Mzpack 3 User Guide (En)

MZpack 3.9.
7 for
NinjaTrader 8
Rev 1.0
USER GUIDE
WWW.MZPACK.PRO
COPYRIGHT © 2015-2018 MZPACK CO. ALL RIGHTS RESERVED.

MZPACK 3.9.7 FOR NINJATRADER 8
CONTENT
Links........................................................................................................................................2
Introduction .............................................................................................................................3
Installing MZpack 3 for NinjaTrader 8 ......................................................................................4
Quick Start. Indicators Setup, Chart Templates and Workspaces ............................................6
Performance Notes .................................................................................................................7
Forex market support ..............................................................................................................8
mzFootprint Indicator ...............................................................................................................9
Explaining Imbalance/Absorption ....................................................................................... 13
Alert Levels ........................................................................................................................ 14
mzBigTrade Indicator ............................................................................................................ 15
Iceberg Algorithms ............................................................................................................. 18
DOM pressure ................................................................................................................... 19
Market-Limit orders ............................................................................................................ 20
Aggressive trades .............................................................................................................. 21
Smart/Predatory trades mode ............................................................................................ 22
Reconstruct tape mode ...................................................................................................... 23
mzVolumeProfile Indicator ..................................................................................................... 24
Profile accuracy ................................................................................................................. 29
Stacked Profiles ................................................................................................................. 31
mzVolumrDelta Indicator ....................................................................................................... 33
mzMarketDepth Indicator ...................................................................................................... 37
General Settings.................................................................................................................... 43
Sound Files for Alerts ............................................................................................................ 45
MZpack 3 Pro API ................................................................................................................. 46
Building Strategies with MZpack 3 Pro .................................................................................. 47
Sample Trading Strategies .................................................................................................... 49
Simple E-minI S&P500 futures scalping strategy ............................................................... 49
Copyright © 2015-2018 MZpack Co. All rights reserved.

www.mzpack.pro
support@mzpack.pro
1
Links
 WWW http://www.mzpack.pro
 MZpack Trading Room in Skype https://join.skype.com/B48OjcjNeodD
 MZpack YouTube channel http://www.youtube.com/channel/UCqabMIgUEjk3Bkee8G-
oSMg
 Facebook https://www.facebook.com/mzpackninjatraderindicators/
 VKontakte https://vk.com/mzpack
 Newsletters subscription and feedback form http://www.mzpack.pro/en/contact-mzpack-
ninjatrader-indicators-team/

www.mzpack.pro
support@mzpack.pro
2
Introduction
On what information and data the MZpack indicators for NinjaTrader are based
 Tick-by-tick trades
 Proprietary Market Microstructure Events set
 Level I & Level II
 CME MDP 3.0
MZpack trading tools can be used in variety of appliances from scalping to day trading. Also
momentum and swing traders can use MZpack to spot entries and manage trades/exits.
Benefits of MZpack indicators
 See inside the price action and inside the bars.

 Unique Market Microstructure patterns discovered and developed
 Deep cross volume based: both horizontal and vertical
 Flat ranges/brackets analysis to spot future momentum side
 Real-time with no lagging and historical too
MZpack 3 for NinjaTrader 8 works on historical data with Tick Replay option checked. But
some of futures like Iceberg orders and Smart/Predatory trades searching and mzMarketDepth
indicator work in real-time only because NinjaTrader 8 does not provide Level I & Level II on
historical data.

www.mzpack.pro
support@mzpack.pro
3
Installing MZpack 3 for NinjaTrader 8
1. Close NinjaTrader 8 if it was opened. Un-zip downloaded zip-archive and run MZpack 3
installer. Turn off Windows Smart screen and antivirus if required.
2. After MZpack 3 installation finished run NinjaTrader 8 (64-bit). NinjaTrader 8.0.6.1 (64-
bit) version or later required.
3. Make sure Show Tick replay option enabled (menu Tools – Options – Market data -
Show Tick Replay)
4. Open a chart. Turn on Tick Replay option for historical Bid/Ask data support.
5. Open Indicators window (Ctrl+I) and add an MZpack indicator. Click Ok.

www.mzpack.pro
support@mzpack.pro
4
6. Activating window will be shown. Enter license key and click Activate button or click
Start Trial button if it enabled and if you don’t have a license key.
7. Clik Ok button in Activation message window, RESTART NinjaTrader and establish a

data connection.
How to start MZpack 3 trial

https://www.youtube.com/watch?v=_YsTAndd8xk

www.mzpack.pro
support@mzpack.pro
5
Quick Start. Indicators Setup, Chart Templates and

Workspaces
MZpack installation puts set of templates in corresponding NinjaTrader 8 folders. Check

available chart templates by clicking Templates – Load from chart context menu.

www.mzpack.pro
support@mzpack.pro
6
Performance Notes
Please note: setting Days to load parameter of Data series to a big value will increase chart
loading time and memory consumption. The most resource consuming indicator is mzBigTrade.

