· HEATMAPS
Absolute and relative colour scales on a heatmap
An absolute colour scale ties each colour to a contract count. A relative scale ranks levels on screen. One ES book in Liquivue, read both ways.
SHORT ANSWER
An absolute colour scale gives each colour a fixed contract count, so a 480-lot looks the same overnight and at the open. A relative scale colours each level against the largest level in view, so colour shows rank. In Liquivue, test which scale the heatmap uses before you compare two screenshots.
A heatmap colour scale is the rule that turns resting size into colour. The two common rules are absolute and relative. A liquidity heatmap draws the order book over time, with price on the vertical axis and resting limit orders as colour. The scale decides what a bright cell means. The note on the brightest band on a heatmap showed one band going dim when a bigger order arrived. This note runs one book through both scales and shows where each one misleads.
What each scale does
A relative scale gives full colour to the largest level on screen. Every other level gets a share of full colour equal to its size divided by that largest size.
An absolute scale gives full colour to a fixed size that you choose, called the cap. Every level gets a share of full colour equal to its size divided by the cap. Levels larger than the cap draw at full colour.
The example book
Here are invented resting sizes in the E-mini S&P 500 future, ES, at two moments on the same day. The 480-lot bid at 5,058.00 rests unchanged through both.
| Price | Side | Size at 03:00 | Size at 09:35 |
|---|---|---|---|
| 5,064.00 | Offer | 350 | 900 |
| 5,060.00 | Bid | 220 | 650 |
| 5,058.00 | Bid | 480 | 480 |
| 5,050.00 | Bid | 0 | 2,400 |
At 03:00 the largest level is 480 contracts. At 09:35 it is 2,400 contracts.
How the relative scale draws it
At 03:00 the 480-lot gets 480 divided by 480, or 100%. It is the brightest band on the chart.
At 09:35 the same 480-lot gets 480 divided by 2,400, or 20%. The 2,400-lot at 5,050.00 now takes full colour. Not one contract at 5,058.00 changed, yet the band there dropped from full colour to one fifth of it.
The 220-lot at 5,060.00 shows 46% at 03:00. At 09:35 it is a 650-lot at 27%. The level nearly tripled in size and drew darker.
A relative scale shows which level is largest on the current screen. It cannot tell you whether a level grew or shrank between two screenshots.
How the absolute scale draws it
Set the cap at 1,000 contracts. The 480-lot gets 48% at 03:00 and 48% at 09:35. The 220-lot gets 22%, then 65% once it grows to 650. Each colour change now matches a change in size.
What the cap hides
The 2,400-lot at 5,050.00 is above the cap, so it draws at 100%. A 1,000-lot would also draw at 100%. On this scale the two look the same, although one is 2.4 times the other.
Raise the cap to 3,000 and the 2,400-lot gets 80%. The overnight levels then draw close to dark. The 220-lot gets 7% and the 350-lot offer gets 12%, so at 03:00 no level on screen reaches half colour.
No single cap suits both sessions. A cap set from the open hides the overnight book. A cap set from the overnight book turns every level at the open into full colour. Each instrument also needs its own cap. A cap that suits ES will not suit a thinner contract where 50 contracts is a large order.
Reading the same book in Liquivue
Liquivue draws resting size on its futures heatmap and places trade bubbles on the same axes. In this example, the Liquivue heatmap at 03:00 would show the 480-lot at 5,058.00 as the clearest band near price. At 09:35 the 2,400-lot at 5,050.00 would sit eight points below price. Trade bubbles would mark any contracts that traded into either level.
The Liquivue pages this site reviewed describe the heatmap layer but do not say which colour scale it uses. You can test it in two minutes. Pick a level near price, read its size on the Liquivue DOM and watch its colour. If a larger order appears elsewhere and this level's colour changes while its size stays the same, the scale is relative. If the colour holds, the scale is closer to absolute.
Once you know the rule, read size changes from the DOM and use colour to find levels worth reading. Liquivue also has volume and delta profiles beside the heatmap. Those count traded contracts, so the colour scale does not change them.
Other platforms
Bookmap lists a historical order book heatmap. Quantower lists DOM Surface, which needs a Level 2 feed. Run the same two-minute test on any platform before you compare its screenshots with another's. Two charts of the same book can colour the 480-lot at 20% and at 48% and both be correct for their scale. The glossary defines the heatmap terms used here.
A check you can run
Take a screenshot of your heatmap overnight and another in the first five minutes of the regular session. Find one level that held about the same size in both. Write down its colour in each. If the colour changed by more than a shade and the size did not, your scale is relative, and any comparison of brightness across those two screenshots needs the DOM size next to it.
Questions
What is a relative colour scale on a heatmap?
A relative scale gives full brightness to the largest resting level in view and colours every other level as a share of it. The colour then tells you a level's rank on the current screen, not its size in contracts.
What is an absolute colour scale on a heatmap?
An absolute scale ties each colour to a fixed contract count that you choose. A 480-lot draws at the same colour at 03:00 and at 09:35, whatever else is in the book.
Why does a large order look the same as a small one on my heatmap?
On an absolute scale, every level above the cap draws at full colour. With a cap of 1,000 contracts, a 1,000-lot and a 2,400-lot look identical.
How can I tell which colour scale Liquivue is using?
Watch one level on the Liquivue heatmap while you read its size from the DOM. If its colour changes when a larger level appears elsewhere and its own size stays the same, the scale is relative.
Educational content about market data and charting software. It is not trading or investment advice. Trading involves risk.