Depth: Uncover Market Insights with SuperDOM Series

Depth Column lets you intuitively view depth imbalances find large limit orders, filter the OrderBook depth, display historical depth and cumulative depth updates, plus many more options.

Depth Data Type #

market depth data type

Data Mode #

market depth data mode expanded

Sets the Data Mode to display Depth or Updates (Pulls/Adds) of limit orders.
Depth– display limit orders or market depth.
Updates Single View – shows the Adds and Removes (Pull/Adds) compared to the last depth value.
Updates Dual View – shows the Adds and Removes (Pull/Adds) to the last depth value. In dual mode, the view centers the 0. This means that negative values (orders being removed) will be displayed separately from the positive values (orders being added).

market depth updates mode

Data Type #

market depth bid and ask mode

Sets the side of the Depth.
Ask Side – Display limit orders only for the ask side (sell orders).
Bid Side – Display limit orders only for the bid side (buy orders).
Ask and Bid Side – Displays both the Ask and Bid side in one column.

Number of Levels #

Sets the number of market depth to display.

Updates Mode Cumulative Updates #

market depth cumulative updates

Sets the Updates Mode to cumulative. Cumulative Updates will display a cumulative value of Adds and Removes. Updates Mode allows to see the total amount of changes in the market depth.

Display Historical Depth/Updates #

market depth historical values

Set the column to display historical values. Historical Values are values outside the live Number of Levels.

Filter #

Filter Mode #

Sets the filter mode of the Depth of Market.
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.

OrderBook Imbalance #

The OrderBook Imbalance section allows you to enable visual feedback and alerts when an imbalance between the Bid Limit orders and the Ask Limit Order Occurs. For a short explanation please view this video : Orderbook Imbalance.

market depth orderbook imbalance

Show Imbalance Side #

Sets the visibility of OrderBook Imbalances.

Imbalance Calculation Mode #

Sets the type of OrderBook Imbalance:
Proportional Imbalance – Calculates the proportion to which one side is proportional to the other.
Volume Order Imbalance – Calculates the proportion of best interest on the bid side.

Imbalance Ratio #

Sets the proportion ratio at which the imbalance visual displays.

Bid Side Imbalance Color #

Sets the color for the Bid Side Imbalance.

Ask Side Imbalance Color #

Sets the color for the Ask Side Imbalance.

Imbalance Width (px) #

Sets the with of the imbalance visualization.

Alerts- Ask Side Imbalance #

Sets Ask Side Imbalance Alerts. To view the Alerts Log window go to New menu within the NinjaTrader Control Center and select the menu item Alerts Log.

Alerts- Ask Side Imbalance Calculation Mode #

Sets the calculation Imbalance Calculation Mode for Ask Side OrderBook Imbalance Alerts.

Alerts- Ask Side Imbalance Ratio #

Sets the Ask side imbalance ratio to trigger the Alert.

Alerts- Ask Side Imbalance Sound Alert #

Sets the sound alert for Ask Side OrderBook Imbalance alert. Can also be disabled by clicking in “x” on the right side of the property.

Alerts- Bid Side Imbalance #

Sets Bid Side Imbalance Alerts. To view the Alerts Log window go to New menu within the NinjaTrader Control Center and select the menu item Alerts Log.

Alerts- Bid Side Imbalance Calculation Mode #

Sets the calculation Imbalance Calculation Mode for Bid Side OrderBook Imbalance Alerts.

Alerts- Bid Side Imbalance Ratio #

Sets the Bid side imbalance ratio to trigger the Alert.

Alerts- Bid Side Imbalance Sound Alert #

Sets the sound alert for Bid Side OrderBook Imbalance alert. Can also be disabled by clicking in “x” on the right side of the property.

Visual Parameters #

market depth visual parameters

Steady SuperDOM #

Enable Steady SuperDOM.

Increase Font Size #

This allows you to increase the font size while displaying the same number of rows. This option as a range between 0 and 3. Zero will make no changes to the font size selected in the SuperDOM properties and effectively add more space around the cells. This option tries to give you better visibility of the text.

Visual Type #

Bar and Text – display both the Bar in its relative size as well as any text chosen in the previous setting.
Bar – display only bars. On Mouse Hover text will be displayed for the particular price.
Text – display only text.

Text to Display #

Volume – Display the raw limit order values.
Percentage by Book – Display the percentage of limit orders by price considering the whole book (all market depth levels).
Percentage by Side – Display the percentage of limit orders by price and by each of the sides.