www.mzpack.pro
support@mzpack.pro
7
Forex market support
This set of indicators can be used for Forex pairs: mzFootprint, mzVolumeProfile, mzBigTrade,
mzVolumeDelta. To turn on Forex support choose 10.Orderflow – Calculation mode –
UpDownTick.
In mzFootprint use Daily for ‘Profile mode’ if your Forex data provider doesn’t support trade
sessions.
https://www.youtube.com/watch?v=5u0Z5e5kbiU

www.mzpack.pro
support@mzpack.pro
8
mzFootprint Indicator
Video Tutorial https://www.youtube.com/watch?v=BXsM-07SLDo
Indicator settings
01. Left Footprint. Left side Footprint settings

 Footprint style
a. BidAsk. Classical Bid x Ask Footprint
b. Volume. Traded volume
c. Delta. Bid-Ask volumes delta
d. TradesNumber. Shows number of trades in a cluster.
e. Bid
f. Ask
 Cluster style
a. Brick. Solid color fill of a price cluster
b. Histogram. Partial solid color fill of a price cluster proportionally to
its value
c. None. No color fill
 Cluster/Histogram scale
a. Bar. Histogram scale calculated inside current bar only
b. Chart. Histogram scale calculated among all bars visible on chart
c. All. Histogram scale calculated among all loaded bars
 Cluster. Color for clustres
 Negative delta. Color for negative delta (including slot color for Brick/Histogram
styles
 Positive delta. Color for positive delta (including slot color for Brick/Histogram
styles
 Color mode
a. Solid. Selected solid color for all data
b. Saturation. Saturation depending on volume/delta values
c. Heatmap. Heatmap colors by volume/delta values
d. GrayScaleHeatmap. Gay scaled heatmap colors by volume/delta
values
 Values. Show values (bid x ask, volume, delta, trades number)
 Values divider. Divide values by this divider to fit them in clusters.
 Decimal places. Decimal places after period for values if Values divider is 10 or
more.
 Values color.
 Values font.
02. Right Footprint. Right side Footprint settings

www.mzpack.pro
support@mzpack.pro
9
 …
03. Presentation
 Bid. Color for prints on Bid side.
 Ask. Color for prints on Ask side.
 Delta. Show Delta value above or under bars
 Bar distance, px. Distance between next two bars on chart. This space is used to
render Footprint
 Bar marker. Turn it on to replace default chart view style by Open-Close bar
markers
 Bar outer margin, px. Set interbar space.
 Control right margin. Control right chart margin automatically to fit Footprint.
 Chart right margin, px. Override Ninja’s margin settings.
04. Filters
 Trade volume. Minimal single trade volume cumulated by Footprint. Tape
reconstruction is not applied in Footprint.
Display value. All values and its corresponding clusters less than this parameter
will not be shown
05. Bar Volume Profile
 POC. Show Point Of Control for each bar
 POC. POC line
 VA. Show bar Value Area
 VA, %. Value Area percentage
 VA. Value Area line
 VA opacity, %.
06. Session/Daily Volume Profile
 Profile mode. Profile mode for volume-based levels: Session, Daily. Use Daily for
Forex market.
 POC. Show developing Point Of Control for each session
 POC. Session POC line
 VA. Show session developed Value Area
 VA, %. Session Value Area percentage
 VA. Session Value Area line
07. Patterns
 Imbalance. Show diagonal Bid-Ask imbalance
 Only Imbalance. Show only imbalances
 Imbalance, %. Imbalances percentage
 Imbalance filter. Filter by traded volume on imbalance side
 Bid. Color for Bid imbalance
 Aks. Color for Ask imbalance
 Imbalance font
 Absorption. Show absorptions

www.mzpack.pro
support@mzpack.pro
10
 Only Absorption. Show only absorptions

 Absorption, %. Absorptions percentage
 Absorption depth. Depth means how far the price bounces from the level of
absorption. In ticks
 Absorption filter. Filter by traded volume on absorption side
 Bid absorption. Border for absorption marker at Bid
 Ask absorption. . Border for absorption marker at Ask
08. Notifications
 Imbalance alert
 Imbalance sound
 Absorption alert
 Absorption sound
 Send Email. Send email message on Imbalance/Absorption
 Email address
09. Levels defaults. Default settings for new alert levels added to the chart
 Level. Level line
 Value position. Left, Right, None
 Value color
 Value font
 Alert. Alert on conditions
 Aler on. Condition for alert
a. LevelCross
b. LevelTouch
 Rearm. Rearm alert after it has been fired
 Rearm interval, sec. Alert will be rearmed after this period of time. Set to zero to
rearm alert immediately after it has been fired
 Sound. Alert sound
 Add/remove: Left mouse +. Keyboard key to add or remove a level
 Modify: Left mouse +. Keyboard key to modify a level
10. Orderflow
 Spread trades. Split, LastKnowSide, Ignore
For additional information: http://www.mzpack.pro/en/footprint-ninjatrader-indicator/

www.mzpack.pro
support@mzpack.pro
11

www.mzpack.pro
support@mzpack.pro
12
EXPLAINING IMBALANCE/ABSORPTION
mzFootprint calculates diagonal Imbalance. Diagonal imbalance e.g. at Ask means that volume of
filled Buy orders is greater by given percentage than volume of filled Sell orders at price just below
that Ask price. See fig. 71-Lot at Ask @2384.50 is by 274% greater than 19-Lot at Bid @2384.25:
(71/19 - 1) * 100 = 274%.
Absorption is a diagonal imbalance but with level rejection. Absorption depth (in ticks) means
how far price bounces from the level of absorption.

