I've attached an image that I hope clarifies this UI issue. Think of the bar as a total volume composite just like the pie dots display. I hope this helps. Let me know if I can further assist.
regards,
Bruce
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I have switched from IQ to Rithmic today and have seen only a couple of instances of icebergs, typically I would have expected to have seen many more with IQ. Are there any known issues with Rithmic data
There could be discrepancies with the Iceberg Detector between various data providers. It depends how the orders hit the book. You could even see discrepancies between the same data provider and differing platforms due to how the API for that provider provides the data for Bookmap to process. Remember, there is no magic here as this number simply represents the quantity of traded volume that is greater than the liquidity that was reported in the limit order book at that exact price and exact moment in time. There are a number of factors that can effect this, including the API and how it prioritizes the data stream during "fast market" or sudden flurries of activity, latency to the API provider and or from the API provider, and many more. Our Iceberg Detector algo does not change -- it makes the same calculation regardless of data feed, platform, or version.
Bookmap already supports OEC data for Stage5Trading and Gain Capital. Here's the complete list of data providers we currently supports:
Stage 5
Gain Capital
Ninja 7 & 8
CQG
Rithmic
IQ Feed
Transact Futures
TT API
Interactive Brokers TWS
Tradovate
AMP
You can add or edit a data provider at https://bookmap.com/portal/, then click on the "Manage Account and Profile, and edit your Account Connectivity / Data Provider input field.
Trading: Index Futures, Energy and Interest Rate spreads
Posts: 81 since Oct 2010
Thanks: 58 given,
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@Bookmap I have an idea that would help he a lot and want to add it to the list. I use 4 monitors, charts on each and a bookmap window on each. If I click the chart, bookmap moves to the back and I have to hover over the icon in toolbar and select correct instrument amongst 6, can you implement a feature where it would be something like "always on top" or "always in front"? When I used X_Trader in the past they had this and it helped in this scenario.
You use CQG data, however their data feed does not contain the indication of the trade's aggressor, therefore Bookmap estimates it based on current price, according to the most recent update. There may be a very short-time change in price when those trades occur. Try to zoom-in further to see if it's true. If not, then please send us this data file for investigation at support@veloxpro.com.
I am seeing frequent incidents of trade and Bid/Offer timing mismatch with OEC.
I assume you mean that some vendors expicitly state whether the trade occurred at bid or offer within the feed, if so which data providers give this.
In the example all trades occurred on the bid so I would have read the seller as the aggressor for the trades shown and hence expected red dots. The buyer will have had his order resting in the queue waiting to be filled.
Correct, some vendors provide aggressor's side exactly as it's provided by exchanges (1), some don't (2), and some provide it in an indirect way (3). I can't describe here each one of the vendors, but with OEC it's case #3: the trade event message includes trade price, size, but not trade aggressor flag as provided by exchange. However, the same trade message contains the BBO at the time of the trade, and this is how Bookmap determines the aggressor side. Please note that in cases #1, and #3 Bookmap relies on the provided information, and doesn't attempt to determine the aggressor side based on quotes stream because the quotes data stream may be out of sync with trades stream.
Again, you can send us a feed file with an example of wrong aggressor side, and we will investigate to make sure that it's not a bug in Bookmap.
Great job on the V6 enhancements.
Is it possible to have the option to remove the "time" column on the T&S
It takes quite a bit of space and can't be shrunken down.
Just want to maximise space.
Thank you
Thanks for the kind words! It's not possible to remove the Time column. However, you can click on the link icon in the upper left of the Time&Sales window and pop it out into a separate window.
regards,
Bruce
Bookmap Support
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@Jesal,
In addition to that, we plan to allow custom formatting of timestamp, for example to display only minutes and seconds. This will also free more space.
"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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Rather than have to drag and use use the +- keys to isolate a particular are it would be very helpful if it were to be possible to select an area to isolate.
For instance to examine just the activity within a defined move such as the the highlighted area below
Yes. The indicator panel colour is currently not changeable. It would be nice to have a black background option. I like the dark 'X-ray' look of Bookmap and the same for Indicator panel.
Yes. I would like the ability to turn off the horizontal lines.
