several aggressive BUY Trades and expect the
    uptrend.
  • The LONG position (2) was also closed near VAL (week) and VWAP.
28Jan/19

A Question On Overall Liquidity Migration

Blog

A Question On Overall Liquidity Migration

Q: Does the indicator draw correctly?
When changing the Plot type mode in Liquidity migration in the mzMarketDepth indicator, the color of the displayed values changes to the opposite, that is, for one Plot type, the red color prevails in the indicator depending on the number of Bid and Offer, and for another Plot type value, the prevalence is already drawn by another color with the unchanging amount of the same Bid and Offer, but only calculated by the delta (Plot type = OfferBidDelta).

A: The indication is correct.

OfferBid plots are overall Offer Migrations line and overall Bid Migrations line.
The red line means the migration is on offer. Offer migration is positive, it is resistance to price movement upwards, therefore the color is red.

OfferBidDelta = Offer Migration – Bid Migration
In this case, we see a large positive candle.
This is possible in 3 cases.
1) A large amount of liquidity has been added on offer
2) A large amount of liquidity was removed from bids
3) 1 and 2 at the same time
In all cases, this is a growing resistance on the offers.
It is indicated in green because you have selected green color for Up-candles. The meaning of the coloring here is different. The pressure side determines in which half-plane with respect to 0 there is a candle. If in positive – pressure is on offers, negative – pressure is on bids.

In this particular case, there was a sharp pressure on the offer at the end of the swing. The price has sharply discarded. The timing (no more than 5 seconds) is very similar to the spoofing in the DOM.

27Jan/19

Gold (GC) Trade With MZpack Indicators

Blog

Gold (GC) Trade With MZpack Indicators

We are using M5, R10 and 20 Tick GC 02-19 charts with mzBigTrade, mzFootprint, mzVolumeProfile and
mzVolumeDelta indicators.

  • Using the R10 chart we see the significant changes of DELTA and DELTA% (from -10,35%
    and -13,34% to +22,87%).
  • In the highlighted rectangles we see that Sell Volume > Buy Volume, but the price is not
    going to step down.

  • Looking at 20 Tick chart we can get the confirmation of it.
  • It’s reasonable to Open LONG position.

  • The LONG position was closed near the POC level, taking into consideration the ending
    line of the previous LONG Big Trades.
24Jan/19

Gold (GC) Trade With 4 MZpack Indicators

Blog

Gold (GC) Trade With 4 MZpack Indicators

We are using M5 and M3 GC 02-19 chart with mzBigTrade, mzFootprint, mzVolumeProfile and
mzVolumeDelta indicators.

  • We see the downtrend with the several Big Sell Trades.
  • At first the Big Trades Sell Volume > Big Trades Buy Volume (Area 1) and then we see
    an opposite situation – Big Trades Buy Volume > Big Trades Sell Volume (Area 2).
  • With the help of the mzFootprint we can see the Support Zones, where the price was
    stopped:

  • The LONG position was closed near the VAH level, taking into consideration Area 2 (Big
    Trades Buy Volume > Big Trades Sell Volume).
19Jan/19

6E Futures Trade With mzVolumeDelta, mzVolumeProfile and mzFootprint Indicators

Blog

6E Futures Trade With mzVolumeDelta, mzVolumeProfile and mzFootprint Indicators

We are using M5 and M15 6E 03-19 chart with mzVolumeDelta, mzVolumeProfile and mzFootprint indicators.

  • First, we see a huge up-bar with extreme volume and big positive delta
  • Then the price tested session Value Area High (VAH) 3 times – “The Stop Area” at 1,14630 – 1,14650

  • Thanks to mzFootprint indicator we can see a detailed picture of order flow action (see image).
17Jan/19

Overall Liquidity Migration Feature In mzMarketDepth Indicator

Blog

Overall Liquidity Migration Feature In mzMarketDepth Indicator

Overall liquidity migration can be shown as a plot at the bottom of the chart. There are two overall types of migration:

  • Overall type.
    • OfferBid. Displays total for migration on Offer and total for migration on Bid (two lines)
    • OfferBidDelta. Displays total for migration on Offer minus total for migration on Bid (one line or candles)

Also, we have the Cumulate option. This means cumulation of migrations by each side of the DOM from bar to bar. Migration for a new bar will start from the migration of the previous bar.

See the sample image. Migration Delta is around -1200 Lot. Using candles plot we can conclude that either liquidity has removed from OFFER, or has added on BID.

Some combinations of overall types and plots’ presentations are shown below.

 

 

17Jan/19

MZpack 3.12.4 beta for NinjaTrader 8

News

MZpack 3.12.4 beta for NinjaTrader 8

mzMarketDepth
– Added overall migration plots at the bottom of the chart. See User Guide p.42


mzFootprint
– Statistic grid: Values color has added
– Bugfix: Values in Statistic grid can overlap in auto-scale mode
– Bugfix: Indicator crashes when Delta % is shown in Statistic grid.

