Depth

Data Type

Number of Levels

Sets the number of depth levels to display on either side, limit bid orders and limit ask order.

Refresh Time (ms)

Sets the time to refresh the Depth column. A lower value will make the Depth column update faster but will increase your CPU usage. By default, this is set to the same refresh rate as the native NinjaTrader®, 200 milliseconds (five times per second). 

Filter

Filter Mode

Filter mode is a very useful and advanced setting. You can filter the DOM to any value you require. Filter mode inherits the value from Filter Value. This setting allows you to apply several times of filter conditions:

  • Equal – Display limit orders that are equal to the Filter Value. Useful if you are tracking a particular limit order value.
  • Does Not Equal – Expanding on Equal Filter Mode. You can set a limit order quantity that you do not want to see.
  • Less Than – Filters the depth of market that is lower than the specified Filter Value.
  • Less Than or Equal– Expands the previous Filter Mode allowing you to include the value specified in the Filter Value.
  • Greater Than – Display limit orders that are above the Filter Value. Useful to see only large limit orders.
  • Greater Than or Equal – expands the previous Filter Mode, allowing you to include the value set on Filter Value option. Like the previous Filter Mode, this setting allows for an easy display of large limit orders.
Filter Value

The value used to filter the column.

Imbalance

Imbalance section allows you to enable visual feedback when an imbalance between the Bid Limit orders and the Ask Limit Order Occurs.

Show Imbalance Side

Simple toggle option to the Imbalance between ask side limit orders and bid side limit orders

Imbalance Ratio

Set the proportion ratio at which the imbalance visual queue displays. By default the setting is 1.1 this means that whenever one side of the depth of market is greater by 10% than the other the imbalance will be displayed. You can set this to a higher number to only see when one side of the depth of market is overwhelming the other with limit orders.

Bid Side Imbalance Color

Sets the color for the bid side imbalance.

Ask Side Imbalance Color

Sets the color for the Ask side imbalance.

Visual Parameters

Visual Type
  • Bar and Text – Will display both the Bar in its relative size as well as any text chose in the previous setting.
  • Bar – Will only display the bar.
  • Text – Will only display text.
Text to Display
  • Volume – Display the raw limit order values.
  • Percentage by Book – Display the percentage of limit orders by price taking the whole book. Useful to compare the percentage of limit orders in regards to the whole depth of market.
  • Percentage by Side – Display the percentage of limit orders by price and by the side.
Text Position
  • Right – Text displays at the right end of the cell
  • Left – Text displays at the left end of the cell.
Bars Direction
  • Left to Right – Bars will start from the left end and populate to the right
  • Right To Left – Bars will start from the right and populate to the left

Useful to create tornado charts using the Data Type setting.

Bars Width Relation
  • Width by Side – The bars will adjust according to their side.
  • Width By Book – The bars will adjust according to the whole orderbook. Useful to get immediate visual feedback of outliers and the representation of the orderbook as a whole. Also useful in combination with Number of Levels setting allowing you to see the changes near the bid and ask prices.
Use Transparency

Simple toggle option to set Transparency of bars. The transparency is set relative to the total amount of levels defined for the depth column. With Transparency On, you get instant feedback of orders being removed and big pending orders coming to the market.

Bid Side Bar Color

Sets the color for the bars on the Bid side of the orderbook.

Ask Side Bar Color

Sets the color for the bars on the Ask side of the orderbook.

Summary Stats

Display Summary Statistics for the Market Depth Column.

  • Sum – Total amount of limit orders of the orderbook. Inherits the color from the Imbalance Colors.
  • Current Imbalance Ratio – Show the imbalance ratio. Inherits the color from the Imbalance Colors.
  • Orderbook Delta – Displays the difference between the total quantity on the bid side minus the total quantity of limit orders of the ask side.
  • Total Ask Limit Orders – Displays the total amount of orders at the ask side. Inherits the color from the orderbook Delta and the Ask Side Bid side bar color.
  • Total Bid Limit Orders – Displays the total amount of orders at the bid side.
  • Average Ask Limit Orders – Display the average amount of orders at the ask side.
  • Average Bid Limit Orders – Display the average amount of orders at the bid side.
Summary Stats

Summary Statistics that show you various metrics from the trading session.

  • Total Volume – Total volume of the session – Text color inherits the color of Color for Text
  • Delta – Total amount of buy-side volume minus sell side volume – Text color inherits from the Delta Negative or Positive Color
  • Sells – Total amount of sell-side volume – Text color inherits from the Delta Negative or Positive Color
  • Buys – Total amount of buy-side volume – Text color inherits from the Delta Negative or Positive Color
  • Session Range – Shows the range of the session in price levels – Text color inherits from the Delta Negative or Positive Color and its colored based on the percentage change of the session.
  • Session Percentage Change – Text color inherits from the Delta Negative or Positive Color and its color based on the percentage change of the session.
Color for Text

Sets the color for the text in the Orderbook and the Total Orderbook and Imbalance Summary Statistics when there is not an imbalance between ask limit orders and bid limit orders.

Color for Background

Sets the color for the column Background

Large Depth Update Alerts

The following settings allow you to get alerts in the Alerts Log window within NinjaTrader whenever a large depth of market update takes place. Useful to get feedback from large Orderbook changes, additions and removals. Since the Alerts Log Window allows you export the messages to Microsoft Excel xlsx format and as a csv format, you can further analyze the orderflow movements.

Manual Alerts Depth Updates

Simple toggle option to set manual alerts on/off.

Manual Alerts Depth Change Value

This setting allows you to set the minimum raw depth update value to trigger an alert. Depth updates that are equal or larger than this value will trigger an alert.

Auto % Alerts Depth Updates

Simple toggle option to set automatic alerts alerts on/off.

Min % of Sum per Side

This setting allows you to set the minimum percentage of side of the orderbook update quantity. For example, if the value set in this setting is 10% and if the total ask side book is 2000 and there is an update to the ask side above or equal to 200 an alert will be triggered.

Ask updates alert Background Color

Sets the color for the background in the Alerts Log window for ask side updates.

Ask Side Removes Alerts Text Color

Sets the color for the text in the Alerts Log window for ask side updates if the update was a removal from the orderbook.

Ask Side Adds Alerts Text Color

Sets the color for the text in the Alerts Log window for ask side updates if the update was an addition to orderbook.

Ask Updates Sound Alert

Allows you choose any sound alert present on your pc, not just on the NinjaTrader® sound folder.

Bid updates alert Background Color

Sets the color for the background in the Alerts Log window for bid side updates.

Bid Side Removes Alerts Text Color

Sets the color for the text in the Alerts Log window for bid side updates if the update was a removal from the orderbook.

Bid Side Adds Alerts Text Color

Sets the color for the text in the Alerts Log window for bid side updates if the update was an addition to orderbook.

Bid Updates Sound Alert

Allows you choose any sound alert present on your pc, not just on the NinjaTrader® sound folder.

Set up

Label

Sets the label title for the column. Useful when you have multiple Depth columns with different settings on the SuperDOM.