Extends ITickIndicator with order flow configuration: calculation mode, tape reconstruction, and iceberg detection algorithm. This is the base interface for all order flow indicators (Footprint, BigTrade, VolumeDelta, DeltaDivergence).
Namespace: MZpack
Inheritance: IOrderFlowIndicator : ITickIndicator : IIndicator
ITickIndicator
Real-time market data access and volume conversion utilities. Inherited by all tick-processing indicators.
Price & Side
| Property | Type | Description |
|---|
BestBid | double | Current best bid price |
BestAsk | double | Current best ask price |
LastPrice | double | Last trade price |
PriorPrice | double | Previous trade price |
LastTradeSide | TradeSide | Side of the last trade (Ask, Bid, NA) |
SideChanged | bool | true if last trade side differs from previous |
Volume Access
| Method | Returns | Description |
|---|
BestBidVolume() | long | Current volume at best bid |
BestAskVolume() | long | Current volume at best ask |
BestBidPriorVolume() | long | Previous volume at best bid |
BestAskPriorVolume() | long | Previous volume at best ask |
Volume Conversion
Handles volume representation differences between standard instruments and cryptocurrencies.
| Method | Returns | Description |
|---|
FromInternalVolume(long) | double | Convert internal long volume to display volume |
FromInternalVolume(double) | double | Convert internal double volume to display volume |
VolumeToCryptoCurrency(long) | double | Convert to cryptocurrency volume (decimal) |
VolumeToCryptoCurrency(double) | double | Convert to cryptocurrency volume (decimal) |
VolumeFromCryptoCurrency(double) | long | Convert cryptocurrency volume back to internal format |
VolumeToString(double, string, bool) | string | Format volume as string using crypto decimal places |
| Property | Type | Description |
|---|
CryptoCurrencyVolumeDecimalPlaces | int | Decimal places for cryptocurrency volume display |
IOrderFlowIndicator
Configuration for order flow calculation and tape reconstruction.
Properties
| Property | Type | Default | Description |
|---|
OrderflowCalculationMode | OrderflowCalculationMode | — | How bid/ask volumes are assigned to trades |
ReconstructTape | bool | — | Enable tape reconstruction (aggregates individual trades into big trades) |
ReconstructTape_UseTimestampsOnly | bool | — | Use only timestamps for reconstruction (ignore DOM pressure/support) |
OrderflowApplyMode | OrderflowApplyMode | — | When mode changes take effect |
IcebergAlgo | IcebergAlgo | — | Iceberg detection algorithm |
ReconstructTapeChangedUI | bool | — | UI state flag: tape reconstruction setting changed |
OrderflowApplyModeChangedUI | bool | — | UI state flag: apply mode setting changed |
Enums
OrderflowCalculationMode
| Value | Description |
|---|
BidAsk | Bid/Ask calculation. Use for futures and stock markets. Requires Tick Replay for historical data |
UpDownTick | Up/Down tick calculation. Use for Forex and crypto |
Hybrid | UpDownTick for historical data, BidAsk for live. Use for NSE and similar markets |
OrderflowApplyMode
| Value | Description |
|---|
ChartReload | Changes applied on chart reload |
OnTheFly | Changes applied immediately |
IcebergAlgo
| Value | Description |
|---|
Hard | Strict iceberg detection — requires exact volume match patterns |
Soft | Relaxed iceberg detection — allows approximate matching |
Derived Interfaces