www.mzpack.pro
support@mzpack.pro
13
ALERT LEVELS
Default mouse + key combinations to set and manage alert levels
 Add a level: Left Mouse Click + Left Shift key

 Remove a level: Left Mouse Click + Left Shift key on a level
 Adjust level duration: Left Mouse Click + Left Alt key on a level
To drag a level click mouse left button on level value or on level drag spot (if value is not visible)
and move cursor. Then click again. Drag spot is the small bright box on a level.
To open level properties click left mouse button on level line. To hide properties click on chart or
press Esc.
Levels with Alerts https://www.youtube.com/watch?v=Yu-ol6FjYAE

www.mzpack.pro
support@mzpack.pro
14
mzBigTrade Indicator
Indicator settings
* Option affects on live data only.
01. Filtering
 Order type: Market, Market-Limit. Indicator can’t detects both order types at the
same time. It collects only choosen type of orders type on live data or Market
Replay. But once collected orders can be displayed on historical data and you
can jump from one order type to another.
 Trade volume. Only trades with volume equal or greater than this value will be
displayed
 Iceberg volume *. Only trades with iceberg orders volume equal or greater than
this value will be displayed
 DOM pressure volume *. To display DOM pressure check ‘Show DOM
pressure’ option. Set ‘Market’ for Order type parameter to take effect.
 Market-Limit volume (limit part) *. To display limit part of Market-Limit order
check ‘Show Market-Limit’ option. Set ‘MarketLimit’ for Order type parameter to
take effect.
 Logic. Trade volume/Iceberg volume filtering logic
a. OR. One of two conditions must be true
b. AND. Both of two conditions must be true
 Iceberg algo *. Iceberg detection works on live data only
a. Hard
b. Soft
c. Fuzzy
d. None
 Fuzzy time, ms *. Interval to cumulate DOM liquidity after big trade in Fuzzy
mode.
 Aggression/Sweep, ticks. Show trades with range equal or greater to this value
 Smart/Predatory only *. This feature works on live data only
02. Visualization
 Marker. Big trade marker
a. Line
b. Bubble
c. Box
d. Bar
 Position. Position of big trade marker
a. First. First tick of the trade
b. Last. Last tick of the trade
c. Hi. Highest price of the trade

www.mzpack.pro
support@mzpack.pro
15
d. Lo. Lowest price of the trade

e. POC. Point Of Control
 Buy line. Line for Buy trades in Line marker mode
 Sell line. Line for Sell trades in Line marker mode
 Min line length. Lines lengths are proportional to trades volumes and will be
between Min and Max length
 Max line length
 Scale line thikness. Set maximal line thikness by changing Buy/Sell line Width
value. All lines thiknesses will be scaled proportional to trades volumes
 Min shape extent. Bubble and Box extents are proportional to trades volumes
volumes and will be between Min and Max extents
 Max shape extent
 Buy shape color
 Sell shape color
 Iceberg color. Color of shape border for trades with iceberg orders
 Color mode
values
 Saturation preset. 4 levels of saturation for trades markers
 Show DOM pressure/Market-Limit. Display DOM pressure/Market-Limit by
triangles
 DOM pressure/Market-Limit triangle line thickness
 Show trade POC. Show Point of Control of the trade by horizontal line.
 Volume position. Volume value alignment relative to shape: Inside, OutsideLeft,
OutsideRigth, None
 Volume text font
 Buy volume in shape color. Color for volume value inside Bubble/Box
 Sell volume in shape color. Color for volume value inside Bubble/Box
03. Other
 Draw lines on right margin. Only for Line marker mode
 Show popup info
 Order ticks. Order ticks by volume in popup information. If not checked ticks will
be ordered by time as they come in order flow
04. Notifications
 Alert. Alert for big trade passed your filters
 Buy sound
 Sell sound
 Send Email

www.mzpack.pro
support@mzpack.pro
16
 Email address
 Value color
 Value font
a. LevelCross
b. LevelTouch
10. Orderflow
 Spread trades. How to process trades inside current spread. Split – 50/50
Bid/Ask split, LastKnowSide – add to last known trade side, Ignore – ignore
spread trades
 Reconstruct tape. To spot single trades turn it off. Turn it on to see aggregated
trades.
 mzBigTrade 'Recon. tape' apply. How to apply 'Reconstruct tape' option for
mzBigTrade indicator

