Order Book B3, Order Book Heatmap B3 PRO and Order Flow Book B3 Ultra for MetaTrader 5: user manual

Order Book B3 is a family of three indicators for MetaTrader 5 that draw the order book (market depth) on the right side of the chart, aligned to the price scale, next to the candles. Order Book B3 is free and shows up to 4 levels per side, big lots and the buy/sell imbalance. Order Book Heatmap B3 PRO adds all the live levels, an extended book, a liquidity heatmap behind the candles and alerts. Order Flow Book B3 Ultra adds the traded volume per price, absorption, traded volume bubbles and the recording of the book for the Strategy Tester. They were made for B3 and work on any symbol for which the broker sends market depth: futures and stocks of B3 and of other exchanges.

This manual covers Order Book B3 1.10, Order Book Heatmap B3 PRO 1.20 and Order Flow Book B3 Ultra 1.50.

Which edition has what

The inputs below are marked with the editions that have them. Inputs without a mark exist in all three.

What you see on the chart

The book is a panel on the right side of the chart, as tall as the chart. The candles stop before it, because the indicator reserves that side of the chart.

• Header: the product name; Big followed by the current big lot size; Spr followed by the spread in ticks.
• Imbalance bar: green for buy orders and red for sell orders of the best levels, with Buy % on the left, Sell % on the right and best N (the number of levels compared) in the middle. When one side reaches the strong imbalance percentage, its percentage turns gold.
• Rows: sell orders (asks, red) above the price and buy orders (bids, green) below it. The bar length shows the size of each level and the number on the right is the size. Levels with a big lot are gold and in bold.
• Price line: a horizontal line at the last price (aligned layout) or between the best ask and the best bid (ladder layout).
• Extended book (PRO / Ultra): levels seen earlier beyond the live depth, drawn faded. They show the last size seen, not a live order.
• Traded volume column (Ultra): on the left of the book, under Traded N min, the volume sold (red, to the left) and bought (green, to the right) at each price.
• ABS and PULLED tags (PRO / Ultra): PULLED (red) flashes for 3 seconds on a row where a big lot was removed without being traded; ABS (gold, Ultra) frames a row where there is absorption.
• Alert log (PRO / Ultra): the last alerts, under ALERTS, at the bottom of the book.
• Footer: Live 10/10 (bid and ask levels received now), broker depth N (depth the broker declares for the symbol), +N remembered (extended book rows), and a status line.

Messages of the status line:

• Waiting for the book: the first seconds after the indicator is added.
• No market depth for this symbol: the broker does not send market depth for this symbol.
• 4 levels per side (Free): levels shown.
• Heatmap since 10:05 (PRO): time from which the heatmap has data.
• Rec 1520 today or Rec off (Ultra): book records saved today, or recording turned off.
• Reading trades 10:05 (Ultra): today's trades are still being read from the history; the traded volume and the bubbles are complete when the message goes away.
• Bubbles: reading followed by a date (Ultra): an earlier day is being read for the bubbles.
• Load 12%: share of the indicator's processing thread in use. When light appears, the indicator has spaced out its redraws by itself to keep the chart responsive.
• Market depth only on live charts (Free / PRO, Strategy Tester) and Recorded book: N snapshots or No recorded book for a date (Ultra, Strategy Tester): see the recording section.

These are indicators only: they never open, close or change orders.

How to add it to the chart

• Open the chart of the symbol (for example a futures contract or a stock) on a demo or live account whose broker sends market depth. You can check this in the Market Depth window of MetaTrader 5.
• In the Navigator (Ctrl+N), open Indicators, then Market, and drag the indicator onto the chart (or double-click it).
• In the Inputs tab, change what you need (all inputs are described below) and click OK. The indicator subscribes to the market depth by itself.
• To change the inputs later: right-click the chart, Indicators list, select the indicator and click Properties.

