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. Keyed by the aggregation zone when TicksPerLevel is above 1 — see Price Level Aggregation
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, in ticks
TicksPerLevel	int	Number of consecutive ticks merged into one DOM price zone. 1 means no aggregation
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

Price Level Aggregation

TicksPerLevel merges N consecutive price ticks into one zone. The merge happens in the model, so everything fed by the order book — thresholds, color scales, historical blocks and migration markers — works on the merged zone volume.

• MaxMarketDepth keeps counting ticks: depth is capped before the merge, so the side totals, the imbalance line and the quantitative depth metrics are identical at every setting.
• Blocks is keyed by the zone — the lowest price of the zone for a Bid block, the highest one for an Ask block. The type and the shape of the dictionary are unchanged.
• MarketDepthBlockDescriptor carries ZoneLow / ZoneHigh, and GetZone(out double low, out double high) reads both bounds as one consistent pair. OrderBookPosition exposes the same two properties. All of them equal Price when TicksPerLevel is 1.
• The strategy values RealtimeBids and RealtimeOffers (and AggregateCloneRows) are deliberately left per tick.

Volume Display Properties

Property	Type	Description
CodeExtremeVolume	bool	Highlight extreme volumes
DisplayVolume	double	Display volume threshold
ExtremeVolume	double	Extreme volume threshold
DisplayVolumePercentage	int	Display threshold as a % of the volume range, counted from a reference volume rather than from the single biggest level
ExtremeVolumePercentage	int	Extremal threshold as a % of the displayed volume range, from the display threshold up to the biggest level on the chart
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;

See Also

• StrategyMarketDepthIndicator — strategy wrapper class