Price axis bar in the indicator panel is fixed with 0 in the middle of the panel. If we have a trend day with predominate -ve delta like yesterday's selloff, then the real estate above 0 is a dead space. Ability to move the price bar up/down would allow to use the indicator panel real estate effectively. Auto-adjust based on delta values would be an alternative.
Finally, CVD widgets. They are awesome. If they can be detached separately from the panel, similar to Time & Sales window, it will save real estate again.
Understood. Thanks for the detailed explanation!
I added your points to our list to be considered as part of our future releases
Have a good weekend
Zack
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I am not sure what you are asking. If you'd like to take a screenshot in Bookmap, you can easily do so with Bookmap's Screenshot tool. Check the attached image "Bookmap screenshot tool.png" -- with one click you can easily post to Facebook or Twitter, or store it on your local drive.
If you want screenshots of the ES from the periods you mentioned, I was able to find them for you. They are attached.
regards,
Bruce
Bookmap Support
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-Can you please expand the 10 symbol limit at a time? This is a big limitation.
-If it's not financially feasible to expand the symbol limit, then can you provide some kind of limited historical data? Even if it's just data from the current trading day, so if you switch to a new symbol, all the trade history is there for the current session.
-When will you be offering more data than just Nasdaq total view/ Nasdaq last sale?
"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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Thank you for your suggestions. I have added them to our Product Roadmap suggestion list. At this time, we do not have any information on offering more than Nasdaq Total View and Last Sale.
Regards,
Bruce
Bookmap Support
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You can detach, minimize charts, and create a Workspace in Bookmap -- watch this video here. However, you can only have one Bookmap Workspace open at a time. To detach and minimize a Bookmap chart window, double-click on a tabbed instrument, then resize the chart from the edges. To save space, consider using only one Bookmap column in a chart. The smallest size for a Bookmap chart is 636x373 pixels. I hope this helps you.
Hi Bruce,
Made a quick video to describe some ideas that would (hopefully) greatly improve Bookmap's usability. Well, for me at least....
See what you think?
Thank you for the excellent feedback -- the video is really helpful. I will forward this to the team and also speak directly with our CTO regarding your suggestions and comments. Yes, I agree addressing these issues would certainly improve Bookmap functionality! Thanks again.
Our records indicate you are using Bookmap 5.0. There is a new feature in Bookmap 6.0 beta, where you can quickly adjust the Contrast Configuration black cut-off directly from the toolbar. Watch this video here.
Please consider trying the 6.0 beta version to see if this new feature does the trick for you. Log into bookmap.com and under the Getting Started tab you will see the link to download Bookmap 6.0 beta. I hope it helps.
Hi Bruce,
That's exactly the sort of thing I'm after except I din't use the black cut off, it's the large size highlight that I constantly use.
If it's possible to have an option for the Black cut off, is it also possible to have an option to also display the large size highlight scale?
I will document your Large Size Highlight suggestion for the team. In the meantime, try playing around with the Black Cut-off a bit. It might help clarify many heatmap configuration scenarios.
regards,
Bruce
Bookmap Support
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I'm sure something like this has been suggested before, however, could I suggest that a Contrast "Finetune-Cut-Off" configuration is added( where you can custom select the color). This way you could set for example a 99 cut off, and see the largest areas where the book has stacked up. This might not work so well for futures, but for equities, it's more common for there to be a large dispersion( range) in resting orders from the Median order size- So implementing a normalization algorithm becomes more difficult. An additional contrast setting could be the best way to deal with this.
FYI 6.1 B35 is a good improvement in performance.
"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
This is a great suggestion, thank you. I've shared it with the Development Team. We'll need to look into it in more detail. Anyway, I've documented your suggestion on our product roadmap and we will discuss it. Also, thanks for the feedback on Bookmap 6.1 Build 35 -- glad you are experiencing increased performance!
regards,
Bruce
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I have noticed some visual scaling issues with Bookmap for equities, due to the large dispersion in spread during ETH. The ETH spread can suddenly or sporadically exceed the trading range of the current day/ previous x days. This creates issues when trying to zoom in/ zoom out and see each day's RTH activity- Firstly it causes significant lag/ performance issues, and then if a stocks spread suddenly widens during ETH, it becomes very difficult to gain a good visual on the previous days trading activity, and you end up being zoomed in too far, or not far enough.
