Absorption versus a refilled level on a heatmap

Absorption versus a refilled level on a heatmap is decided by the volume that traded at the price. The colour of the band cannot decide it. A liquidity heatmap draws resting limit orders as bands across time. A band can dim and then brighten again for two different reasons. In one case, aggressive orders traded into the level and the level held. That is absorption. In the other case, traders pulled size and then put it back, and little traded. That is a refill. This note runs both cases at one ES price in Liquivue and gives one ratio that separates them. The earlier note on what absorption looks like on a heatmap covers the absorption picture on its own.

What each term means

A resting order is a limit order that waits in the book. An aggressive order is a market order, or a limit order priced to trade at once.

Absorption means aggressive orders trade into a resting level, and price does not trade through it. The volume traded at the price ends up larger than the size the book showed there at any single moment.

A refill means resting size at a price drops and then returns. The drop can come from trades, from cancels, or from both. The return comes from new limit orders. A refill on its own says nothing about how much traded.

Two cases at one price

All numbers below are invented. The market is the E-mini S&P 500 future, ES, where one tick is 0.25 points. In both cases the best bid is 5,030.00 and the bid there shows 300 contracts at the start.

Case A, a refill with few trades

Between 11:05:00 and 11:06:00 the bid at 5,030.00 moves like this.

The bid fell by 240 contracts in the first 20 seconds, and sellers traded only 40. The other 200 contracts left the book through cancels. Later, traders placed new bids, and the size climbed back to 280. Over the minute, sellers traded 50 contracts at 5,030.00, while the band showed as much as 300.

Case B, absorption

Between 11:20:00 and 11:21:00 the same price behaves differently.

Sellers traded 730 contracts at 5,030.00 in one minute. The bid never showed more than 300 and never emptied. No trade printed at 5,029.75, so price did not move through the level.

The ratio that separates them

Divide the volume traded at the price by the largest size the band showed in the window.

• Case A gives 50 divided by 300, about 0.17.
• Case B gives 730 divided by 300, about 2.4.

A ratio well below 1 means most of the change in the band came from cancels and new orders, not from trading. A ratio well above 1 means traders kept adding bids while sellers traded into them. The ratio does not say who added the size or why. It says which of the two events took place.

How the two cases look in Liquivue

On the Liquivue heatmap layer, both bands at 5,030.00 dim and then brighten. The colour is the same in both cases, so read the trade bubbles at the price.

In case A, a few small sell bubbles print at 5,030.00 near 11:05:20. Together they come to 40 contracts, and one 10 lot prints later. The CVD line moves down by about 50 contracts. The volume profile adds 50 contracts to the 5,030.00 row.

In case B, sell bubbles stack in one horizontal row at 5,030.00 for the whole minute and add up to 730 contracts. CVD falls by 730 if no buying traded at the offer, and the price line stays flat. The delta profile shows the 5,030.00 row at minus 730. Liquivue lists absorption markers, so it can flag case B on the chart. The marker logic depends on the data your provider sends, so check the bubbles and the profile row before you accept a marker.

Liquivue runs in a desktop browser with WebGPU and connects to futures through Rithmic or the NinjaTrader bridge. It costs €20 a month after a 7-day trial, and your provider bills market data separately. Traders who want a Bookmap alternative for futures heatmaps can compare platforms on the rankings page.

What neither case shows

Market by price data gives one total per price. It cannot show whether the 200 contracts that left in case A were one order or twenty. It also cannot show hidden size. Liquivue lists iceberg detection, but the feature is experimental and needs live CME order-level data.

Neither case is a forecast. Case B shows that the bid held for 60 seconds while 730 contracts traded. Sellers can still trade through it in the next minute.

The same check on other platforms

Bookmap draws a historical order book heatmap with volume bubbles, so the same ratio works there. Its Global tier for live futures analysis costs US$49 a month before data. ATAS has a heatmap in beta beside its cluster charts, and live futures need its Pro plan at €69.95 a month. On any platform, read the traded volume at the price before you call a dimming band absorption.

A check you can run

Pick five moments in your last session where a band near price dimmed and came back within two minutes. For each one, add up the volume that traded at that price and note the largest size the band showed. Divide the first number by the second. Count how many of the five had a ratio below 0.5 and how many had a ratio above 2.