www.mzpack.pro
support@mzpack.pro
17
ICEBERG ALGORITHMS
Iceberg search algorithms work only on live data when your indicators are in real time mode.
Limit iceberg orders are what professional traders used to trade. The main size of iceberg order
is not shown in the order book. You will never know size of the hidden part of limit order without
analyzing trading algo running in real time.
Hard
Hard algo uses Level II data but run on ‘Order Filled’ events only.
Soft
In these mode orderflow core detects liquidity volume in DOM right after each trade. Now we
can explicitly see liquidity pressure.
Fuzzy
In 'Fuzzy' mode indicator cumulates all liquidity being added in 'Fuzzy time' interval or before
next trade.
You can filter trades by volume, iceberg volume and DOM volume. Popup trade info contains
these volumes

www.mzpack.pro
support@mzpack.pro
18
DOM PRESSURE
To see DOM pressure choose ‘Market’ for Order type parameter.
When we see new liquidity was added right after a trade against trade direction we call this
DOM pressure. See pic. 50 Lots were added at best bid after 65-Lot sell trade. Therefore, in
order to reduce the price, someone must sell 50 lots more. In this example DOM pressure is a
kind of support for the price. In case of buy trade DOM pressure will be a resistance.

www.mzpack.pro
support@mzpack.pro
19
MARKET-LIMIT ORDERS
To see Market-Limit orders choose ‘Market-Limit’ for Order type parameter.
Big or ‘smart’ money and institutional traders often act by Market-Limit and Stop-Limit orders.
Market-Limit orders are executed at the best price available on the market. If the Market-Limit
order can only be partially filled, the order becomes a limit order and the remaining quantity
remains on the order book at the specified limit price. Learn more at CME Group Wiki
In case of buy Market-Limit order limit part of the order will be a support for the price whereas
for sell Market-Limit order limit part will be a resistance.

www.mzpack.pro
support@mzpack.pro
20
AGGRESSIVE TRADES
An aggressive trade eats liquidity on two or more price levels to get filled. An aggressive trade
can be initiative market order or triggered market stop-loss orders.

www.mzpack.pro
support@mzpack.pro
21
SMART/PREDATORY TRADES MODE
Smart/Predatory option is for predatory algorithmic trading or ‘smart money’ trading detection.
Trading algorithm absorbs exact quantity of conrtacts available in order book by the price or in
some price range. Microstructure pattern: pay attention on smart trades imbalance in small
ranges or brackets to find momentum direction before it will start. We recommend to use this
feature on range or volumes bars.
In current version MZpack 3 does not support inside bar trades aggregation as this was
implemented in MZpack 2 for NT7. But you can see all trades volumes under cursor in popup
info box. This feature will be implemented soon as an option.

www.mzpack.pro
support@mzpack.pro
22
RECONSTRUCT TAPE MODE
MZpack Order flow core is able to reconstruct single (tick) trades into aggregated trades. Turn
‘Reconstruct tape’ option on (default setting) to see aggregated trades. You can change this
option on-the-fly.

www.mzpack.pro
support@mzpack.pro
23
mzVolumeProfile Indicator
Volume Profile with automatic and custom ranges and VWAP. Developing profile support.
Indicator settings
01. Profile
 Profile mode
a. Bar. Automatic per bar volume profile
b. Session. Automatic per session volume profile
c. Custom. Custom ranged volume profile
d. Composite. Cumulative volume profile for all chart data
e. Bars. Build profile each N bars
f. Daily
g. Weekly
h. Monthly
i. Quarterly
j. Yearly
 Profile each N bars. N value for Bars profile mode
 Session break. Break profile by session time for Bars profile mode
 Profyle type
a. Volume. Total volume histogram
b. BuySell. Buy and sell volumes histogram
c. Delta. Bid/Ask delta histogram
d. None
 Profile accuracy. Tick, Minute. See details below.
 Delta. Display delta histogram over profile ladders
 Composite refresh, ms. Interval for re-calculation of Composite profile. Use
10000+ values for yearly composite profiles.
 Value Area, %
 Width, %. Width of profile histogram
 Position. Profile histogram position
a. Left
b. Right
 Color. Profile histogram color
 VA color. Value Area color
 Buy. Buy volume histogram color
 Sell. Sell volume histogram color
 Positive Delta. Color for positive delta
 Negative Delta. Color for negative delta
 Show border

www.mzpack.pro
support@mzpack.pro
24
 Border. Border line

 Developing border
 Levels values. Show choosen values for profile levels: Price, Volume, Delta,
None
 Ladders values. Show choosen values for profile ladders
a. Volume. Total ladder volume
b. Delta. Bid/Ask delta
c. BidAsk. Bid x Ask notation
d. None
 Values 1K divider. Divide volume and delta values by 1000.
 Ladders border. Ladders border style and color
 Font. Labels font
 Add profile: Left mouse +. Keyboard key for adding a profile
02. Profile levels
 POC mode
a. Off
b. On
c. Naked
d. Extended
 POC. POC line style and color
 VAH/VAL mode
a. Off
b. On
c. Naked
d. Extended
 VAH/VAL. VAH/VAL lines style and color
03. VWAP
 VWAP mode
a. Last. Last value of VWAP as horizontal line
b. Dynamic
c. DynamicStdDev1. Dynamic VWAP with standard deviation #1
d. DynamicStdDev2. Dynamic VWAP with standard deviation #2
e. None
 Sigma 1. Sigma value for standard deviation #1. Use 1 for 1st standard deviation
 Sigma 2. Sigma value for standard deviation #2. Use 2 for 2nd standard deviation
04. Statistics
 Total volume. Volume traded inside profile
 Delta. Display mode of profile’s delta
a. Delta
b. BidAsk
c. None

www.mzpack.pro
support@mzpack.pro
25
05. Stacked profiles. See STACKED PROFILES topic

