Do you have to pay for a new data feed to use Bookmap? I don't think my broker allows feeds to be shared between software.

Do you have to pay for a new data feed to use Bookmap? I don't think my broker allows feeds to be shared between software.

Hi Paps, Thank you for your feedback.

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.

You can see these and other images here

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

Hello,
i just started using bookmap global + but i do not have any historical data feed to train with the replay, do you know how to get one?
I try with the market replay of ninjatrader but it does not display the large lot tracker and the price levels only update when the price touches them ,well it does not work.

Hello,
i want to open 2 chart for the same instrument, i tried to open a second chart but i have this message: already subscribed.
How to have 2 charts for the same instrument?

Thank you.

Hi Bookmap,

Is there a technical reason for dumping the reconstructed TnS?
Don't know about others, but its been very useful to me.

In fact it would be great if there were "reconstructed" volume dots.