16Jan/19

ES Scalping

Setup

ES Scalping

We are using M5 and M1 ES 03-19 chart with mzVolumeProfile and mzVolumeDelta indicators.

  • First, we see the “Long” Delta Support formation at 2594-2600 at M5 chart.
  • To open the position we use M1 chart of ES.

  • After the confirmation of the Support Level (10,6K and 16,4K) and paying attention to
    the mzVolumeDelta indicator we open the LONG position.
10Jan/19

ES. M1 Pullback Pattern

Setup

ES. M1 Pullback Pattern

We are using M1 ES 03-19 chart with mzVolumeProfile and mzVolumeDelta indicators.

Profile Type: Delta

Here we can see an example of “Long” Delta Support Area at 2566-2568:

  1. First, we see an initial point of the “Long” Delta Support Area at 2566.
  2. Then there are several confirmations of “Long” Delta Support Area at 2568 (Delta 1 = 4,1K; Delta 2 = 4,2K)
  3. The mzVolumeDelta indicator twice shows Negative Delta Cluster near the 2566-2568 Area.
  4. After the third confirmation at 2566 “Long” Delta Support Area can be applied (Delta = 2,3K)
  5. We can use this Delta Support Area and the Negative Delta Cluster as a LONG Signal.

29Dec/18

ES. Pullback Pattern – Profile Delta, Bar Delta

Setup

ES. Pullback Pattern – Profile Delta, Bar Delta

We are using M5 ES 03-19 chart with mzVolumeProfile and mzVolumeDelta indicators.

Profile Type: Delta

Here we can see an example of “Long” Delta Support at 2400:

  1. First, we see an attempt of the “Long” Delta Support formation at 2360.
  2. Then there is a beginning of “Long” Delta Support formation at 2400 (Delta 1 = 3,5K; Delta 2 = 2,2K)
  3. The mzVolumeDelta indicator shows Negative Delta Cluster near the level 2400.
  4. “Long” Delta Support at 2400 can still be applied (Delta = 2,8K)
  5. We can use the Strong Delta Support and the Negative Delta Cluster as a LONG Signal.

28Dec/18

CL Reversal Pattern

Setup

CL Reversal Pattern

We are using M30 CL chart with mzFootprint and mzVolumeProfile indicators

Here we have an example of the Reversal Pattern:

  1. Detection of the big negative DELTA with the high VOLUME as the bottom of the RANGE
  2. RANGE formation
  3. Now we need to detect the big positive DELTA with the high VOLUME as a RANGE Breakout Signal

20Dec/18

E-mini SP500 – Scalping by The Trend

Blog

E-mini SP500 – Scalping by The Trend

Open 400 Tick ES chart with mzVolumeProfile and mzVolumeDelta indicators

  1. Determine trend direction. This example is for the uptrend.
  2. Spot negative delta cluster
  3. Wait for big positive delta in a Volume Profile. Positive VP must be in some range from low of the pullback and on some distance measured in bars.
  4. Enter long on Volume Profile close

Download workspace

19Dec/18

6E Reversal Pattern: Footprint and VolumeDelta Indicators

Blog

6E Reversal Pattern: Footprint and VolumeDelta Indicators

Definitions

Bar Delta % = Bar Delta / Bar Volume
Delta Change. Delta Change is the difference between current bar delta and delta of prior bar.
Number of trades is equal to number of ticks in a bar.
dVAL is for Dynamic Value Area Low. Dynamic levels of Value Area are changed on each tick. Thanks to dynamic levels we can trace these levels historically.
dPOC is for Dynamic Point Of Control.
Absorption support zone is built from one or more consecutive levels of absorptions.
Time-price opportunity is a combination of price and time in which the entry order should be placed.

As you can see, in order flow based trading approach we are waiting for some serial signals to complete pattern sequence. For day reversal patterns you may use additional volatility indicators like ATR as a filter.

 

15Dec/18

MZpack 3.12.3 beta for NinjaTrader 8

News

MZpack 3.12.3 beta for NinjaTrader 8

mzFootprint
– Set of options for ‘Values divider’ parameter has been extended.
– ‘Values divider’ options have been added for Bar statistics and Statistic grid.
– Known issue from 3.12.0 beta: Indicator might crash with Point and Figure bars if Statistic grid is shown. Debug information was injected.

06Dec/18

MZpack 3.12.1 beta for NinjaTrader 8

News

MZpack 3.12.1 beta for NinjaTrader 8

mzFootprint
– Cells position of Statistic grid has been adjusted relative to chart bars positions.

mzVolumeProfile
– Bugfix: Ladders are not visible if Profile type is VolumeDelta, Delta or Delta option is set.

mzMarketDepth
– Bugfix: Real-time order book on the chart might be out of ‘Depth of market’ value.
– Valid ‘Depth of market’ value now is 1..1000.

mzVolumeDelta
– Bugfix: Cumulative Delta starts from first trade size but not from zero.