- The solution I propose is to create a new session time input, so a user could choose to only display activity between a user defined period 09:30-16:00
- There are always large volume prints( block transactions at the start(9:30) and end(16:00) of each day, which could skew the volume dots calculation. So being able to set a period of 09:30:01- 15:59:59, might be useful.
*It would also be very useful if you could use the hand icon to drag and scroll the chart up/down( vertical), instead of just sideways( horizontal), so that you could manipulate the heat map without having to expand or contract the vertical price axis.
"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
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Thank you for reporting this. I will inform R&D Development and certainly document your suggestions. There is a work-around that may interest you. Under File>>Refresh Bookmap>>Schedule, you can keep Bookmap open all week, but each day Bookmap will refresh and start anew at the inputted time of your choice (eg, US Equities cash open). Therefore you will only have the data for that particular day. You can have this repeat every day. You will not retain the week of data, just that specific day, each day.
Regarding the drag tool, I believe the feature you requested already exists. Right-click on the price ladder column, choose Recenter:none. Now hold down the Ctrl key and left click. The Hand icon should allow you to move the chart vertically without restrictions to price activity and recentering. Is this what you requested? Let us know!
Regards,
Bruce
The Bookmap team
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Thanks, Bruce, your suggestion re the drag tool is exactly what I requested! Admittedly, I hadn't used Bookmap in a quite awhile before the introduction of your equities product, and there are quite a lot more bells and whistles to what I remember.
I was aware of the refresh tool and it does partially solve my request. However, session time inputs would be a good logical progression.
The main concern for me is still the symbol limitation. I can't really adapt the equities product into my trading because I'm trading a basket of 100+ stocks( 5-6 trade per day) and I'm not alerted to a potential trade until certain conditions are met( Just before I'm about to execute). So it's no good then subscribing to a symbol, and not seeing any of the previous activity for the current trading day- I need to get lucky and hope that my conditions are met in 1 of the 10 symbols I'm already subscribed to in Bookmap. I'm sure that most people who seriously trade equities on an intraday basis have a watchlist, or a trading universe, much greater than 10.
"Free markets work because they allow people to be lucky, thanks to aggressive trial and error, not by giving rewards or incentives for skill. The strategy is, then, to tinker as much as possible and try to collect as many Black Swan opportunities as you can"
Yes, I understand that 10 symbols might be too few, since there are 1000's of US Equities. I'll voice your concern, but this is something regarding dxFeed and not Bookmap. Glad the Drag Tool will do the trick for you. And I'll document the request for session times, you're right, it's the next step.
Regards,
Bruce
The Bookmap Team
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Thank you for your interest in Bookmap. Bracketed strategies such as this do not exist yet in Bookmap, but I will add your suggestion to our list. As you mention, it is possible to write them in our API, but it does require Java knowledge.
In the meantime, there is a bit of a work-around that may interest you. For example, you could set 3 individual orders with bracketed stops and targets, and then manually move the SL and TP of these orders to the various areas of your choice. I hope this helps for the moment. Thanks again for the suggestion.
I like your suggestion about putting in the orders then manually moving the levels. It works great when it is slow. The issue I have is that when it gets moving fast I can't click fast enough multiple times before the market has moved. So the result is that I don't get entries that are as good as with a single click.
The other workaround I tried was to place a bracket order with the size being 3. That helps me get the perfect entry plus puts the stop in place for all 3 contracts. I then left the stops in place hoping that I could then separate the target portions of the bracket, moving my targets to the 3 levels I wanted. But when trying to move the target it moves all 3 contracts.
I assume there is no way to separate those targets? I tried various combinations of holding ctrl, alt, shift, etc while dragging them but no luck. Otherwise that would be a perfect workaround until a strategy bracketing feature gets added.
I really like bookmap but I have a few questions/suggestions.
With the API, is there any plans to create more indicators for the platform like CVD ? Not all of us are programmers or have time to even get into all that. Maybe as add-on ?
