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! 