Order Flow Market Depth Map

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Order Flow Market Depth Map

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Description
A real-time data indicator that displays the highest market depth volume received at each price level per bar, then maps them to the chart in comparison to other market depth values received within the visible area. This is done by taking the volume range and applying each depth value 1 of 20 opacity values, set by selected bid/ask depth colors. The larger the depth volume, the more opacity the area will have. 

 

tog_minus        Order Flow Market Depth Map Overview

Display
After applying the Order Flow Market Depth Map it will begin to plot off of real time level II data.

With the ES chart below there are 20 real-time market depth values, 10 at bid or below and 10 at ask or above. By default, depth values received at higher or lower values will be extended to the current bars.

 

1) The areas with the most opacity indicate the areas with the largest market depth volume within the visible area.

2) The areas with the least opacity indicate the areas with the smallest market depth volume within the visible area.

3) The area between the last price and the price axis is the current depth values building for the current bar.

 

OFMDM1

 

 

Shown in the image below, Enabling Show bid/ask line on close will display a line on close for the bid and ask prices.

 

OFMDM2

 

 

Using the Order Flow Market Depth Map
The Order Flow Market Depth Map is able to easily display high and low levels of market depth volume, both historical and real time.

 

OFMDM3

 

 
Being able to see high market depth volume can help show potential areas of support and resistance. In the image below we can see there is some large volume at 2790.00 which has created an area of resistance.

 

OFMDM4

 

 
Additionally the Order Flow Market Depth Map makes it easy to see when large volume has been added and removed as seen in the image below.

 

OFMDM5

 

 

 

Notes: Level II data is required for this indicator to function.

 

 

Critical: Equity instruments are not supported. There is a limitation in which only one ECN or market marker will have depth provided per level.

 

tog_minus        Order Flow Market Depth Map Parameters

 

Base volume range on

 

Percent

Distributes the opacity levels of the map based on the depths percentage in comparison to the exact volume entered for the Maximum volume range and Minimum volume range

Exact volume

Distributes the opacity levels of the map based on the depths volume in comparison to the exact volume entered for the Maximum volume range and Minimum volume range

Maximum volume range

Input that indicates what values would have the most opacity

Minimum volume range

Input that indicates what value would have the least opacity

Opacity distribution

 

Low

More values have less opacity

Normal

Opacity levels are evenly split between the highest and lowest depth volume received.

High

More values have more opacity

Real time depth margin

The margin of pixels (between the last price and time axis) to display the currently building market depth map

Extend last known volume

If enabled, areas where no market depth was reported, but a market depth was reported to the previous bar’s price level, the value will be carried over to the next bar. It will continue carrying over until a new market depth is received at that price.

Color for bid depth

Color for depth on the bid side of the market

Color for ask depth

Color for depth on the ask side of the market

Show bid/ask line on close

If enabled show the line on close for the bid and ask prices