As a suggestion, I'd really like to be able to change the heatmap bid/ask colors. When the cut off is low it gets a bit too confusing and gets hard to see the flips in the book, especially in a fast moving market. Changing heat map ask/bid color (like jigsaw vista) would be very helpful I think.
Yes, we plan to add soon more indicators to Bookmap. some will be on the Bookmap chart and some on the indicator panel. If you wish to have a proprietary indicator, let us know and we'll try to hook you up with developers that work with Bookmap API
Regarding the heat map colors, note that the main reasons to keep same gray colors on both sides are
1. an easy way to compare the total size of limit buy and total size of limit sell
2. it enables to use different color for the BBO (e.g. green & red) which let you see the spread much better
In any case, I've added your request to our list and we'll look into it further
Trading: Index Futures, Energy and Interest Rate spreads
Posts: 81 since Oct 2010
Thanks: 58 given,
35
received
Hi Bookmap,
I often keep 1 bookmap market on top of some charts and it always goes to the back if I click elsewhere. An "always on top" option like what is in X_Trader would be really helpful. Can you add this to your list?
This is a question specifically to users... after 6 months has anyone worked with the API to develop execution strategies based on the data columns?There is much potential and I'm curious as to why,in this thread, the API isn't receiving more attention or a few more examples coded by users.
Do I really have to take it upon myself to learn Java and if so..how much Java do I need to learn in order work with Bookmap's API?
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Just starting to look at bookmap, using DTN feed is it possible to have the prior data or is bookmap live only, And also can a person use combined tickers, IE create a basket of say 5 stocks that are merged. Thanks
Right-click once above the market price to set you sell target, and then hold down shift and right-click once below current price to set your sell stop.
Repeat this 2 more times and you should be able to set 3 separate OCO that will scale out of your original 3 lot order. It also allows you to move individual stops and targets.
I have used this in the past and just tested it again. It works for me. Please test it and see if that works for you.
Once you open Bookmap, it begins collecting data. At this time, you cannot add historical data to Bookmap. However, we have many users that simply start Bookmap Sunday evening and leave it open for the entire week. This way, you'd be able to collect the entire week's worth of data. You can also open Bookmap and set a refresh date t begin collecting and stopping the data collection. This is a great feature is you want a data set of the cash session of a specific product.
Regarding combined pairs trading, there are already several combined pairs available from a variety of brokers or data providers. Therefore you can view or trade for example the 30yr - 10yr notes, etc. Check with your broker. They most likely will provide the oil crack spread, soybean crush, and other popular spread trading symbols. However, there is not the possibility to combine 5 diverse stocks within one symbol.
Thanks for the suggestion, I will add it to the list. On our product roadmap, we actually have something similar and potentially more insightful than the total bid feature you are requesting. This is something we will tackle a bit later this year.
You may also consider checking out an aggregated view of the historical liquidity under Studies Configuration>>Heatmap. Check the boxes for Extended and Aggregated book. Please see attached image. This heatmap study displays the overall historical aggregation of liquidity of one price levels added to the next. This setting can also be accessed in the DOM (see arrows in the attached image). Right-click in the COB column, choose Format, and check the Aggregate box. Perhaps this is something you find helpful.
I need more practice to get quicker at it if I am going to try that in a fast market, but I think that might be a decent option until a bracketing strategy becomes available.
Hopefully that feature will make its way into a future version, but until then I will try this as a workaroud.
i am using OneClick Trading to enter / exit the market. Sometimes when waiting to click a certain level BM recenters and this is can be painful while being concentrated to catch the right entry.
So i came to the idea whether it would be possible to automatically disable the recentering while the mouse is in there area where you place orders (right side of the chart). Ideally it would be an option in the recenter options to disable recentering while the mouse is in that area.
Trading: Index Futures, Energy and Interest Rate spreads
Posts: 81 since Oct 2010
Thanks: 58 given,
35
received
I don't work for them but have been a longtime user, just right click in the price column and select autocenter: none. You can also move price up and down by holding down control and dragging price column.
I know this option working with BM also as a long term user - thanks. but this is not what I suggest. I am asking to have the chart recentering except when I'm about entering a trade . Always toggling the option is not very comfortable
thank you so much for always keep updating the version for the user. great job bookmap team!!
here is my 2nd and last suggestion.
