The Heatmap of VolBook represents the most comprehensive tool for analyzing trading volumes and order flow, as it combines the executed market order information (provided by Time and Sales) with the limit order information entered in the Trading Book (DOM).
Specifically, the information on executed orders is displayed through the Volume Bubbles, which will take on a green color if the execution is made in Ask or red if it is made in Bid, representing a market buy and a market sell, respectively. The size of the bubbles will depend on the size of the execution itself, in order to have undergone a visual impact.
The most relevant information is that on liquidity, and in particular its history. In fact, through the Heatmap not only there are limit orders displayed to the right of the chart, but this information is saved and plotted in the chart over time. This makes it possible to see how long liquidity has been present on a given price level, whether it is increased, whether it is decreased, as well as whether it is cleared.
INDEX
Use Settings
Open Graph
After connecting the data stream, to open a new chart click on the New of VolBook and select, from the list of subscribed symbols, the financial instrument you want to display, click select at the bottom right to confirm.
Liquidity
By default you will open a chart with a hour history, in which the limit orders present in the DOM, in green for Sell Limit and in red for Buy Limit.
Please note that in order to have market depth available, it is necessary to have Level 2 of the data feed, in particular VolBook allows you to analyze over 1000 book levels.
The software uses different colorimetry depending on the contracts/shares present on a given price level.
In this case, the color red indicates the highest level of liquidity, orange the second highest, while yellow, white, blue and black indicate lower and lower levels of the latter, respectively.
The various colors are adapted to current market conditions, in fact, if a new limit order of larger size than those present up to that point were to be placed in the DOM, the colors will scale. What was previously highlighted in red will most likely become orange and so on.
Volume Bubbles
Volume Bubbles show tick by tick market executions, taking on green color in case of buy market and red color in case of sell market.
Indicators
Insert-a-New-Indicator
To insert a new Indicator click in the lower left corner on the Indicators entry, the relevant window containing the'list of available indicators will open. By clicking on the + next to each of them you will be able to add them to the chart, once added you will be able to change their settings as well as remove them.
Indicator Toolbar
At the bottom of the chart presents a Toolbar through which you willà be able to easily enable some of the indicators.
1. Candles
Enable classic Japanese candles, define their parameters and change their color;
2. Bubbles
Enables the Volume Bubbles and defines its main parameters:
- Mode bubbles: Defines whether to display the Delta prevalent of each bubble or the Bid Ask split;
- Volume Filter: Defines the minimum filter for volumes;
- Bubble filter tot: Defines the minimum filter for a bubble;
- Out std dev perc and Value dev. std: Define the standard deviation values on which the bubble sizes are based;
3. Volume
Enables the Volume at the bottom, define its grouping and mode; of display, whether by Delta Dominant or Split;
4. VWAP
Lets you quickly enable the VWAP and define its main parameters;
5. CVD
Lets you quickly enable the CVD and define its main parameters;
6. Imp L.
Allows you to quickly enable the Important Levels of the session, i.e. maximum, minimum and opening, as well asé change their colors;
7. VIS. P.
Allows you to quickly enable the Visible Profile, being able to choose the type of profile to be displayed from Volume, Delta, Delta and total volumes, Bid Ask volume;
8. RES. P.
Allows you to quickly enable the Resettable Profile by being able to choose the type of profile to be displayed from Volume, Delta, Delta and total volumes, Bid Ask volume;
9. DLY. P.
Allows you to quickly enable the Daily Profile, being able to choose the type of profile to be displayed from Volume, Delta, Delta and total volumes, Bid Ask volume;
Remind that if you want to display both the Volume Profile and the Delta Profile you must select Delta and Total Volumes in the profile type you choose.
Each vertical chart area has the ability to be resized easily.
For further explanation on Volume Profile settings please refer to the section Volume By Price of VolSys.
10. DOM
Enables the Chart DOM;
11. T. Panel
Enables the Trading Panel;
13. T&S
Enable the Time and Sales;
Navigation-on-graph
X-axis
To move the'X-axis you just need to scroll with the mouse wheel.
