Something I think would be really useful is a simple dashboard-type graphical indicator that shows the extent at which order flow at the bid & ask is impacting the market depth at those prices.
So for example, a filled bar (like the market depth bar in the Level II window) or a 'speedometer' type widget that is dynamically updated, but instead of just showing the current market depth it also shows order flow into that price.
Reason being, the market depth in the Level II window shows total limit orders at that price, but you can't easily see how much of the activity is due to people placing & removing resting orders, and how much of it is because market orders are actively consuming (hitting or lifting) the limit orders.
This info is available in other places, but showing both in one widget would give a better indication of the extent to which market order pressure is dominating limit orders. I think it would be a great way to see absorption, changes in buy/sell pressure, and how likely it is that price might be about to change.
Added a mockup which might help get the idea across.
So for example, a filled bar (like the market depth bar in the Level II window) or a 'speedometer' type widget that is dynamically updated, but instead of just showing the current market depth it also shows order flow into that price.
Reason being, the market depth in the Level II window shows total limit orders at that price, but you can't easily see how much of the activity is due to people placing & removing resting orders, and how much of it is because market orders are actively consuming (hitting or lifting) the limit orders.
This info is available in other places, but showing both in one widget would give a better indication of the extent to which market order pressure is dominating limit orders. I think it would be a great way to see absorption, changes in buy/sell pressure, and how likely it is that price might be about to change.
Added a mockup which might help get the idea across.
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