IMarketDepthIndicator

IMarketDepthIndicator provides programmatic access to the mzMarketDepth chart indicator. It exposes the real-time order book, historical DOM blocks, liquidity data, liquidity migration, and Level II histogram configuration.

Namespace: MZpack Inheritance: IMarketDepthIndicator : ITickIndicator : IIndicator Conditional: #if !FREE Source: MZpackBase/mzMarketDepth/IMarketDepthIndicator.cs

warning

Requires Level 2 data — live or replay only. Historical backtesting without Level 2 data will have empty DOM data.

Key Data Properties

Property	Type	Description
`RealtimeOrderBook`	`IRealtimeOrderBook`	Current real-time DOM snapshot
`Blocks`	`Dictionary<int, MarketDepthBlocks>`	Historical DOM blocks indexed by bar
`OverallLiquidity`	`SortedDictionary<int, IBarLiquidity>`	Aggregated DOM liquidity per bar
`OverallMigrations`	`SortedDictionary<int, IBarLiquidity>`	Liquidity migration per bar
`OverallMigrationsClose`	`Series<double>`	Migration close values as a NinjaTrader Series

IRealtimeOrderBook

The real-time order book interface exposes the current DOM state:

Property	Type	Description
`Time`	`DateTime`	Snapshot time
`MarketDepth`	`int`	Configured depth
`RealMarketDepth`	`int`	Actual available depth
`BestBid`	`double`	Best bid price
`BestOffer`	`double`	Best offer (ask) price
`Result`	`MarketDepthResult`	Snapshot result status
`Rows`	`List<OrderBookPosition>[]`	Raw order book rows

Method	Return Type	Description
`GetVolume(TradeSide side)`	`long`	Total volume on bid or ask side
`GetVolume(int position, TradeSide side)`	`long`	Volume at a specific depth level
`GetPrice(int position, TradeSide side)`	`double`	Price at a specific depth level
`GetTotalVolume(TradeSide side)`	`long`	Total volume across all levels
`GetTotalVolumeDepth(TradeSide side)`	`long`	Total volume within configured depth
`AggregateCloneRows(TradeSide side)`	`List<OrderBookPosition>`	Clone and aggregate rows for a side

DOM Configuration Properties

Property	Type	Description
`MaxMarketDepth`	`int`	Maximum supported DOM depth
`MultipleMarketMaker`	`bool`	Support for multiple market makers
`ShowHistoricalDOM`	`bool`	Show historical DOM visualization
`HistoryDepthBars`	`int`	Number of historical bars with DOM data
`MarketDepthFilteringMode`	`MarketDepthFilteringMode`	Filtering mode for DOM display

Volume Display Properties

Property	Type	Description
`CodeExtremeVolume`	`bool`	Highlight extreme volumes
`DisplayVolume`	`double`	Display volume threshold
`ExtremeVolume`	`double`	Extreme volume threshold
`DisplayVolumePercentage`	`int`	Display volume as percentage
`ExtremeVolumePercentage`	`int`	Extreme volume as percentage
`ShowVolumes`	`bool`	Show volume values
`ShowMaxVolumes`	`bool`	Show maximum volumes

Liquidity Properties

Property	Type	Description
`ShowOverallLiquidity`	`bool`	Show aggregated liquidity
`ShowLiquidityMigration`	`bool`	Show per-bar migration
`ShowOverallLiquidityMigration`	`bool`	Show overall migration
`OverallLiquidityType`	`OverallLiquidityMigrationType`	Liquidity aggregation type
`OverallLiquidityMigrationType`	`OverallLiquidityMigrationType`	Migration aggregation type
`OverallLiquidityMigrationCumulate`	`bool`	Cumulate migration values
`AddedVolumeFilter`	`double`	Filter for added volume
`RemovedVolumeFilter`	`double`	Filter for removed volume
`HoldHigherVolume`	`bool`	Hold higher volume levels
`HoldLevels`	`bool`	Hold levels on chart

Imbalance Properties

Property	Type	Description
`ShowImbalance`	`bool`	Show DOM bid/ask imbalance
`ImbalancePercentage`	`double`	Imbalance ratio threshold

Level II Histogram Properties

Property	Type	Description
`ShowLevelIIHistogram`	`bool`	Show Level II ladder histogram
`LevelIIWidth`	`int`	Histogram width in pixels
`ShowLevelIIVolumes`	`bool`	Show volume labels
`ShowLevelIISideTotalPercent`	`bool`	Show bid/ask total percentage
`ShowLevelIIImbalance`	`bool`	Show Level II imbalance
`LevelIIImbalanceRatio`	`float`	Imbalance ratio
`ShowCumulativeLevelII`	`bool`	Show cumulative Level II

Example: Read DOM Bid/Ask Imbalance

IMarketDepthIndicator mdIndicator = ...;

IRealtimeOrderBook book = mdIndicator.RealtimeOrderBook;
if (book == null) return;

// Total volume on each side
long totalBids = book.GetTotalVolume(TradeSide.Bid);
long totalAsks = book.GetTotalVolume(TradeSide.Ask);
double ratio = (double)totalBids / totalAsks;

// Read individual levels
for (int i = 0; i < book.RealMarketDepth; i++)
{
    double bidPrice = book.GetPrice(i, TradeSide.Bid);
    long bidVol = book.GetVolume(i, TradeSide.Bid);
    double askPrice = book.GetPrice(i, TradeSide.Ask);
    long askVol = book.GetVolume(i, TradeSide.Ask);
}

// Best bid/ask
double bestBid = book.BestBid;
double bestAsk = book.BestOffer;

Key Data Properties​

IRealtimeOrderBook​

DOM Configuration Properties​

Volume Display Properties​

Liquidity Properties​

Imbalance Properties​

Level II Histogram Properties​

Example: Read DOM Bid/Ask Imbalance​

See Also​