Y-axis
By right-clicking in the price scale you can determine how to move the Y-axis, specifically:Self-recognition mode
If you position yourself in the middle part of the Y-axis, pressing with the left mouse button will allow you to move the axis, while if you position yourself at the extremes, up or down, you will be able to resize its size;
Move axis
Pressing the left mouse button anywhere on the Y-axis will be able to move it up or down;
Size axis
Pressing the left mouse button anywhere on the Y-axis will be able to resize its size;
Annotations
To insert annotations use the Toolbar at the top of the chart, specifically from left to right you can select:
1. Pointer
Activates the arrow, which is the default;
2. Hand
Lets you move the graph up, down left and right;
3. Mirino
Enable the crossair;
4. Lens
Enables zooming in on a specific portion of the graph;
5. Horizontal line
Inserts a horizontal line into the graph;
6. Horizontal radius
Inserts a horizontal radius into the graph;
7. Line
Inserts a line into the graph;
8. Parallel lines
Inserts parallel lines into the graph;
9. Rectangle
Inserts a rectangle into the graph;
10. Retracements
Inserts a fibonacci retracement into the chart;
11. Extensions
Inserts fibonacci projections into the chart;
To customize a drawing tool first click with the left button of the mouse to select the desired tool, then right-click to open its drop-down menu, where you will be able to copy the tool, remove it and change its properties.
Once you have made the desired changes, you will be able to save the configuration so that you can quickly recall it once you enter a new drawing tool.
To do this; click on Configurations at the bottom left and select Manage to open the configurations window, in which you can add a new configuration.
Next, to recall a configuration simply go to the CT item from which a drop-down menu with the various saved configurations will open.
11. Sliders
Allows you to change the contrast of the Heatmap, change the maximum contrast, increase the Size of the bubbles and its Grouping.
This allows the visibility of liquidity to be adjusted according to market conditions and the needs of each user.
12. Watch
Allows you to quickly define the portion of the graph to be displayed by zooming in on the graph semi-automatically.
13. Text
Allows you to display textual information on the liquidity and traded volume of the point where you position yourself with the cursor, allowing a greater understanding of some Order Flow dynamics.
13. Eraser
Deletes all entered annotations.
Settings
Clicking in the upper right corner will be able to access the settings, where it will be possible to make several changes to the graph, in particular, you can detach the graph window from the main VolBook interface, bring the window to the foreground, enable the Adv. TS. and the Chart Dom, modifying its parameters.
For an in-depth explanation, see the article on Adv. Time and Sales and Adv. DOM of VolSys.
Import All Annotations
Allows you to import previously saved annotations from VolSys to VolBook.
For an in-depth explanation, please refer to the Chart article, Import/Export Annotations from VolSys.
Model
Allows you to save the chart template, as well as load a previously saved one.
Indicators
Another way to access the list of indicators.
Properties
Line Bid/Ask
Allows you to change the color and thickness of the Line Bid/Ask.
Heatmap
- Grouping mode
1. Automatic: groups liquidity levels in automatic mode.
2. None: does not do any grouping, showing liquidity per price tick.
It is recommended to use the automatic mode in the lighter instruments, such as NQ.
- Color Mode
1. Multicolor: liquidity takes on different coloring depending on the amount of shares/contracts present, going from red for high liquidity to black for low liquidity.
2. Custom: liquidity takes fading coloring from the color defined by the user in the Bid Color and Ask Color section.
Color-Levels-DOM
Change the background and text color of orders in Bid and Ask.
Imbalance Book
Lets you display the book imbalance, i.e., the difference between the contracts in Bid and the contracts in Ask, by a number of levels determined by the user.
Cumulative Delta
Lets you view the cumulative delta of the portion of the chart you are viewing.
Last-Level
Enable the Bid and Ask line depicting the twentieth level in Bid and Ask respectively.
Price Line
Enables the price line, change its color and style, as well as extend it to the left.
Graphic Settings
Lets you change the background color of the chart, enable the grid and define its color, changing the color of the grid will also change the color of the crossair.
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