StrategyMarketDepthIndicator

StrategyMarketDepthIndicator wraps mzMarketDepth for use inside MZpack strategies. It implements IMarketDepthIndicator.

Namespace: MZpack.NT8.Algo.Indicators Inheritance: StrategyMarketDepthIndicator : mzMarketDepth, IMarketDepthIndicator Conditional: #if !FREE Data level: Level 2 Source: [INSTALL PATH]/API/Indicators/StrategyMarketDepthIndicator.cs

warning

Requires Level 2 data — live or replay only. DOM data is not available in historical backtesting without replay.

Setup in a Strategy

public class MyStrategy : MZpackStrategyBase
{
    StrategyMarketDepthIndicator mdIndicator;

    protected override void OnStateChange()
    {
        if (State == State.Configure)
        {
            mdIndicator = new StrategyMarketDepthIndicator(this, "MD");

            // Configure depth
            mdIndicator.MaxMarketDepth = 10;
            mdIndicator.ShowImbalance = true;
            mdIndicator.ImbalancePercentage = 150;
        }
    }
}

Accessing Data

protected override void OnBarUpdate()
{
    // Read real-time DOM
    IRealtimeOrderBook book = mdIndicator.RealtimeOrderBook;
    if (book == null) return;

    // Bid/ask imbalance
    long totalBids = book.GetTotalVolume(TradeSide.Bid);
    long totalAsks = book.GetTotalVolume(TradeSide.Ask);

    if (totalAsks > 0)
    {
        double ratio = (double)totalBids / totalAsks;

        if (ratio > 1.5)
        {
            // Strong bid support — potential buying pressure
        }
        else if (ratio < 0.67)
        {
            // Strong ask pressure — potential selling pressure
        }
    }

    // Read liquidity migration
    if (mdIndicator.OverallMigrations.ContainsKey(CurrentBar))
    {
        IBarLiquidity migration = mdIndicator.OverallMigrations[CurrentBar];
        // Analyze liquidity shifts
    }
}

Exported Values

Category	Values
Depth	MarketDepth, RealMarketDepth
Real-time	RealtimeBid, RealtimeOffer, BestBid, BestOffer
Totals	RealtimeBidsTotal, RealtimeOffersTotal
Quantitative	HQA, UQ, AC, UpdatesNumber

See Also

• IMarketDepthIndicator — interface reference