I am also using the sierrachart platfrom to see the orderflow. I have some suggestion based on my experience on sierrachart. Bookmap has the own class , no doubt.
I have using this type of Chart which can "filter" the size in the dom . So it can give us and focusing on the specific size.
The chart below show the filtering size by "range" that can be set and has the specific color.
PINK: more than 400 Lot
RED: more than 300 Lot
BLUE: more than 150 Lot
Low: more than 100 Lot
For example: if the chart show the PINK color, we know that the size is between 300 to 400 Lot. We can zoom in to see the actual Lot.
I believe, this is very important INFORMATION for trader because the SIZE represent the smart money in the market. Although sometime they are using the iceberg order. at least we can see the "bigger picture" by filtering the lot and see the idea from it.
This filtering can give some idea on the auction behavior. Sometime i can see the "algo" behavior like shown below by filtering the SIZE in the market.
I can say this type of reading by filtering the Lot can give us some idea on the activity market.
i really like BM with one click trading. I was just wondering whether a different way of ordering could be offered.
Basically i am thinking of 2 columns (one buy / one sell) similar to what sierrachart offers on the chart DOM. Also setting the order actions like sierra would be really beneficial so every user could adjust it to his needs. (see attached screenshot)
Maybe that would be a great enhancement which other clients would like to have.
Best Michael
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Hi Bookmap team,
Quick question for you regarding the trading app/add on.
I use TT via my broker, and Bookmap connects to this feed.
I have used Sierra charts and Ninja Trader charts to trade off before, and the way that orders are sent to the exchange is a rather murky area.
To be as clear as possible, if I trade using Bookmap and have a stop limit order in place using Bookmap, when I click on Bookmap and the order is entered onto the chart, is this order being sent direct to the exchange, or is the order only sent to the exchange once the level is breached?
Similarly, if I have entered a position and have a Stop Loss order at Market price (and not a limit order), is this Stop Loss Market Order being sent to the Exchange as well, or is it only existing on the Bookmap system and is sent to the exchange when this price is hit?
I hope that makes sense. In my previous experience with trading from charts, what I found out is that sometimes the orders only rest locally on your PC or on the application itself and are not transmitted to the exchange until the price is reached. In a fast market this could be extremely dangerous with prices moving large amounts meaning large amounts of slippage.
After updating Bookmap because of a dialog reporting a fix is available, I now have a trade size in parentheses next to aggregate traded volume at price. How can I get rid of that and still aggregate last trade like before, and why is there no documentation for that?
Just installed the new BM7 beta. Excellent implementation of this request (even it was planned apparently before this request). Also i do like the additional heatmap colouring option - Great !
Once a stop limit price is reached, the order becomes a limit order at that price level and is seen as liquidity in the order book at the exchange. A stop loss order is not seen by others. Once the stop order price is reached, the order executes as a market order. Sometimes stop loss orders are held on your broker's server, other times it is held locally on your machine -- it really depends on the broker or data provider. You need to contact them and ask. I hope that helps.
You can turn off the Aggregation of Last Trade under the Configurations tool (sprocket icon on the toolbar in Bookmap 6.1 and lower. In Bookmap 7.0 find Configurations under Settings). Deselect the Aggregate Last Trader option. However, this has been a highly requested feature. Watch this video for more information. You may choose to use this functionality.
I wanted to add a request for consideration, would Bookmap be able to investigate supporting data connection with DTC? (DTCprotocol.org). Being SierraCharts open source connection.
I recently installed bookmap (v6.1 build 70) and I'm using Ninjatrader v7 (latest build).
I have added bookmap as an indicator to three of my charts ES, CL and ZN.
The problem I'm having is that ninjatrader lags pretty bad when there is significant movement in the markets. By lag I meant the NT dom lags (can't move or place orders, price doesn't update for 2-3 seconds) as well as NT charts not updating promptly. Bookmap seems to be running fine with no lag while this is happening.
If I remove the bookmap indicators from the three charts in ninjatrader then the lag no longer happens.