04Dec/18

MZpack 3.12.0 beta for NinjaTrader 8

News

MZpack 3.12.0 beta for NinjaTrader 8

Common
– Huge rendering and performance optimization
– User Guide (EN) has been updated

mzFootprint
– ‘Color source’ option has been added. The histogram is scaled by the value which is set in Footprint style. With Color source, you can set how a footprint cluster or histogram will be colored. Thank this option you can see e.g. volume histogram colored by delta, etc.
– Control right margin is off by default now.
– Bugfix: Statistics grid values overlap each other when some combinations of rows chosen.

mzMarketDepth
– ‘Depth of market’ now means number of DOM levels which will be displayed. This is useful e.g. for crypto markets with many empty levels in DOM.
– ‘History depth, bars’ added. The histogram number of chart bars for which historical DOM will be shown. History depth range is 10..5000. Use smaller values if you have performance issues on your machine.
– ‘Code extremal’ option has been added to Historical DOM section.
– Bugfix: saturation becomes to low after some period of time.

mzVolumeProfile
– Bugfix: For developing profile ‘Delta, % of Profile width’ on the chart is not as set in UI

16Nov/18

MZpack 3.11.7 for NinjaTrader 8

News

MZpack 3.11.7 for NinjaTrader 8

mzVolumeProfile
– Calculations have been optimized.
– Bugfix. Creation value of stacked profile in some modes is set to 1 instead of 0 after reloading of the indicator.
– Bugfix. Chart right margin value can’t be set less than 100 even there are no stacked profiles on the chart.
– Bugfix. Profile levels and VWAP disappears in Custom mode.

mzBigTrade
– Rendering has been optimized.

Common
– Activation issue has been fixed for some Windows firewall configurations.

08Nov/18

MZpack 3.11.7 Pro for NinjaTrader 8

News

MZpack 3.11.7 Pro for NinjaTrader 8

– New API extension for coding the logic of strategies: signals, filters, and patterns
– New API extension for trading position management: multiple entries, Market or Limit order types, BE, trailing, reversing position
– Support for Ninja’s built-in indicators has been added. SMA, CCI indicators now are in the package. Send us your request for more standard indicators.
– Significant changes must be made for your OnStateChange() implementations. See the provided samples, please.
– New sample of a strategy ‘MZpackCustomStrategy5’ for a demonstration of new API
– New sample of a strategy ‘MZpackCustomStrategy6’ for a demonstration of using migrations in DOM

See MZpack 3 API for NinjaTrader 8 Documentation

Download examples of custom order flow strategies. DON’T IMPORT THIS FILE INTO NinjaTrader.

06Oct/18

MZpack 3.11.6 for NinjaTrader 8

News

MZpack 3.11.6 for NinjaTrader 8

mzVolumeProfile
– New profile creation modes: Delta, Tick. E.g. set Profile mode = Tick and Profile creation value = 50000 to build new profile on each 50K ticks or trades. Profile creation value in Delta mode is an absolute delta value.
– New Profile type = VolumeDelta has been added. It is similar to Volume type but ladders are colored with delta colors.
– ‘Profile creation value’ added instead of ‘Profile each N bars’, ‘Profile each N contracts’, ‘1st profile N last/ago’ etc. parameters
– Delta ladders over Area and Contour presentations have been added.
– ‘Show last N profiles’ has been added. Set -1 to display all profiles.
– Render/calculation optimization.

mzVolumeDelta
– ‘Color code’ parameter has been added for Volume histogram.
Set ‘Color code’ = Delta to code volume bars by delta value. This will help to highlight volume bars with big delta.
Set ‘Color code’ = UpDown to code volume bar color by chart bar type – up or down (previous default setting).
– ‘Common – Filter’ parameter has been added. All histogram bars and candles (in both Volume and Delta modes) will be rendered with ‘Below filter’ color if their values are under ‘Filter’ value.
This will help to highlight meaningful bars and candles.

02Oct/18

MZpack 3.11.5 for NinjaTrader 8

News

MZpack 3.11.5 for NinjaTrader 8

mzFootprint
– S/R Zones rendering has been optimized

mzVolumeProfile
– Values for profile levels of the last chart profile and any of custom profile are rendered outside of profile area. The last bar is no longer overlaid with level labels.
– Bugfix: ‘Width, %’ option doesn’t work.

04Sep/18

Volume Сreation Mode in mzVolumeProfile. MZpack 3.11.3 for NinjaTrader 8

News

Volume Creation Mode in mzVolumeProfile. MZpack 3.11.3 for NinjaTrader 8

mzVolumeProfile
– Added new ‘Profile mode’ = Volume. A new profile will be created each traded volume entered for ‘Profile each N contracts’ parameter.
Each Stacked profile has own ‘Profile last N contracts’ parameter. A stacked profile will show Volume profile for last N contracts traded.
– Bugfix: Ladders rendered at a wrong position if Profile position = Right.