What market by order data adds to a heatmap

Market by order data adds the individual orders behind each band on a heatmap. A heatmap is a chart that draws resting limit order size at each price over time as colour. Most heatmaps draw from market by price, or MBP, data, which gives one total per price level. Market by order, or MBO, data lists every resting order with its own order ID. The earlier note on MBP and MBO explains the two formats. This note looks at what the extra detail changes on the heatmap.

Two bands with the same brightness

Take an invented morning in the E-mini S&P 500 future, ES. One tick is 0.25 points and is worth $12.50 per contract. At 10:30 price trades at 5,031.00. Two bid levels show the same displayed size.

On an MBP heatmap both levels draw at the same brightness, because the colour depends only on the 300. MBO data shows the difference. One order holds all 300 contracts at 5,028.00. Sixty orders averaging 5 contracts hold the 300 at 5,026.50.

One cancel message removes all 300 contracts at 5,028.00. At 5,026.50, sixty separate orders would each have to cancel to clear the level.

Following an order that moves

At 10:31 the 300 contracts at 5,028.00 disappear, and 300 contracts appear at 5,028.75, three ticks higher. Twenty seconds later the same thing happens again, from 5,028.75 to 5,029.50.

On an MBP heatmap you see a band end at 5,028.00 and two new bands start above it. You may guess they are the same order. MBP cannot confirm it, because it reports totals per price and nothing else.

The MBO feed reports each move as a change to the same order ID with a new price. Software can then link the three bands into one order.

The order kept its size and moved six ticks closer to price in 80 seconds. CME ranks most futures orders by time at each price, so each move sent this order to the back of the queue at its new price. MBO shows the moves. It does not show why the trader made them, or whether the order will ever trade.

Fills and cancels on one band

By 10:34 the trader behind order 48211 has cancelled it, and price drops to 5,026.50. Trades for 140 contracts print at that price, and the level falls from 300 to 110 contracts. That is a drop of 190, so 50 contracts left without trading.

MBP data and the trades give you that net figure. MBO data adds the orders behind it. The 140 contracts filled the 28 orders at the front of the queue. Nine orders further back cancelled, and together they held the other 50 contracts.

The same example in Liquivue

Liquivue draws its heatmap, trade bubbles, volume and delta profiles, CVD and VWAP from the data your Rithmic or NinjaTrader bridge connection supplies. On an MBP connection, the example above looks like this in Liquivue. The bands at 5,028.00 and 5,026.50 draw at the same brightness. When the 300-lot moves, its band ends and a new band starts three ticks higher. At 10:34 the trade bubbles at 5,026.50 add up to 140 contracts while the band drops by 190, so you can count the 50 cancelled contracts from the chart.

Liquivue ties one feature to order-level data. Its native iceberg detection is experimental and needs live CME order-level data. An iceberg order displays a small part of its size and shows a new slice after each slice fills. With MBO, software can match each new slice to a fresh order that joins the back of the queue at the same price. On MBP the same pattern looks like a level that keeps refilling. In Liquivue you read that from the absorption markers and the trade bubbles.

Other platforms that sell MBO data

Other platforms sell order-level data as a separate item. On this site, Bookmap lists MBO as an add-on separate from its plans. Sierra Chart lists MBO with its Package 12 on Sierra feeds and notes that it does not replay historical MBO. The cost guide lists data charges by platform.

What MBO still cannot show

MBO lists displayed orders only. The hidden part of an iceberg stays hidden until each slice appears. Stop orders do not appear until they trigger. Order IDs belong to orders, not traders, so the sixty orders at 5,026.50 could come from sixty traders or from one trader who split a 300-lot.

A check you can run

Ask your data provider whether your connection sends MBO for the contracts you trade. Then pick one bright band near price and note its size every minute for ten minutes. Next to each reading, note the volume that traded at that price during that minute. Every drop in size larger than the traded volume is a cancel. MBP data lets you count those cancels. MBO data names the orders they came from.