Inputs: Book

• Layout (default: Auto (aligned when a tick is tall enough)). How the rows of the book are placed.
  • Auto (aligned when a tick is tall enough): aligned to the price scale when a tick is tall enough on screen; on a zoomed-out chart it switches to the ladder.
  • Aligned to the price scale: each row at its price on the chart scale, in line with the candles.
  • Ladder with fixed rows: rows of fixed height centered on the price, with a price column, readable at any zoom.
• Levels per side (1-4) (Free; default: 4). How many levels per side the book shows.
• Live levels per side (up to what the broker sends, max 64) (PRO / Ultra; default: 64). How many live levels per side the book shows. The real number depends on the broker.
• Extended book: keep levels seen earlier beyond the live depth (PRO / Ultra; default: true). Shows, beyond the live depth, the levels seen earlier with their last size, faded. The footer shows how many (+N remembered).
• Extended levels per side (PRO / Ultra; default: 30). Maximum number of remembered levels per side.
• Forget remembered levels after (minutes) (PRO / Ultra; default: 120). Remembered levels not seen again for this time are removed.
• Levels per side used for the buy/sell imbalance (default: Free 4, PRO / Ultra 5). How many of the best levels of each side enter the imbalance bar and the strong imbalance alert. The header shows it as best N.
• Big lot size (0 = auto) (default: 0). Size from which a level is a big lot (gold in the book and the heatmap, and used by the big lot alerts). With 0, the size is chosen automatically for the symbol; the header shows the current value after Big.
• Strong imbalance (%) (default: 70). Share of one side, in the best levels, from which the imbalance is strong: its percentage turns gold and, in the PRO / Ultra, the strong imbalance alert is sent.
• Book width (px at 100%) (default: 240). Width of the book panel, in pixels at 100% display scale (it grows with the Windows display scale).
• Reserve the right side of the chart (chart shift) (default: true). Turns on the chart shift so the candles end before the book. The original chart shift comes back when the indicator is removed.
• Right side reserved (% of the chart, 10-50; at least the book + 3 bars) (default: 30). Share of the chart width kept free on the right. It is always at least the book width plus 3 bars; if the book is wider than half the chart, a message in the Journal asks to reduce the book width.
• Book redraw interval (ms, 50-1000) (PRO / Ultra; default: 100). How often the book is redrawn. Lower values give a smoother book and use more CPU. When the indicator uses too much of its thread, it spaces out the redraws by itself (light in the footer).

Inputs: Liquidity heatmap (PRO / Ultra)

Order Book Heatmap B3 PRO and Order Flow Book B3 Ultra draw behind the candles, minute by minute, where the resting orders were: green for buy orders, red for sell orders and gold for big lots. The stronger the color, the bigger the size; older minutes are drawn fainter. In the PRO, the heatmap starts when the indicator is added to the chart (the status line shows Heatmap since). In the Ultra, with recording on, the book recorded today is loaded again when the chart is reopened.

• Show the heatmap of resting orders (default: true). Turns the heatmap on or off.
• Heatmap strength (%) (default: 55). Opacity of the heatmap colors. Lower it to see the candles better.
• Show only levels from (% of the strongest, 0 = all) (default: 40). Hides the weaker levels: only levels with at least this percentage of the strongest visible levels are drawn. 0 draws all of them.
• Heatmap history (minutes, 0 = whole day) (default: 90). How many minutes of heatmap are drawn back from now (older minutes fade). 0 draws the whole day.

Aggression and absorption (Ultra)

Order Flow Book B3 Ultra uses the trades of the symbol with the aggressor side (buy or sell). Where the broker sends the trades with the side (B3 and other exchanges, depending on the broker), it shows:

• Traded volume per price: the column on the left of the book, with the volume sold and bought at each price in the last minutes.
• Absorption: a big resting order that keeps standing while it is hit. The row is framed in gold with the ABS tag, and the absorption alert is sent.
• Traded volume bubbles: circles on the chart at the candle and price where the most volume was traded. A bubble is green when buying was bigger and red when selling was bigger; its size follows the volume and the candle width. The bubbles of earlier days are read from the history (status Bubbles: reading). After its candle closes, a bubble never disappears.