I installed bookmap on a new ssd drive separate from NT and the OS to see if it helps but the problem still occurs. I did notice that the bookmap\cache folder grows to about 2.5 GB by end of day. Not sure this is normal.
When I check system performance CPU usage is about 10% (with one of the cores peaking about 70%), memory is mid way and disk at about 2%. Running on AMD Ryzen 1600, 16GB RAM, Samsung 960 M.2 ssd.
Is anyone else here running bookmap with Ninjatrader as an indicator? Any lag or performance issues?
Please make sure that both Bookmap and NT are set with equal priority as shown below. It’s highly recommended to set both with Normal priority. Based on your description it’s likely that Bookmap has higher priority than NT. Bookmap itself never sets or changes those settings. The default priority is Normal, set by Windows OS. However it happened in the past that Bookmap users change this settings manually and then forgot about it. If this is not the case and you still have this problem, please contact us and our tech support will help.
Indeed, if the problem is as suspected above, this wouldn’t help.
Yes, this is normal. Market data typically consists of 90-97% of market depth updates (order book) and the rest is trades data. This is why observing market depth is so important. But that also implies technological challenges. Note that most trading charts don’t need to handle market depth data and even the trades data is aggregated into candlesticks. Even if those charts display DoM, they need to handle only the current snapshot of market depth.
Bookmap chart may contain millions of market data events. The technological challenges are to allow smooth real-time chart display like HD video experience and also to allow quick and seamless chart manipulation. This required fast access to the market data collected so far. Handling all this data in RAM is not an option due to the large amounts of the data which can reach many gigabytes before compression. To solve this we have developed a proprietary database and a data structure that effectively use both RAM and disk drive. The Bookmap\Cache folder contains the latter. It can easily grow to several gigabytes and it’s normal. The proprietary data structure is optimized for fastest access with both SSD and HDD, but SSD is obviously faster.
There are two main folders which Bookmap creates during installation by default:
Installation folder. By default: C:\Program Files\Bookmap\
User folder. By default: C:\Bookmap
From the performance point of view it doesn't really matter on which drive you have the Installation folder. But if you have enough space on your SSD drive, it’s recommended to put the User folder on it because this is where the market data is maintained by Bookmap and SSD is faster than HDD.
We are considering to open the development of adapters that will enable to connect Bookmap to any platform as open source projects for traders and programmers. It will enable to connect Bookmap to any market data and trading interface. The adapters can be developed using Bookmap Layer 0 API. In fact, this is how the adapters for already supported platforms were developed by Bookmap team. Here is more information about Layer 0 API:
In general the access to Layer 0 API requires Bookmap Quant license. This allows firms and organizations to use Bookmap with their own market data and trading interfaces in both real-time and Replay. But we can give access to it for free for software developers in cases when the adapter that is being developed is an open source project and connects to popular platforms such as Sierra/DTC. Once the adapter is ready, all traders will be able to download it and plug-in into Bookmap without the need to access L0 API.
For best user experience Bookmap has to receive high quality market data with full market depth (order book) as a stream of incremental of updates, stream of trades in a form of Time & Sales, and to be able to use server-side orders management such as OCO and Brackets. Is this the case with DTC?
In my case, the bookmap process shows as javaw.exe since it's running under the java platform I guess? It is set to "Normal" priority. Ninjatrader is also set to Normal, I never changed these values. I am running Windows 10 btw.
Not sure if I mentioned this, but even if I exit bookmap but keeping the bookmap xray indicator running in the ninjatrader chart, I still experience the lag. Again, this lag is usually apparent under heavier market activity. At this time I'm only running CL and ES on bookmap.
Thanks for the detailed reply, what you are offering would be amazing.
There are other FIO users who have more experience with custom interfaces using DTC than I do, but from what I have read in the specs guide everything you mentioned is supported.
Let's see if we can get some support and maybe start a github repository.
If anyone wishes to develop Bookmap/DTC adapter, please create a project on GitHub and send us an email with request to Bookmap's Layer 0 API. At a later stage we will created a mechanism for self-enabling the API access via our website, and also a place for developers community to list and discuss all ongoing projects.