 1st profile mode.
 1st profile N last/ago. Build profile for N last values (e.g. for N last Days)/Profile
for N ago values (e.g. for N Day ago)
 1st profile type.
 1st profile POC/VAH/VAL mode. Modes: On, Off, Extended.
 1st profile POC. Line for Point of Control
 1st profile VAH/VAL. Line for VAH/VAL
 2nd profile mode
 …
 Left margin, px. Left margin of Stacked profiles group in pixels.
 Rigth margin, px. Right margin of Stacked profiles group in pixels.
 Legend. Show profile legend contained profile mode and N last/ago value.
 Value color
 Value font
a. LevelCross
b. LevelTouch
10. Orderflow
 Spread trades. How to process trades inside current spread. Split – 50/50
Bid/Ask split, LastKnowSide – add to last known trade side, Ignore – ignore
spread trades
 Reconstruct tape. This option is not supported here.
 mzBigTrade 'Recon. tape' apply. This option is not supported here.
A custom range profile will be a developing profile if it contains the last bar of chart.
For faster calculation of profiles (especially Composite profiles) on big data series (e.g. 20+
days) tunr Tick Replay option off.

www.mzpack.pro
support@mzpack.pro
26
Composite profile video guide https://www.youtube.com/watch?v=wv4c3wmHzZY
Profile modes and some features https://youtu.be/T3J51YbXVLM

www.mzpack.pro
support@mzpack.pro
27

www.mzpack.pro
support@mzpack.pro
28
PROFILE ACCURACY
Profile update and calculation accuracy affects on how long it takes to calculate profiles on
loaded data. For big periods of data use Minute accuracy. In this mode, you don’t need
expensive historical tick data. For 1-20 loaded days of data (e.g. for day trading) use Tick
accuracy.
Tick
Set Profile accuracy to ‘Tick’ to get highest resolution of the profile. Profile values will be
calculated on each new tick. Calculation option will be set to ‘OnEachTick’ automatically.

www.mzpack.pro
support@mzpack.pro
29
Minute
Set Profile accuracy to ‘Minute’ to reduce chart load time. Every profile on the chart will be
updated each 1 minute. For this accuracy, Bid/Ask and Delta values calculated as this: Bid
volume for down and neutral bars, Ask volume for up bars. Volume of each new 1 minute bar
will be added to the profile at middle price of the bar. Calculation option will be set to
‘OnBarClose’ automatically.
IMPORTANT. Bars period type for the chart must be ‘Minute’. For daily chart choose 1440 Min
bar type.
Changing of Profile accuracy option requires script reload.

www.mzpack.pro
support@mzpack.pro
30
STACKED PROFILES
You can add up to three independent Volume Profiles at right margin of the chart. Profiles
support cumulation and shifting functions.
To build cumulated profile choose one of the profile modes: Sessions, Bars, Days, Weeks,
Months. To specify number of last profiles to be cumulated set ‘Profile N last’ parameter.
Example. Sessions[2] builds volume profile for two last sessions.
To build a profile for arbitrary period choose one of the profile modes: Session, Bar, Daily,
Weeklu, Monthly, Quarterly, Yearly.
Example. Daily[1] builds volume profile for one day ago. Monthly[0] builds volume profile for
current month.
In Extended mode for POC/VAH/VAL levels those start at profile start on the chart and continue
to correspondent stacked profile.

www.mzpack.pro
support@mzpack.pro
31
All profiles arranged automatically on chart right margin. Increase margin value in chart
properties to free more space for Stacked profiles.

www.mzpack.pro
support@mzpack.pro
32
mzVolumrDelta Indicator
The mzVolumeDelta indicator combines Buy/Sell volume indicator and Delta indicator with
iceberg search algorithms.
Indicator settings
1. Common
 Mode. Indicator mode
a. Volume
b. Delta
 Bar width. Histogram or candle width
a. Auto
b. Custom
 Bar width, px. Bar width in pixel if Custom width selected
2. Volume mode
 Show
a. Volume
b. Icebergs
c. Both
 Align. Histogram align modes
a. Total
b. Stacked
c. Opposite
 Reconstruct tape on 1 Tick chart
 Iceberg algo.
a. Hard
b. Soft
c. Fuzzy
 Fuzzy time, ms. Interval to cumulate DOM liquidity after trade in Fuzzy mode.
 Bar color scale. Maximal value for color coding will be as selected
a. Chart. Color scale calculated among all bars visible on chart
b. All. Color scale calculated among all loaded bars
 Buy volume. Color for Buy volumes
 Sell volume. Color for Sell volumes
 Color mode
values
 Bar border. Stroke for bars border

