DOMImbalanceSignal
Evaluates the bid/ask volume ratio in the real-time order book (DOM). A high bid/offer ratio signals Long (buying pressure), a high offer/bid ratio signals Short (selling pressure).
Namespace: MZpack.NT8.Algo.Signals
Inheritance: DOMImbalanceSignal : Signal
Data source: Level2 | Calculate: NotApplicable
Indicator: StrategyMarketDepthIndicator
Source: [INSTALL PATH]/API/Signals/DOMImbalanceSignal.cs
warning
Requires Level 2 data — live or replay only. Not available in historical backtesting.
Parameters
| Name | Type | Default | Description |
|---|---|---|---|
Ratio | double | 1.5 | Imbalance ratio threshold |
Signal Logic
| Direction | Condition |
|---|---|
| Long | Bid / Offer >= Ratio |
| Short | Offer / Bid >= Ratio |
Entry price: best bid for Long, best offer for Short.
Example
var signal = new DOMImbalanceSignal(strategy,
MarketDataSource.Level2, SignalCalculate.NotApplicable);
signal.Ratio = 2.0;
pattern.Signals.Root.Add(signal);