Regards
Sergey / Bookmap
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Hi. Thank you for clarifications. You will see bookmap.exe instead of java.exe with new version Bookmap 7. It's available on the website. Although it has some nice features (see here: https://bookmap.com/release-notes/), it doesn't guarantee solving the problem that you described.
The next candidate for the problem source is your Antivirus (specifically host intrusion prevention system, sandbox) that may cause the lag. Try to disable your antivirus, and then completely reinstall Bookmap.
If this doesn't help, update NT7 to NT8. NT8 seems to run indicators in a separate thread, not the UI (user interface) thread. So, even if communication between NT and Bookmap isn't fast enough to handle spikes in data stream, the UI of NT8 will not freeze. This would be at least a workaround.
In general, please note that NT doesn't have a standard API exposed to other processes. It's only intended to indicators (NT scripts), running inside NT process. But because Bookmap is itself a standalone program, it cannot be rewritten as NT indicator. Instead, when you add a Bookmap indicator to NT, this indicator communicates with Bookmap through Windows interprocess communication protocol. While it's pretty fast and we've done a lot to optimize it, it's not as fast as direct connections as with the rest of platforms and API's that Bookmap supports. Also, this interprocess communication can be blocked or slowed down by Antiviruses as false positive detection. So, please try the above steps and we'll decide how to proceed based on the results. You can also write us and request remote desktop support, just mention this post as a reference.
Why doesn't bookmap provide best bid/ask prices for equities? you should really offer level 1 in combination with totalview, otherwise its kinda useless for equities. I was looking at some stocks in bookmap, and seeing spreads of 30-50 cents, I checked my level 2 and the spread was its normal 5 cents or so.
I can't speak on behalf of Bookmap, but my guess is that it has to do with the data feed. Bookmap is driven off of one data feed and you might be seeing L2 data driven from several different feeds/exchanges.
To clarify, Nasdaq Totalview does contain best bid/ask, which is simply the top of its full market depth data. But I assume that you refer to NBBO that reflects the consolidated top of the book from all exchanges. We are reviewing the available options with Devexperts (dxFeed provider) and will send an update here during this week.
Regards
Sergey / Bookmap
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Thanks to Bookmap for addressing a very much needed functionality to make US Equities useful. I agree totally, it needs more than just NASDAQ Total View to get a complete picture of the market data. Bookmap support linked me to this thread so I can follow the conversation (because I've been pestering them about this).
Yes, totally. I registered on this forum for this very question.
Looking forward to getting this update for Bookmap,
Thank you all for your interest! Here is an update.
Devexperts, the dxFeed provider, is already the the process of adding CTA and UTP data feeds, containing 5 levels top book from all exchanges. This will be added to the currently available Nasdaq Totalview. Bookmap will adjust its data handler in order to avoid double counting Nasdaq Totalview data. Another undergoing process in parallel is adding full market dept data from BATS.
We will send an update about it and about the pricing of data packages once we have more information. We expect the price to be very competitive even comparing to data vendors that provide much lower quality of equities data.
Regards
Sergey / Bookmap
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I'm so excited for this... Once these updates are implemented, Bookmap will become very popular here in the US for day traders, I believe. I certainly will brag about it on my own Youtube channel for sure.
It's true in some stocks. It highly depends on where this stock is most traded. However, in some stocks Nasdaq Totalview alone is already quite useful as illustrated below.
Here is an unofficial storytelling about 1 hour of IBM price walking during last Friday.
Large orders in Market Depth appear orange on the Heatmap as the colormap on toolbar suggests.
Please don't take this trading strategy too seriously
hi there @Bookmap (Bruce/Sergey/Elay, Bookmap team)...... is there a chance of dumping all the stats of Bookmap into Excel alongwith any add-ons Bookmap offers such as hiddens, CTC, etc. If not can you think of any add-on's...i think there is tremendous value in this to dump all stats in respective columns with price...
pls do let us know your thoughts and also will be great to know of any future roadmaps you are currently willing to share with your customers
Great thanks Bruce and Bookmap team for considering the request. That will be a great add-on. Not available anywhere. Also will be unique to see full Tape not only as it flows on the Bookmap screen. But along with full entirety to for full blown very minute startegies as it relates to Order Flow. The better the feed the better will be the research. However Bookmap will then capture everything. Am real excited and hoping this will be seen later this year.
