What the brightest band on a heatmap tells you

The brightest band on a heatmap is the price level with the most displayed resting size compared with everything else on the screen. A band is a horizontal stripe of colour at one price. It shows limit orders that rested at that price over time. From the brightest band you can read how many contracts rested, at what price and for how long. You cannot read who placed them or whether they will trade.

The earlier note on how to read a liquidity heatmap covers the axes and a first session. This note looks at one band and what you can measure from it.

Brightness is a comparison

Most heatmaps map size to colour against a scale. A relative scale gives full brightness to the largest level in view and colours every other level as a share of it. Brightness therefore shows rank, not size. The brightest band is the largest level on your current screen. A later note compares relative and absolute colour scales in detail.

A worked example in the Nasdaq future

Take an invented morning in the E-mini Nasdaq-100 future, NQ, where one tick is 0.25 points and is worth $5 per contract. At 09:50 price trades at 18,442.00. The Liquivue heatmap layer shows these levels within 40 ticks of price.

The band at 18,450.00 is the brightest. It is 32 ticks above price. Price has to rise 8 points before any of those 620 contracts can trade. At $5 a tick, those 32 ticks are worth $160 per contract.

Now read the columns one at a time.

Size

620 contracts rest on the offer at 18,450.00. That is the total of every order at that price, added together. A market-by-price feed cannot split it into single orders. The note on MBP and MBO data explains what order-level data adds.

Distance

The 410-lot bid at 18,438.00 is 16 ticks away, half the distance of the brightest band. Price reaches nearer levels first. Trades print at a dimmer band close to price before they can print at the brightest band.

Age

The 620-lot has rested for 25 minutes. The 180-lot at 18,446.50 appeared 3 minutes ago. On the heatmap, age shows as the length of the stripe from left to right. A long stripe means the orders stayed through many book updates. A short, bright stripe can belong to an order its owner moves every few seconds.

What happens when the screen changes

At 09:58 a new 1,550-lot bid appears at 18,425.00. The colour scale now gives full brightness to 1,550. The 620-lot at 18,450.00 has not changed by a single contract, yet it now shows at 40% of the largest level and looks dim.

The brightest band moved 100 ticks without any order at 18,450.00 changing. Read the size number at a level before you decide that its orders left.

What the band shows when price arrives

Suppose price climbs to 18,449.75 at 10:06. In Liquivue, trade bubbles start printing at 18,450.00 as buyers lift the offer. Three things can happen next.

1. The bubbles add up to about 620 contracts and the band ends. Buyers filled the offer.
2. The band ends with about 40 contracts of bubbles beside it. The sellers cancelled most of the size.
3. The bubbles pass 900 contracts while the band stays near 600. Size refilled as it traded.

Liquivue marks the third case with an absorption marker. Its iceberg detection is experimental and needs live CME order-level data, so on a market-by-price feed you read the refill from the bubbles and the band. The earlier note on orders that never trade sorts these outcomes in more detail.

What the brightest band cannot tell you

The band shows displayed size only. It does not show hidden iceberg size before it fills, stop orders, or the reason anyone placed the orders. A 620-lot can be one participant or sixty. Brightness also depends on the depth your feed sends. A level outside that depth draws as blank even if orders rest there. Bookmap and Liquivue both draw volume or trade bubbles over the heatmap. The bubbles show how many of the displayed contracts traded.

A check you can run

On your next session, note the brightest band within 40 ticks of price every 15 minutes for one hour. For each band, write down its size, its distance in ticks and how many minutes it had been visible. At the end of the hour, mark whether price reached each band and which of the three outcomes followed. Four rows a session for five sessions gives you twenty observations from your own contract and your own data feed.