www.mzpack.pro
support@mzpack.pro
33
 Buy iceberg volume

 Sell iceberg volume
3. Delta mode
 Show
a. Histogram
b. Opposite
c. Cumulative
 Cumulate session. Reset cumulative delta on each new session
 Positive delta
 Negative delta
 Candle border. Stroke for candles bodies border
 Candle wick. Stroke for candles wicks border
 Value color
 Value font
a. LevelCross
b. LevelTouch
10. Orderflow
 Spread trades. This option is not supported here
 Reconstruct tape. This option is for 1 Tick charts only

www.mzpack.pro
support@mzpack.pro
34
Reconstruct tape mode on 1 Tick chart

www.mzpack.pro
support@mzpack.pro
35
Cumulative delta mode

www.mzpack.pro
support@mzpack.pro
36
mzMarketDepth Indicator
The mzMarketDepth indicator displays limit orders resting in the order book (or Depth Of
Market) and shows its volumes on chart as historical data. This awesome order book
NinjaTrader indicator can be placed on any type of chart from 1 tick to 30 minutes or more,
range, tick, volume bars etc.
Indicator settings
01. Common. Common settings for all presentations of DOM

 Multiple Market Maker. Market depth support for stock markets. Don't turn it on
for futures via IQfeed!
 Depth of market. Displayed order book scope in ticks. Actually is what you see in
NinjaTrader Level II is not the order book, but only its visible part. So DOM is just
a frame into real order book. Some markets provide full order book data (e.g.
Crude oil), but e.g. E-mini S&P500 provide only 10 levels nearest to the current
price.
 Bid. Color for buy limit-orders
 Offer. Color for sell limit-orders
 Extremal Bid. Color for extremal buy limit-orders
 Extremal Offer. Color for extremal sell limit-orders
 Code extremal. Code extremal volumes by color saturation as for normal
volumes
 Show popup info
 Show volumes
 Show max volumes. Show maximal volume in brick in brackets next to realtime
volume
 Offer text. Color for offer values
 Bid text. Color for bid values
 Extremal Offer text. Color for extremal offer values
 Extremal Bid text. Color for extremal bid values
02. Realtime DOM. Realtime DOM on right chart margin
 Show histogram. Show DOM histogram or “ladders”
 Histogram border
 Show volumes. Show limit orders volume resting in DOM
 Imbalance on Bid or Offer ratio. Ratio for Imbalance calculation on each DOM
side. E.g. if ratio = 2 then all volumes 2 times greater than average volume of
given DOM side will be marked as Imbalance.
 Show Imbalance
 Bid Imbalance. Color for Imbalance on Bids
 Offer Imbalance. Color for Imbalance on Offers

www.mzpack.pro
support@mzpack.pro
37
 Volume font
 Show cumulative. Show line for volumes cumulated level by level.
 Cumulative Bid. Line for cumulative Bids
 Cumulative Offer. Line for cumulative Offers
 Width, px. Maximal histogram width in pixels
 Control margin. Control width of right side margin of the chart
03. Historical DOM
 Show. Show historical DOM on chart
 Filtering mode. Filtering mode applied to historical DOM
a. Absolute. Use filter values in contracts
b. Percentage. Use filter values in %
 Display volume, %. Display only limit-orders with given % of volumes. E.g. if
value is 60% and size of maximal limit-order in the order book is 100-Lot, then
only 41-Lot limit-orders or greater will be displayed. If maximal limit-order will
become 200-Lot, then only 81-Lot limit-orders or greater will be displayed
 Extreme volume, %. Given % of volumes from bigger end treated as extremal
 Display volume, contracts. Display limit-orders with volume greater than or equal
to this value
 Extreme volume, contracts. Limit-orders with volume greater than or equal to this
value treated as extremal.
 Color mode
values
 Saturation preset. 4 levels of saturation for DOM blocks
 Hold levels. Keep displaying levels out of Depth of market scope. Actually we
don’t know is still there some liquidity or not, but we can keep and display last
quantities for analysis
 Hold higher volume. Keep displaying maximal limit-order volume inside current
bar on a price level. You can spot liquidity spikes by this way.
 Volume font
04. Liquidity migration.
 Show. Show liquidity migration
 Added volume filter. Mark limit-orders being added to order book with total size
greater or equal to this value
 Removed volume filter. Mark limit-orders being removed from order book with
total size greater or equal to this value
 Added offer. Color for ‘added liquidity’ mark on offer
 Added bid. Color for ‘added liquidity’ mark on bid

www.mzpack.pro
support@mzpack.pro
38
 Removed offer. Color for ‘removed liquidity’ mark on offer