Please note that full market depth is already available.
Allow me also to comment your screenshot, mainly the fact that It display just 10 price levels of ES. The rest of the market depth on heatmap is the result of "Extended market depth" functionality. It simply extends the last known values for market depth outside 10 levels. Therefore in most cases it's not the actual market depth. In fact more than 90% of the chart area here represents not the actual market depth, but its extension, i.e. estimation. As you can see, only the 10 price levels above and below current price are being updated. Besides, you can switch off this feature and see zeros outside the 10 levels range.
Note that all stocks exchanges and crypto exchanges provide Full market depth, in many cases even order-by-order, so in their cases the Extended market depth is not needed. Full market depth means that, for instance, for MSFT (~$95) you receive market depth data for all the price levels from 0.01, 0.02, ... and up to 1999.99. Note that it doesn't increase very significantly the amount of data because most of the activity occurs near the current price. But it gives the full picture and allows to use market depth as indication for long term investments also.
We see that all "new bookmaps" that recently appeared in the industry use this "Extended market depth" functionality. When we added it to Bookmap 3 years ago it was indeed valuable because for Futures (e.g. CME) it was better than nothing. It was "the best guess". And because no other traders had access to the data outside 10 levels (or 20 in some cases), this feature was useful and at least could not harm. But since a year ago CME started to provide Full market depth (MBO - market by order). Since then this data is accessible by other traders. Moreover, those who have access to full depth (especially big traders) also know that a large proportion of traders do not have it, or that they have Extended depth instead. I would expect them to use this knowledge too.
So, in my opinion, currently "Extended market depth" feature does more harm than good for traders. I think it's even better to switch it off and see zeros outside the 10 levels rather then using "extended" while other traders have access to full depth. See those two images for example. One was created with 10 levels market depth and another with full market depth.
Note: Stage Five brokerage does provide connectivity to full market depth via Rithmic. Only in this specific case S5 Bookmap was connected to 10 levels data.
There are 2 main problems:
1. It can mislead a lot. For instance, compare orders that appear on "extended depth" at 2688 at 15:00. Or at 14:44 at 2696, and so on. According to "full depth", these orders were quickly cancelled while they still appear on "extended". This is especially problematic when looking at larger scale because 10 levels is a narrow 2.5-points range. Or when recording started long ago (as on your case), for instance, since a previous day. In such case most of the data shown by "Extended" should be assumed invalid. But it does distort the image and also affects the scaling of heatmap in places where the data is valid.
2. In many cases an important information is outside 10 levels. For instance, those strong levels at 2690, 2695, 2700 were there since 6 hours ago (see large scale image), i.e. since 08:35 according to "extended" chart (it's Chicago timezone). Besides, in zoom-in view I see that it's just 3 large orders. Then 20 minutes later at 08:55 the price reached local maximum at 2680, which is still 40 price levels from 2690, so it was not recorded by the Extended market depth until these levels were reached again 6 hours later.
So, it's highly recommended to use full depth data wherever it's provided by exchange even if it costs a little more. It can give a trader only an advantage. Try it and see yourself. Unfortunately, not many futures data vendors provide full market depth. As far as I know, among data connections supported by Bookmap, only Rithmic provides full depth for all products at CME. Note, Bookmap doesn't have any special affiliation with Rithmic: we don't share revenue from neither data nor commissions. The analysis above is my personal and hopefully objective view of the issue.
Best Regards,
Sergey / Bookmap
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I often prefer a bit larger scale when viewing a market (like a 20 point range in ES). When I do that though, the numbers on the COB and other columns like Quote Delta only show those of the corresponding price levels, which are 2 or 3 tick increments. Also, the totals numbers on those columns overlap the individual price level numbers. It seems like a simple way to change the font for those items, or the application-wide font for numeric display, would would be a simple way to fix that.
Also, and I've mentioned this before, I'd like to be able to change the pixel width of the Bid/Ask and traded price lines to a single pixel, just like the crosshair line width. This also seems like a simple change.
Thanks for considering
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