Hello Roberto,

 Can you recomend a good broker with Depth of Market with MT5 so I can use your product?

Thanks a lot and good job. 

in brazil : XP, Rico, Modal, Terra, Clear

must check others brokers outside brazil, but a symbol with "non sparse" book at Depth of Market should work ok

i tested with some forex symbols but some are sparse (have small depth of market, and volume is small too)

uhmm no idea what could be done, mt5 have some graphic limits and any improvement should consume a bit of processing creating canvas and images, must check if creating this is a good improvement or just one useless feature

well normally guys use depth of market to check here to put orders (limit orders) and stop (gain and loss), a high volume depth will probably demand more trades to become zero, in others words, if you have a order after a high volume depth of market level, you will probably not be executed as before it, it's not a win win idea, but just an idea about what you check with this kind of indicator

Hello Robert, wanted to see your indicator in the work, but I can't attach it to the chart.

BookMap HeatMap' is a demo version that can be run only in the Strategy Tester.

To use the product without limitations, purchase the full version from the Market

Tried on the tester, also shows nothing.

well it only works at running terminal, i didn't tested at strategy tester or others simulations, since mt5 server don't save depth of market at server side you will probably only run at normal terminal at live server (demo or not)

i'm not familiar with mql5 marketplace, i don't know if there's a limit at demo version :/ sorry

Hi, you can try with AMP, opening a Futures demo account: https://www.ampfutures.com/metatrader/

Regards,

@mDull618

Hi Roberto,

This is a fantastic project, but we need some tools to read correctly the order book, as a filter to differentiate orders with high volume. In the image_01.jpg attached, you can not differentiate liquidity changes.

See the difference in the EURUSD Future (6E) example (M1).
- Image_02.jpg = without filter.
- Image_03.jpg = with filter

It would also be very interesting  see the large orders drawn on the chart. In the example, they are green and red circles.

Best Regards,

@mDull618

Hi Pablo, thanks a lot, i don't know others mt5 brokers, if you want, i can help you finding good brokers (i know server api and client api, it's easy to me to detect quality datafeed) you can contact me with mql5 inbox messages or via email: roberto@spadim.com.br 

Hi EduardoVT, MaxVolume is just a clip value, for example:

double x=[1,2,3,4,5,6,7,8,9,10]

let's consider max =5

double xMax=[1,2,3,4,5,5,5,5,5,5]

this is important cause volume >5 will appear like 5, there's a interesting distribuition in bookdepth (statistics), data isn't gaussian, it's something like poison (maybe not, but just to explain), you have very high values of volume with prices far from bid/ask and small values near bid/ask, to remove 'visual outlier' you cut the value of high volume, it's nice to see that when bid/ask become near high volume sometimes we have many cancelation without trades, that's important to see cause we can track the book pressure (high volume at sell or buy to 'change' the price, it's empirical but have many research papers in this area)

Hi Oscar.G, i think you are talking about two different things
Depth of market (book) show "market makers" orders (guys that 'give' liquidity to market)
Trades show "risk takers" orders (guys that consume liquidity)

Technical analysis just see risk taker orders and don't tell you too much about liquidity changes (price volatility can tell more about liquidity than volume)

--
about your image:

the green/red circles with high volume are >orders< (trades), it's a risktaker order, not a maket maker order (limit order)

it's difficult to tell you "this is a high volume order", cause risktaker can easly obfuscate high volume order with many low volume order at different times (non sequential trades), for example:

I want buy 10000 stocks, let's consider that the mean trade volume is 1000, I will send only one order of 10k, and market will know that i >was< a "big" risktaker with a "big" volume of 10x the mean, to avoid this "problem" (if you check volume at price, it will change "a lot" (10k) in a small time step) and show what I did
As a risktaker I could cut this order of 10k, with many smaller orders, and execute with some algorithm, for example twap or vwap execution, and send small orders near to vwap or at determined time interval (for example buy 1k each 10 seconds, or buy 1k after 4000 volume being traded)

that's a risktaker strategy, not marketmaker strategy

Marketmaker strategy is send "small" buy limit orders, to avoid a high volume at depth of market (avoid a "wall" order), this is the idea of "hidden orders", when your 1k limit order is executed you send a new 1k limit order at same price, the probability of being executed with 10k limit order is small than 10x 1k orders, "wall" limit orders have important effects at price, someone that read times and sales (trades) + bookdepth, aka tape reader, can "find" you: every time bookdepth is <1k (or ~0) a new limit order is placed with a volume >=1k, but check that we don't see book history at internet (google finance, yahoo, etc etc), the only common information to every one is trade history =] that's the difference of being a 'tape reader' trader and a technical analysis trader, 'tape reader' know when a 'big' guy order is being placed and not when a big order WAS executed

--

i don't know if i answered your question, but what you want is 'plot' a circle when 'big orders' are executed, the main point is "what's a big order", i can implement it whitout problems as an user input, please fell free to ask again if this is what you need and i will implement =) sorry any 'poor' english it's not my main language

Hi guys, I will start a MSC degree, and I will need save/read data from this indicator, i will include some options to save/read, fell free to use/test

any idea and comment is wellcome, thanks a lot everyone testing and helping here, thanks!

Oscar, I'm re-reading yours comments, I know what you are talking about, it's not big orders, it have other academic name, i don't remember now, but probably i will create an new visual indicator, I'm a bit confuse now many thinks hapenning, in near future I'm sure will include this kind of information at another indicator, just wait a bit and I will check how to securely create it, your points of trade are not volume related, it's another important market measure, I just need to study a bit to don't make a 'useless' indicator (like many others in the market)

thanks man, you are helping someone that study market a lot, and not only create products :) thanks a lot

version 1.3 i included an MinVolume parameter to remove useless small volume values, i think it will help a bit

Perfect! I'll test it and I'll comment about it. Thank you.

I have experience reading the Order Book with Bookmap on currencies. Usually, algo's are going to take the liquidity, so I can anticipate some movements.  I attach two images with real examples from the last days. That's the way that I like to read the book.

If I can help with anything, do not hesitate to ask me.

Regards,

@mDull618

what best method to contact you?

new version comming

Hola Betto, trabajar con la lectura del libro es todo un arte y va a depender mucho del comportamiento de cada instrumento.

Lo primero que tenemos que entender es que la mayoría de las órdenes que vemos en el libro son "falsas" y que están distribuidas por algorítmos con la intención de mover el precio con distintas intenciones, que nosotros nunca sabremos pero podremos tratar de interpretar. Con eso no quiero decir que no tengamos intervención humana, porque si que existe y se nota por la forma y la velocidad en la que esas órdenes se ejecutan. Pero es importante entenderlo, porque no todos los algorítmos se programan igual y vamos a detectar comportamientos distintos.

Después de este comenterio, decir que a primera vista, lo que nos llamará la atención son "zonas" donde vemos una gran cantidad de órdenes acumuladas (serían zonas de Soporte/Resistencia). Una vez detectadas estas zonas, es cuando vemos el comportamiento distinto de los algoritmos. En ocasiones veremos que ejercen de "barrera" y los algorítmos huyen de esas zonas hacia otra zona de precios, pero en otros intrumentos como el EURUSD, veremos que tiene tendencia a ir a buscarlas y devorarlas. Son algorítmos programados para buscar liquidez.

Con esto de base, ya tienes suficiente material para empezar a observar el instrumento que quieras operar y comprobar como se comporta. Adjunto algunas diapositivas, que espero te ayuden a interpretar lo que digo.

Un saludo

@mDull618