Orderbook Heatmap / Historical Market Depth

Would be a great feature to include an Orderbook Heatmap / Historical Market Depth.

I second this. It would be a lovely addition to a lovely platform.

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I add my vote to this. I really want to have this tool as well. It would be a great addition.

Please! Any bookmap style features would be an amazing addition!

Please add this to the Desktop and Web versions! When traveling this would be amazing to see the data on your preferred iDevice while executing on your laptop, etc.

I am using Jigsaw Daytradr for this (amazing BTW), a few larger firms are looking to implement Bookmap and others as a plugin to their default platform (think ToS and TradeStation) and there is good reason! It provides info that other chart types cannot on their own. IMO it does not replace other charts but when combined, it is invaluable! Better tools + more successful trades = more Tradeovate customers!!!

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We’re currently doing some research on adding this to the platform. I will keep this topic updated

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Came across this platform that has a good heatmap with volume / imbalance / trade size features

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One quick question for the community related to this:

As CQG is our data source, we are confined to some limits they have related to number of levels they provide in their Depth of Market feed. As you know, currently, for products like the ES, NQ, etc this is 20 levels (10 levels on the bid + 10 levels on the ask). If we construct the heatmap with that data limitation would it still be of interest?

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I’m still interested in having it because the 10 levels on each side are where the MM are active which creates liquidity and localized bid/ask pressure that in-turn creates the price movement.

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@BWeis - 10 levels not very handy. TOS has Bookmap with full book, even though they normally dont have full book available the Bookmap plugin has the full data.

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I was about to ask for more levels for other purposes. It seems to me that CQG is limiting quite a lot for your platform. The recent CQG bottleneck that took your entire customer base out during trading hours makes this evident.

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anything is better than nothing although clearly full depth is more useful.

What it can be done is to have Rithmic as another data option for those who wants this feature if a premium fee is required to enable this feature that requires multiple levels of Bid/Ask.

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@BWeis We would appreciate a new/better data provider for the heatmap for more price levels and because there have been lots of sub-minute data freezes during times of high volatility

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CQG is no good for heat maps. I wouldn’t be interested. If you get Rithmic and we can have full depth then it would be of value. Also of value would be market by order to know your place in the queue.

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Orderbook heatmap is the main reason I keep asking for Sierrachart (Denali feed) data & routing support (besides the fact that it’s the best in the industry but yeah I’m a nerd)…

But like so many others have pointed out here, CQG still does NOT support full market depth even years after CME group introduced it (besides CQG not being great in general) but only 10 levels depth which is “meh”.

The best solution by a mile is Sierrachart with their in-house Denali feed (Rithmic is another, but not as fast or reliable, it’s a lot like CGQ). Sierra’s Denali feed uses Aurora datacenter colocated right at the CME exchanges and their routing uses TT-FIX which also has exchange-colocated TT server and has never been bested afaik (which is why all the pros, prop firms, banks etc all over the world use it).

And Sierra also has 100% customizable “bookmap” charts included for free!

Seeing now that I’m not the only one who wants this feature (it’s on top of the requests list here!) could you PLEASE VOTE and comment on the relevant request threads below?! That’d be awesome! :smiley:


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@ZenTime
Interesting I always thought Rithmic was the best in market depth.
How does Denali compares to IQfeed and Barchart? I see that you are a data feed connoisseur :smiley:

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Hi JulioC!
Yeah well it’s just not. But it’s the second-best option after Sierra’s Denali feed if you want full market depth (800 levels or so instead of 10) since a bunch of data providers still haven’t implemented it. Still would much rather use Sierra, though.

I don’t know about “connoisseur”, I just need the fastest and most reliable data possible and nothing less. This may not apply to you, I don’t know. If you’re just a swing trader with big stops, none of matters that much!

Pretty much tried all the feeds over 20+ years. IQfeed and Barchart are OK, I suppose. Most of them are “OK”. Not a fan of CQG, though (but it has its place - if you want to trade exotic markets like my local Australian index futures (S&P200) you may not have another choice. But since Tradovate doesn’t even offer those markets, it’s irrelevant, and so CQG should be avoided imho. They used to be great, many years ago. Not anymore.

How do they compare to Denali? Well, Denali has exchange-colocated datacenter with high-speed connection and redundancy, typical delay is <1.5ms afaik. With most other feeds it’s at least a dozen times that or more. Again, really depends on your timeframes and risk tolerance whether this matters to you (slippage from delays, data outages etc). All the same applies to Sierra’s order routing service, too btw (because they use TT-FIX directly plugged into exchange which is what most pros worldwide use).

I think the only downside to Denali feed is that it costs a bit more than the others (maybe 5 bucks a month?) but to me it’s a no-brainer because their feeds are just impeccable.

The best datafeeds today are Denali (Sierra), TT, eSignal and dxFeed as well as some exotic (and very expensive) options. The “retail” feeds (CQG/Continuum, Rithmic etc) are just behind nowadays. Just bear in mind that this can change at any time. For instance, CQG used to be one the best feeds in the world (some 10-20-odd years ago) but not anymore.

Why don’t you just try them all out, compare and measure them (objectively - with latency traceroutes, DOM vs DOM live etc) and draw your own conclusions? That’s how I came to my conclusions. You’ll probably come to the same conclusions as me but don’t believe anything you read on the internet (including what I wrote!) Do your own testing if you want to be sure! Good luck! :slight_smile:

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Now, I am intrigue and want to try them out :sweat_smile:
DxFeed I heard is good, specially for equities in the USA. It is funny how many Data Feed companies there are, some commercial and some less known but more advanced.
I would definitely like Tradovate to have some other options for data feed as well, and as well as more connectivity to third party software like SC, Bookmap, etc. We shall see how it progresses as I am so far satisfy with most of the features as I come from Schwab

Cheers.

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Sure, just try them side-by-side if you can and pay attention to delays, updates and (missing) volume.
If you want to know specifically why Rithmic isn’t so good it’s because it shows inaccurate volume data, which can really mess up things like DOM trading and bookmaps. This is in fact the main reason Sierrachart stopped supporting Rithmic altogether. Also, they’re a bit unreliable, including regular disconnects or even outages (like CQG). By the way, if you use Sierrachart (the charting software) you won’t need to subscribe to bookmap because they have their own, 100% customizable version of it already included. They call it “historical market depth” (like the title of this thread).

If you want to study data feeds, be prepared to ask some questions. All data is different. Is it direct, unfiltered? Or is the data filtered / massaged? A lot of feeds do that. Compressed data? Snapshot-only data? A lot of feeds do that, too. For an extreme example, IB (Interactive Brokers) only gives delayed 250ms “snapshots” of live market data or at least they used to the last time I checked.

And yes, Tradovate should offer more datafeed and routing options. Like some of the feeds I mentioned as “the best” above. :stuck_out_tongue:

One can only hang on and hope… And keep upvoting! :stuck_out_tongue:

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