Hi guys. Your stuff has helped me a lot! Soon I’ll be a life time subscriber.
I would like to suggest a feature that might also help, similar to the existing solution, it would/ could be a tickstrike for Level 2.
My thought here is that orders might stack or be pulled before a significant move.
And see how this correlates to the actual existing tick strike. For index the following might need to happen. You might need to create a synthetic tick strike, related to the ES for example, taking into consideration the weight of each symbol from that index.