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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.
Keep us posted Sergey,
Davide
Can you help answer these questions from other members on NexusFi?
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.
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.
