Description

Features

• Tape Reconstruction
• Filtering by: Trade size (min/max), Iceberg order size, DOM pressure (min/max), DOM support (min/max) with ANY/ALL combination
• Auto-filtered order flow
• Extra filters: Aggressive trades (initiative/stop runs) and Smart/Predatory trades
• Two algorithms for Iceberg orders searching: Hard and Soft
• Liquidity pushing/pulling indication
• Market-Limit orders search
• Variety of trades visualization: Stacked Tape, Bubble, Box, Bar, Line
• Pop-up hints with detailed trade information
• Levels with Alerts
• Notifications via Ninja Alerts and emails
• Proprietary settings window with On-The-Fly adjustments of parameters. Chart reloading does not require anymore!

Tape Reconstruction

MZpack Order flow core is able to reconstruct single (tick) trades into aggregated trades. Enable ‘Reconstruct tape’ option (default setting) to see aggregated trades. You can change this option On-The-Fly.

Filters

The indicator has two types of logic for combining filters.

• ANY – any of enabled filters must be met
• ALL – all of the enabled filters must be met

Also, we have Extra Filters: Aggression and Smart/Predatory. These filters applied over the main filters.

Auto-filtering of Order Flow and Stacked Tape

Iceberg Algorithms

Iceberg search algorithms work only on live or Market replay data only. An iceberg order is a special limit order. The main size of an iceberg order is not shown in the order book. You will never know the size of the hidden part (iceberg) of limit order without a special algorithm running in real-time.

• Hard. In this mode, we use volumes on best bid/ask price levels to calculate the size of the hidden liquidity
• Soft. In this mode, we add positive DOM pressure (if any) to the size of the iceberg order calculated by Hard algorithm

DOM Pressure – Pushing/Pulling of Liquidity

We use DOM pressure term to describe the behavior of the liquidity on the way of a market order. Positive DOM pressure means liquidity pushing or adding. Negative DOM pressure means liquidity pulling or removing.
E.g. Buy order with negative DOM pressure means pulling the liquidity on best Ask upon execution of the order. For a sell order, DOM pressure is a kind of support for the price. In the case of buy trade, DOM pressure will be a resistance.

Aggressive Trades

An aggressive trade ‘eats’ liquidity on two or more price levels to get filled. An aggressive trade can be an initiative market order or triggered stop-market orders (stop run). Also, aggressive trade can be called trade with a sweep.
Aggressive trades are shown with dotted contours.

Smart/Predatory Trades

This option for predatory algo trades or ‘smart money’ trades detection. A trading algorithm absorbs the exact quantity of contracts available in the market by the price or in some price range. Microstructure pattern: pay attention to smart trades imbalance in small ranges or brackets to find momentum direction before it will start.

DOM Support, Market-Limit Orders

We use DOM support term to describe the behavior of the liquidity in the tail of the executed market order. See image. In this example buy trade has DOM support 50-Lot at the bid side. These 50 contracts have been added at best bid price right after the execution of the order. Note, that both the trade box and triangle have the same color.

Big or ‘Smart’ Money and institutional traders often act by Market-Limit and Stop-Limit orders. Market-Limit orders are executed at the best price available on the market. If the Market-Limit order can only be partially filled, the order becomes a limit order and the remaining quantity remains on the order book at the specified limit price. Learn more at CME Group Wiki.
To spot Market-Limit orders enable ‘DOM support’ filter. Also, enable Extra Filters: ‘Smart’ and ‘Aggression’ = 1. In the case of buy Market-Limit order limit part of the order will be a support for the price whereas for sell Market-Limit order limit part will be resistance.

Levels with Alerts

Requirements

Licensing and Services

Try before buy