The mzMarketDepth indicator for NinjaTrader 8 shows orders resting in the DOM (Depth Of Market) and displays them on the chart as historical data. Also, you can see Real-time DOM at the right end of the chart. You can place mzMarketDepth indicator on any type of chart from 1 tick to 30 minutes or more, Renko bars, range bars, etc. In Historical DOM mode, we recommend using mzMarketDepth on 10-20 Tick charts.
- Historical DOM and Real-time DOM
- Limit order volumes (quantity) display filters
- Displays quantities inline with detailed pop-up information
- Tracks Liquidity Migration including Overall Migrations
- Imbalance indication
- Color modes: Solid, Saturation, Heatmap, GrayscaleHeatmap
- Auto-scaling to fit all order book levels on the chart
Hold Higher Volume and Hold Levels Options
Quantity of limit orders (or liquidity) in order book might change several times per millisecond making blink effect in other indicators. So if a trader needs to keep extremal quantities in order book he can activate Hold higher volumes option of MarketDepth indicator. Use Hold levels option to see strong DOM levels before the price can reach it by Market Depth scope.
Imbalance is a difference between bids and offers volumes. You can set imbalance amount in percentages and select a color for it. Imbalance displayed on order book edges.
Liquidity migration is the process of adding and removing limit orders in DOM. We can spot migration per each DOM level.
Also, you can see total migrations on each side of the DOM and delta of totals in lines and candles presentations at the bottom of the chart.
Using mzMarketDepth Indicator in Day Trading
Thanks to the variety of mzMarketDepth indicator settings and built-in filters you can use it in day trading. Think about big sizes in the order book as a support and resistance levels and price attraction levels depending on context.
Use overall liquidity migration to identify the delta of orders added/removed in the order book at each moment. Imbalance of limit-orders resting in the order book is very important by itself. But the migration delta can help much better in situations like this.
On this ES chart, two mzMarketDepth indicators with different filters were placed. One indicator is for Europe session and another one for American session. See the description of ‘General – Working time’ option in User Guide, please.
|Required Market Data||Level 1||Level 2|
|Indicator||mzFootprint, mzBigTrade, mzVolumeProfile, mzVolumeDelta||mzMarketDepth|
|Historical Data Support|
|Market Replay Support|
* Market data connector with Level 2 data support required
|OS||Windows 8.1 32-bit||Windows 8.1/Windows 10 64-bit|
|CPU||Intel Pentium Core i3||Intel Core i9/AMD Ryzen 9|
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