Description

Features

• Two-sided Footprint – independent Left and Right Footprints for each bar
• Footprint styles: Bid x Ask, Volume, Delta, TradesNumber
• Optional Tape Reconstruction (aggregation of order flow)
• Filters: Trade/Reconstructed trade volume filter (min/max) and Display filter
• Bar Statistics: Volume, Delta, Min/Max Delta, Delta %, COT (read about COT)
• Patterns search: Imbalance and Absorption with quantity filters, Unfinished Auction
• Automatic Support/Resistance Zones based on Imbalance and Absorption patterns with Alerts
• Cluster Zones: Low Volume Nodes (LVN), High Volume Nodes (HVN), Delta ranges, Delta Percentage ranges, Trades ranges
• Statistics Grid: Trades, Volume, Buy/Sell volume, Delta, Delta %, Absolute Delta Average, Delta cumulative, Min/Max Delta, Delta Change, Delta Rate of Change (per Ticks/Milliseconds), COT Low/High
• Projecting of Statistics Grid values to the chart
• Predicted values (in Statistisc Grid)
• ‘Ticks per level’ option which sets the level of aggregation for individual price levels, if price levels should be merged (watch video)
• Levels of Value Area and POC for Bars and Sessions
• Cluster styles: Brick, Histogram
• Cluster scale parameter to scale clusters by bar values, by values inside chart view area or by all loaded data.
• Cluster data sources for scale, color, and gradient (watch video).
• Color mode option – Solid, Saturation, Heatmap, GrayScaleHeatmap, and Custom for better presentation
• Custom Levels with Alerts
• Notifications: Bar Volume/Bar Delta/Bar Trades number/Cluster (footprint) value/Imbalance/Absorption via Ninja alerts or via email (for some events)
• Supported Calculate modes: OnEachTick/OnBarClose
• Proprietary settings window with the On-The-Fly adjustments of parameters. Chart reloading is not required anymore!

Video Tutorials

Footprint Layout

Two-sided Footprint – Left and Right Footprints for each bar. This gives up to 16 combinations of Footprint bars presentation.

Statistics Grid with Cells on Chart Projection

Cluster Chart Styles

Cluster data sources for scale, color, and gradient

Download chart template zip-file for the chart as on this image (MZpack 3.14.4 required, unzip template to templates folder, default is Documents\NinjaTrader 8\templates\Chart)

Imbalance/Absorption patterns with S/R Zones

mzFootprint calculates diagonal Imbalance. Diagonal imbalance e.g. at Bid means that volume of filled sell orders is greater by given percentage than the volume of filled buy orders at price just above that Bid price. E.g. on ES Bid @2000.00 and Offer/Ask @2000.25.

Absorption is a diagonal imbalance but with level rejection. Absorption depth means how far price bounces from the level of absorption. Use it to spot reversals.

S/R Zones are based on levels of imbalances or absorptions. The more volume traded and more there are consecutive levels in a zone the stronger this particular zone is.

Levels of imbalances on ask side will create a support zone, whereas levels of imbalances on bid side will create a zone of resistance. In case of absorption, all are vice versa: levels of absorptions on ask side will create resistance zone, whereas levels of absorptions on bid side will create a zone of support.

Color Modes

Clusters Heatmap or Gray Scale Heatmap mode automatically translates values of clusters to colors.

Video Tutorial – mzFootprint for NinjaTrader 8

Requirements

Licensing and Services

Upgrade Plans

See available Upgrade Plans here.

Try Before Buy