Text Position #

Sets the position of the Text Relative to 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.

Bar 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 the Number of Levels setting allowing you to see the changes near the bid and ask prices.

Use Transparency for Bars #

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 market depth.

Ask Side Bar Color #

Sets the color for the bars on the Ask side market depth.

Summary Stats #

Display Summary Statistics for the 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 number of orders at the bid side.
Average Ask Limit Orders – Display the average number of orders at the ask side.
Average Bid Limit Orders – Display the average number of orders at the bid side.

Color For Text #

Sets the color for text.

Background Color #

Sets the color for column background.

Hist Depth Color #

Sets the color for Historical Depth/Updates bars.

Cursor Highlight Enable #

Sets the visibility of highlighting a cell on mouser hover.

Cursor Highlight Color #

Sets the cursor highlight color.

Cursor Highlight Line Thickness #

Sets the line thickness for the border that is presented when the cursor hovers on that cell.

Last Price Rectangle #

Sets the color of the last price rectangle.

Last Price Rectangle Color #

Sets the color of the last price rectangle.

Last Price Rectangle Line Thickness #

Sets the line thickness for the borders of the last price cell.

Depth Highlight Values #

Sets highlighting mode for the Depth levels.

market depth highlights

Depth Highlight Mode #

Sets the Highlight mode.
All – Highlights all the depth levels.
Above Average – Highlights the depth above the current depth average.
Above_1_Std– Highlights the depth above the 1st standard deviation (68.2%).
Above_2_Std – Highlights the depth above the 2nd standard deviation (95.4%).

Depth Highlight Color #

Sets the color for highlights. Below shows Depth highlight Above Average.

Show Center Line #

Sets the visibility of the center line. The center line will be displayed at the center of the column.

Center Line Color #

Sets the color for the center line.

Buy Button Back Color #

Sets the background color for the Buy button.

Buy Button Icon Color #

Sets the icon color for the Buy button.

Sell Button Back Color #

Sets the background color for the Sell button.

Sell Button Icon Color #

Sets the icon color for the Sell button.

No Connection Message Back Color #

Sets the color for the message when there is no connection.

Reloading Message Back Color #

Sets the color for the message when the connection is reset.

Use Constant Summary #

Sets the Summary Statistics to a fixed position. By default, the Summary Statistics are displayed either on top or at the bottom of the market depth. This option ensures that the Summary Statistics are constantly visible.

Summary Constant Position #

Set the position of the Summary Statistics.

Bids/Asks Only Total Summary Stats #

Display only the total Market Depth (sum of the displayed levels).

Don’t Paint Summary With Colors #

This option disables the change in color of the text in the Summary Statistics. By default, the Summary Statistics changes colors depending on the current orderbook imbalance.

Large Depth Updates Alerts #

market depth large updates 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 #

Sets market depth updates alert. Will trigger every time a update (Add/Submitted or Pull/Cancelled from the OrderBook) reaches the Manual Alerts Depth Updates Value

Manual Alerts Depth Updates Value #

Sets the minimum 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 #

Sets automatic alerts, market depth updates alerts.

Min % of Sum per Side #

Sets the minimum percentage of per 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 (Add/Submitted or Pull/Cancelled) 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 alerts.

Ask Side Removes Alerts Text Color #

Sets the color for the text in the Alerts Log window for Ask side updates alerts if the update was a removal/pull/cancelled from the Ask side.

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/submission to Ask side.

Ask Updates Sound Alert #

Sets the sound alert for Ask Side Updates alert. Can also be disabled by clicking in “x” on the right side of the property.

Bid updates alert Background Color #

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

Bid Side Removes Alerts Text Color #

Sets the color for the text in the Alerts Log window for Bid side updates alerts if the update was a removal/pull/cancelled from the Bid side.

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/submission to Bid side.

Bid Updates Sound Alert #

Sets the sound alert for Bid Side Updates alert. Can also be disabled by clicking in “x” on the right side of the property.

Trading Interface #

market depth trading

Enable Trading Interface #

Sets the Trading Interface to submit orders via the Depth Column.

Ask Confirmation Before Order Placement #

Displays a confirmation window on every order placement.
Example:

market depth sending orders

Button Click is Market Order #

By default the buy or sell click will trigger a limit order at the best price. This is to try and always get the best price when entering a trade and not allowing for slippage. You can change the behavior with this option. Please see the Trading Operations Section for more information.