 Removed bid. Color for ‘removed liquidity’ mark on bid
05. Imbalance. Order book imbalance calculated as percentage ratio of buy and sell limit-
orders total quantities or volumes
 Show. Show order book imbalance
 Imbalance, %. Threshold value to display imbalance. Note that changing this
value does not affect on historical bars
 Bid imbalance. Line for imbalance on bid
 Offer imbalance. Line for imbalance on offer
 No imbalance. Line for bid-offer balance
06. Notifications
 Extreme alert. Alert on extremal limit-order volume
 Extreme sound
 Value color
 Value font
a. LevelCross
b. LevelTouch
10. Orderflow
 Spread trades. This option is not supported here
 Reconstruct tape. This option is not supported here
By default mzMarketDepth indicator autoscales chart to fit DOM on the chart. If you don’t want
this uncheck Auto scale option in Visual section from NT8 built-in settings window.

www.mzpack.pro
support@mzpack.pro
39

www.mzpack.pro
support@mzpack.pro
40
Historical DOM with Realtime DOM on right chart margin

www.mzpack.pro
support@mzpack.pro
41
On this ES chart two mzMarketDepth indicators with different filters have been placed. One
indicator is for Europe session and another one for American session. Time on chart is UTEC-5
(EST USA & Canada). See Indicators’ general parameters section to learm how to use
Strat/Stop time option.

www.mzpack.pro
support@mzpack.pro
42
General Settings
15. General
 Show price line
 Price line. Stroke for price line
 Start time. Indicator start time
 Stop time. Indicator stop time
 Chart refresh, ms. Chart refresh interval in milliseconds. Valid range is 100-1000
ms. Use higher values to reduce the impact on graphics during heavy load
periods from stock exchange.
 Hint. Display indicator’s hint if available
 Warning. Display MZpack warnings
 Version. Display MZpack version information on the chart
 Log. Log errors in trace files Documents\NinjaTrader 8\trace\.
Offten we need to set different settings for different trade sessions for an indicator. To do
that please:
1. Place e.g. two instances of the same MZpack indicator on a chart

2. Set desired parameters for each of them
3. Set Start and Stop time corresponded to trade sessions (e.g. Europe and American)
for each of them
As a result one indicator will work e.g. on Europe session only and the other one on
American session only.
By default all indicators configured for continuous usage: Start time is 00:00:00 and Stop
time is 23:59:59.

www.mzpack.pro
support@mzpack.pro
43

www.mzpack.pro
support@mzpack.pro
44
Sound Files for Alerts
List of sound files placed by setup in NinjaTrader sounds folder. To use sound for alert type file
name with extension in the Sound parameter of an indicator.

www.mzpack.pro
support@mzpack.pro
45
MZpack 3 Pro API
Use MZpack 3 Pro API to build NinjaScript/C# Add-ons (strategies and indicators) for
NinjaTrader 8. Pro version has no indicators which you could place on the chart from UI, but
only indicators API.
MZpack 3 API for NinjaTrader 8 Documentation is available online.
You can find all MZpack 3 Pro API samples inside MZpack 3 Pro installation folder under ‘\API
samples’ folder.
MZpack 3 Pro has built-in sample strategies. You can’t change or remove them. Download
source code for built-in samples in zip-archive. DON’T IMPORT THIS FILE INTO NINJA.
You can find MZpack 3 Pro API interfaces files inside MZpack installation folder under ‘\API’
folder. Only API for mzVolumeProfile indicator is currently available.
Read Building NinjaScript Add-ons topic for Add-on samples.

www.mzpack.pro
support@mzpack.pro
46
Building Strategies with MZpack 3 Pro
MZpackStrategyBase is base abstract class for any strategy based on MZpack API.
1. Inherit custom strategy class from MZpack base strategy class
public class MyMZpackCustomStrategy : MZpackStrategyBase

{
}
2. Implement CreateIndicators() method to create set of indicators for your custom strategy and
return them in the list as a result.
public override List<TickIndicator> CreateIndicators()

{
// Initialize new indicators list
List<TickIndicator> indicators = new List<TickIndicator>();
// Create StartegyVolumeProfileIndicator instance with default settings

customVP = new StrategyVolumeProfileIndicator(this)
{
// Override defaults if required
ProfileCreation = ProfileCreation.Custom,
ProfileMode = ProfileMode.BuySell
};
// Add indicator to the list

indicators.Add(customVP);
return indicators;
}
3. Override OnStateChange() method if additional configuration of indicators is required
protected override void OnStateChange()

{
// Base OnStateChange() call is required
base.OnStateChange();
lock (Sync) // Sync state handler

{
if (State == State.SetDefaults)
{
Calculate = Calculate.OnBarClose; // OnBarClose strategy
EntriesPerDirection = 1;
}
else if (State == State.Configure)
{
// Configure indicators at State == State.Configure
// Set Stacked Profiles creations

customVP.StackedProfileCreation1 = ProfileCreation.None;
}
}
}

www.mzpack.pro
support@mzpack.pro
47
4. Override OnBarUpdate() method to implement strategy logic
protected override void OnBarUpdate()

