OrderBook Indicator – Extended “Depth of Market” for MT4

OrderBook Indicator – Extended “Depth of Market” for MT4

In this article, we give an overview of an interesting and unique proprietary indicator for MT4.

It’s the OrderBook indicator transmitting data from the Order Book tool to your favorite MT4 terminal.

Some Words About Theory

OrderBook (order book or depth of market) is a graphical representation of trading activity, namely, open trades, pending orders, and stop orders. Data on trades are summed up and presented as a histogram at each price level. As a result, we get the picture:

The picture shows the extended order book including all types of orders as well as open trades. Originally, the order book concept implied displaying only 1st and 4th squares, that is, only limit orders. You can read about the principles of formation of just such an order book comprising limit orders in the article on the stock exchange order book.

Adding other types of orders and forming a two-sided order book like that in the Order Book was made possible only on the basis of a specific customer base of an individual broker. Stock exchanges cannot provide a two-sided order book, as they simply don’t have such information.

If you’re not familiar with a concept of the order book and principles of its analysis, we recommend you to read this 5-step guide.

Description and Features of the Indicator

The OrderBook indicator is a light version of the OrderBook Pro web-based tool. Although it has a slightly limited functionality, the indicator provides enough data for comprehensive analysis as compared to the web-based version.

Up-to-date data come to the indicator every 20 minutes.

It has a feature that allows rather flexible customization of the displayed data format. For example, here are some of the possible visualization options:

The parameters related to the classical layout of data (like the one in the web-based tool) are set as default.

We also made sure that the indicator can be used right out of the box –all you need is to choose a color scheme.

As for the color scheme, there are currently two pallets of colors to choose from: for dark and light backgrounds:

The indicator has a built-in light version (it can be selected in the settings), which allows you to free up space on the chart and display data at the edges of the chart window.

The light version looks like that shown in the image #1 just above. It’s more compact and doesn’t overlap candlesticks. However, users note that you need to get used to this (simplified) format, if you have used a two-sided order book before for long.

Indicator Interface

Menu. The menu with buttons was placed on the chart to enable switching between the left and right order books, as well as between the “NET” (“net value”) and “ALL” (“all orders”) modes, so that you don’t have to constantly go to the settings.

The indicator’s panel has the button to minimize the panel. You can set the minimized state of the panel as default in the indicator’s settings. It reduces the menu size in such a way as not to prevent you from making a candlestick analysis.

Cast time. The panel shows the time of the current cast. Actually, it’s the time the data was last updated.

Red cross mark. Many people may have noticed a red cross mark on top of the candlestick chart. It indicates the time as well as the price at the time of data update.

Additionally, the feature allowing you to view the history of casts is now available. You can view recent data with a smooth transition directly in MT4 terminal.

Description of Settings

DOM Deep. Indicates the total number of horizontal columns of data histogram displayed on the chart above and below the price.

Orders/Positions – hide values less than. You need to specify the minimum value required to display data on the screen. If the value is less than the minimum one, data won’t be displayed.

Orders/Positions – cut to value. Cuts all the data exceeding the given value. Example: if you specify 4%, and the data shows 5%, the chart will display 4%.

Layout. Classical layout can be seen in web-based tools, and the simplified one looks like halves of the order books at the edge of the chart.

Display of order book. Toggles between one-sided and two-sided displays.

Indent and distance. They’re necessary to customize a classical layout and determine the distance from the edge of the chart window as well as between order books.

Values on mouse hover. If you hover the mouse over a column of histogram, a tooltip indicating the value at this level will pop up.

Display data labels. Enables/disables such labels: Buy Stop, Sell Stop, Sell Limit, etc.

Display total percentage. Displays the sum of the values of these levels of each square of the order book on the chart.

Navigate the history. Enables/disables the option of viewing the history of casts of the order book.

Hide buttons when minimize. “On” – buttons won’t be displayed. “Off” – buttons will be displayed.

Fast rewind step. The value is entered at your discretion and measured in bars.

Scale values. Enables/disables the vertical bar-scale on top of the histogram. The next two settings are required to position the histogram in width.

Orders/Positions – value size. Sets the step of scale.

Orders/Positions – value width. Sets one value size in pixels.

Position and shift. First, choose the corner in which the indicator’s panel is located on the chart, and then specify the shifts in pixels.

Default panel size. Determines the state of the indicator’s panel (minimized/maximized) when terminal starts or timeframe is switched.

Hotkey – minimize panel. Selectthe key to completely hide the indicator’s panel, and the data will not be lost in this case. The “w” button is set as default.

Default data. Select the button that will be active by default when terminal starts or timeframe is switched. If you choose the one-sided version of the order book, you only need to edit its right side. If you choose the two-sided version, you need to edit both its sides.

Filter NET button. Enables/disables the option of viewing the net value.

Color scheme. Two color schemes are available: for light and dark backgrounds (example is given above). We decided not to include the color settings in the indicator’s parameters, since there are a great number of them that makes it difficult for an ordinary user to understand them.

Coloring levels. Various options of coloring data histogram.

Custom level colors. Enables to set your level colors. Broker uses “daylight saving time”. If your broker switches to daylight saving time/winter time, you should set the setting to “On”; if not, set it to “Off”. Ask your broker whether it does the switching.

Important notice! If you set the shift incorrectly, data will be distorted.

Alert on receipt of new data. You can set a sound alert, which is triggered at the time of receiving up-to-date data. Sound file. Enables to select a sound file for alert.


Download and Installation

You can download the indicators by clicking the links provided above. We advise you to read our instruction to avoid the problems with installation.

You can discuss the indicators and ask your questions directly in the Comments section.