How long resting orders last at each distance from price

How long resting orders last depends on their distance from the current price. A resting order is a limit order that waits in the book until a trade fills it or the trader cancels it. A liquidity heatmap colours each price row by the size resting there, so the length of a band is how long that size stayed. This note measures band length at four distances in one invented ES morning in Liquivue. The note on heatmap orders that never trade covered the large bands that price never reaches.

What ends a resting order

A resting order leaves the book in two ways. A trade fills it, or the trader cancels it. Moving an order to a new price counts as a cancel at the old price and a new order at the new one.

Near price, both events happen often. When price moves one tick, trades start to print at the next price. Many traders who quote near the market also move their orders each time price moves. Far from price, few trades print and few traders move their orders, so size can stay at one price for minutes.

The example morning

All numbers below are invented for the example. The market is the E-mini S&P 500 future, ES, from 9:30 to 11:30 New York time. ES moves in ticks of 0.25 points.

A band here starts when the resting size at one price reaches 100 contracts and ends when it falls below 100. The distance is the number of ticks between that price and the last trade when the band starts. A band ended by trades is one where trades printed at its price in the second before it ended.

The median band at 20 ticks lasted 70 times as long as the median band at 1 tick. Cancels ended most bands at every distance. At 1 tick, trades ended about 754 of the 1,840 bands. At 20 ticks, trades ended 1 or 2 of the 150.

Why the median and not the average

A few long bands raise the average. In this example, one band at 20 ticks lasted 58 minutes. Suppose the other 149 bands at that distance averaged 8 minutes. The average of all 150 is then 8.33 minutes, and the median stays at 7. Use the median when you compare distances, and write the longest band down on its own line.

What a band's length does not show

A market by price feed reports the total size at each price, not the separate orders. A band of 300 contracts that lasts 7 minutes could be one order. It could also be 30 orders that joined and cancelled while the total stayed above 100. The note on what market by order data adds to a heatmap covers the feed that separates them.

The distance also changes during a band's life. This example measures it when the band starts. A band that starts 20 ticks above the market can be 5 ticks away ten minutes later if price rises, and trades may then end it.

Reading band length in Liquivue

The Liquivue heatmap draws each price as a row and colours it by resting size over time. A band's length on the time axis is its life. Trade bubbles print on top of the rows, sized by the contracts traded.

Take two bands from the example with the last trade at 5,048.00. At 5,048.25, one tick above, a band of 180 contracts lasts 6 seconds. Bubbles totalling 180 contracts print on that row as it fades, so trades ended it. At 5,053.00, 20 ticks above, a band of 400 contracts lasts 7 minutes and fades with no bubbles on its row. Cancels ended that one.

Liquivue can extend depth into the backfilled part of the chart, and the vendor describes that depth as a visual reference, not historical order data. Measure band life only on the part of the chart that Liquivue drew from the live feed. Liquivue also has experimental iceberg detection, which needs live CME order-level data. A band near price that refills after each trade may hold an iceberg order. The band length alone cannot show it.

Band life on other platforms

Bookmap lists a liquidity heatmap with volume bubbles. Sierra Chart lists depth history, and Jigsaw lists Auction Vista for liquidity history. Each platform sets its own colour scale and size threshold, so a 100-contract band on one chart may look faint on another. The cost audit lists Liquivue at €20 a month and Bookmap Global at US$49 a month, with data extra on both.

A check you can run

Pick a price 10 ticks above the market during a quiet hour. Write down the time its resting size reaches 100 contracts and the time it falls below 100. Repeat for 20 bands and take the median. Then count how many of the 20 had trade bubbles on their row as they ended. If fewer than 2 did, cancels ended the rest.