In cockroach Malpighian tubules are located in 

The hemocoel (body cavity where blood flows) of cockroach is divided into 3 sinuses due to the presence of a ventral and dorsal diaphragm. The pericardial sinus is present above the dorsal diaphragm. The perivisceral sinus is present in between the dorsal and ventral diaphragm.

The perivisceral sinus is also known as middle sinus and it is the largest sinus that encloses most of the visceral organs including alimentary canal.

Malpighian tubules are present between the junction of midgut and hindgut of alimentary canal.