{
// Base OnBarUpdate() call is required
base.OnBarUpdate();
if (BarsInProgress == 0)
{
lock (Sync) // Sync event handler
{
// Place strategy logic here
}
}
}

www.mzpack.pro
support@mzpack.pro
48
Sample Trading Strategies
SIMPLE E-MINI S&P500 FUTURES SCALPING STRATEGY
In this yet simple scalping strategy we will use some knowledge about Market Microstrucuture and
Dynamic volumes based day levles (dynamic volume POC, VAL/VAH, VWAP and deviations).
Read strategy description here: https://www.mzpack.pro/2018/02/17/simple-e-mini-sp500-futures-

scalpingstrategy/

www.mzpack.pro
support@mzpack.pro
49

Mzpack 3 User Guide (En)

Hochgeladen von

Dokumentinformationen

Originaltitel

Copyright

Verfügbare Formate

Dieses Dokument teilen

Dokument teilen oder einbetten

Freigabeoptionen

Stufen Sie dieses Dokument als nützlich ein?

Sind diese Inhalte unangemessen?

Copyright:

Verfügbare Formate

Mzpack 3 User Guide (En)

Hochgeladen von

Copyright:

Verfügbare Formate

MZpack 3.9.

COPYRIGHT © 2015-2018 MZPACK CO. ALL RIGHTS RESERVED.

Copyright © 2015-2018 MZpack Co. All rights reserved.

Copyright © 2015-2018 MZpack Co. All rights reserved.

Benefits of MZpack indicators

 See inside the price action and inside the bars.

Copyright © 2015-2018 MZpack Co. All rights reserved.

Installing MZpack 3 for NinjaTrader 8

Copyright © 2015-2018 MZpack Co. All rights reserved.

7. Clik Ok button in Activation message window, RESTART NinjaTrader and establish a

How to start MZpack 3 trial

Copyright © 2015-2018 MZpack Co. All rights reserved.

Quick Start. Indicators Setup, Chart Templates and

MZpack installation puts set of templates in corresponding NinjaTrader 8 folders. Check

Copyright © 2015-2018 MZpack Co. All rights reserved.

Copyright © 2015-2018 MZpack Co. All rights reserved.

Forex market support

Copyright © 2015-2018 MZpack Co. All rights reserved.

Video Tutorial https://www.youtube.com/watch?v=BXsM-07SLDo

01. Left Footprint. Left side Footprint settings

Copyright © 2015-2018 MZpack Co. All rights reserved.

Copyright © 2015-2018 MZpack Co. All rights reserved.

 Only Absorption. Show only absorptions

For additional information: http://www.mzpack.pro/en/footprint-ninjatrader-indicator/

Copyright © 2015-2018 MZpack Co. All rights reserved.

Copyright © 2015-2018 MZpack Co. All rights reserved.

Copyright © 2015-2018 MZpack Co. All rights reserved.

Default mouse + key combinations to set and manage alert levels

 Add a level: Left Mouse Click + Left Shift key

Levels with Alerts https://www.youtube.com/watch?v=Yu-ol6FjYAE

Copyright © 2015-2018 MZpack Co. All rights reserved.

* Option affects on live data only.

Copyright © 2015-2018 MZpack Co. All rights reserved.

d. Lo. Lowest price of the trade

Copyright © 2015-2018 MZpack Co. All rights reserved.

Copyright © 2015-2018 MZpack Co. All rights reserved.

Copyright © 2015-2018 MZpack Co. All rights reserved.

To see DOM pressure choose ‘Market’ for Order type parameter.

Copyright © 2015-2018 MZpack Co. All rights reserved.

To see Market-Limit orders choose ‘Market-Limit’ for Order type parameter.

Copyright © 2015-2018 MZpack Co. All rights reserved.

Copyright © 2015-2018 MZpack Co. All rights reserved.

SMART/PREDATORY TRADES MODE

Copyright © 2015-2018 MZpack Co. All rights reserved.

RECONSTRUCT TAPE MODE

Copyright © 2015-2018 MZpack Co. All rights reserved.

Copyright © 2015-2018 MZpack Co. All rights reserved.

 Border. Border line

Copyright © 2015-2018 MZpack Co. All rights reserved.

05. Stacked profiles. See STACKED PROFILES topic

Copyright © 2015-2018 MZpack Co. All rights reserved.

Composite profile video guide https://www.youtube.com/watch?v=wv4c3wmHzZY

Profile modes and some features https://youtu.be/T3J51YbXVLM

Copyright © 2015-2018 MZpack Co. All rights reserved.

Copyright © 2015-2018 MZpack Co. All rights reserved.

Copyright © 2015-2018 MZpack Co. All rights reserved.

Changing of Profile accuracy option requires script reload.

Copyright © 2015-2018 MZpack Co. All rights reserved.

Copyright © 2015-2018 MZpack Co. All rights reserved.

Copyright © 2015-2018 MZpack Co. All rights reserved.

Copyright © 2015-2018 MZpack Co. All rights reserved.

 Buy iceberg volume

Copyright © 2015-2018 MZpack Co. All rights reserved.