Heatmap footprint mode

Two heatmaps, two data sources

The word heatmap is used for two different things in orderflow software. The liquidity heatmap colours the price and time plane by the size of resting limit orders reported by the order book, so it shows what is waiting. The heatmap footprint mode colours the levels of each bar by what already traded there, so it shows what was done. The first needs depth-of-market data; the second needs trades only. The comparison guide on footprint, heatmap and DOM develops this distinction.

• Heatmap Volume: colour intensity follows total contracts per level.
• Heatmap Trades: colour intensity follows the number of executions per level.
• Heatmap Delta: colour hue follows the sign of ask minus bid volume, intensity follows its size.
• Heatmap candles: a separate option that fades whole bar bodies by their total volume or delta, so busy bars stand out and quiet ones step back.

Reading it

• The hottest cell of a bar is its point of control; a bar with one hot cell and cool neighbours accepted a price, a bar shaded evenly moved through.
• In Heatmap Delta, a bar whose top levels are one colour and bottom levels the opposite shows aggression that changed side inside the bar.
• Colour scales are relative, so the same shade does not mean the same count from one day to the next.
• An unshaded level is a level with no recorded trade, not a level with a small one.

In Senzoukria

The Heatmap family of the Footprint type chip on the footprint screen holds Heatmap Volume, Heatmap Trades and Heatmap Delta. The Heatmap candles option, with Off, Volume and Delta choices, applies to the candle bodies and can be combined with any cell mode. These are footprint renderings and remain on the footprint screen.

The liquidity heatmap is a separate screen, reached from the Heatmap entry of the navigation, with its own settings panel organised in sections such as Profiles, Rendering, Liquidity, Trades and DOM ladder. It requires a source that delivers order book depth, such as Rithmic on futures or the exchange feeds on the crypto screen.

Common mistakes

• Expecting the heatmap footprint mode to show resting liquidity. It shows executions; it cannot show an order that has not traded.
• Comparing colour intensities across bar types or across instruments; the scale is local.
• Turning on Heatmap candles and Heatmap Volume together and reading the candle fade as a per-level signal. The fade is per bar; the cell shading is per level.