v0.7.4: Wiring the Full Order Book (MBO), and a Strategy That Became an Indicator

Three things shipped today, and they share a theme: showing what was always in the feed but never on the screen.

The numbers

• ~10-20 — price levels per side an aggregated futures depth feed maintains around the market. Everything that drifts outside that window is deleted from your book.
• Every resting order — what Rithmic’s Depth by Order stream carries instead: individual orders with exchange ids, rebuilt order-by-order into the full book. v0.7.4 wires it end to end.
• ~4 MB — memory for a 100k-order book after keying orders by their numeric exchange id instead of strings. The rebuild runs at feed rate in the reader thread.
• 0 — orders the new Hurst MR indicator will ever send.

The full book, mechanically

The DOM ladder, the depth profile and the liquidity heatmap all read one internal book. v0.7.4 swaps that book’s source: once the order-by-order snapshot lands, the aggregated feed is ignored and every consumer inherits the complete depth — no per-panel work, no new settings. If your login lacks the MBO entitlement, the app logs the refusal and stays on the aggregated feed unchanged.

A heatmap with two sides

Liquidity heatmaps traditionally paint one intensity ramp — a wall is a wall, buyer or seller. The heatmap now carries the side of each cell through the pipeline (one byte per cell that was already allocated) and renders bids and asks on two ramps, on every theme, at every zoom level. Walls above you read differently from walls below you, which is rather the point of a book.

A strategy demoted — deliberately — into an indicator

The Hurst MR indicator started life as a fully automated NinjaTrader strategy: detect a mean-reverting regime with a rolling Hurst exponent, fade ±Kσ excursions back to fair value, trail through trend flips. Porting it, we kept the math bit-for-bit — the R/S estimator, the z-score that excludes the forming bar, the stop/target arithmetic — and deleted every line that touches an order. What remains draws the regime, the bands, the signals and the levels, and leaves the clicking to you. On funded accounts that distinction is not stylistic: third-party software that routes orders can get an account closed.

Also in v0.7.4

• Depth panels remember far levels seen during the session (dimmed) instead of forgetting them with the feed window.
• Transparent app icon corners, indicator cleanups, and clearer history diagnostics when a Rithmic system returns an empty archive.

The update ships through the auto-updater. The full-depth work also lays the foundation for iceberg detection — order ids persist across refills on CME natives — which is the next chapter of this log.