• Traded volume window (minutes) (default: 15). Period of the traded volume column of the book (header Traded N min).
• Absorption window (minutes) (default: 5). Period used to detect absorption.
• Show traded volume bubbles on the heatmap (default: true). Turns the traded volume bubbles on or off. They are drawn even with the heatmap off.
• Bubbles: the biggest per 120 bars (default: 15). How many bubbles may appear among the biggest in each stretch of 120 bars. Lower it for fewer bubbles.
• Bubbles: days on the chart (today included, 1-11) (default: 3). How many sessions show bubbles, today included.
• Bubbles: mode (default: Live (fixed at close)). When a bubble appears and when it becomes final:
  • Live (fixed at close): the bubble may appear or change while its candle forms and becomes fixed when the candle closes.
  • Confirmed: the bubble appears only after the confirmation time that follows its candle, and does not change afterwards.
  • Live + confirmation: the bubble appears at once as an outline (provisional); after the confirmation time it becomes filled (confirmed) or grey (not confirmed).
• Bubbles: confirmation time (minutes, modes with confirmation) (default: 15). Minutes after the candle used to confirm a bubble, in the Confirmed and Live + confirmation modes.
• Bubbles: show provisional bubbles (Live + confirmation) (default: true). In the Live + confirmation mode, shows or hides the provisional outlines.

Recording for the Strategy Tester (Ultra)

The Strategy Tester of MetaTrader 5 has no market depth. With recording on, Order Flow Book B3 Ultra saves the book of each live chart where it is open in a daily file (folder Common\Files\JetBook\<symbol>). In the Strategy Tester, in visual mode, it replays the recorded book on those dates: book, heatmap, traded volume, bubbles and the alert log. The footer shows Replay with the time, and the status line shows Recorded book: N snapshots or No recorded book for the date. Only the days on which a chart with the Ultra was open during the session can be replayed. Order Book B3 and Order Book Heatmap B3 PRO show Market depth only on live charts in the Strategy Tester.

• Record the book of live charts (default: true). Saves the book of the live charts where the Ultra is open, for the replay in the Strategy Tester.
• Minimum time between records (ms) (default: 500). Minimum interval between two saved book records. Higher values make smaller files with fewer details.

Tip: the visual tester keeps the right margin of its chart template. The book adapts to that margin; if it is too narrow, a message in the Journal suggests raising the chart shift of the tester template (Profiles\Templates\tester.tpl).

Alerts (PRO / Ultra)

Order Book B3 (free) has no alerts. In the PRO and the Ultra there are four kinds, each shown in the alert log with its tag:

• BIG: a big lot appears near the price.
• PULL: a big lot is removed from the book without being traded (live charts only). The row flashes with PULLED.
• IMB: strong imbalance, when the buy or sell side of the best levels reaches the Strong imbalance (%) input.
• ABS (Ultra): absorption at a price, with the side holding (buyers or sellers).

The alert log at the bottom of the book lists the newest alerts first: time, kind and a short text with the size, the price and the side (buy or sell in their colors). The log always shows the alerts, even with the alert mode set to Off.

• Alert (the chart log shows them anyway) (default: Sound). How alerts are sent. Options: Off, Popup, Sound, Smartphone notification, Popup + Sound, Notification + Sound, Popup + Notification, Popup + Sound + Notification.
• Sound (default: alert2). Terminal sound played with the alert (alert, alert2, connect, disconnect, email, expert, news, ok, request, stops, tick, timeout, wait).
• Also send e-mail (default: false). Also sends each alert by e-mail.
• Show the last alerts at the bottom of the book (default: true). Shows or hides the alert log at the bottom of the book.
• Alerts in the log (default: 10). How many alerts the log shows (up to 20).
• Big lot appears near the price (default: true). Alert when a big lot appears near the price.
• Near the price (ticks) (default: 10). Distance from the best price, in ticks, within which a new big lot is alerted.
• Big lot removed without trading (default: true). Alert when a big lot is removed from the book without being traded.
• Strong imbalance (default: true). Alert when the imbalance becomes strong.
• Absorption (Ultra; default: true). Alert when there is absorption at a price.

Push notifications need the MetaQuotes ID set in Tools, Options, Notifications; e-mail needs the account set in Tools, Options, Email.

Inputs: Colors

• Buy orders (bids) (default: 61,219,176). Buy orders, buy side of the imbalance bar and buying bubbles (green).
• Sell orders (asks) (default: 240,96,90). Sell orders, sell side of the imbalance bar and selling bubbles (red).
• Big lots (default: 227,179,65). Big lots in the book and the heatmap, strong imbalance percentages and ABS tags (gold).

These colors are used in the book, the imbalance bar, the heatmap, the bubbles and the alert log. The panel background follows the chart background, and the texts adapt to light and dark charts.

Tips and frequent questions

• The book stays empty or shows No market depth for this symbol. The broker does not send market depth for that symbol or account. Check the Market Depth window of MetaTrader 5; forex and CFDs usually have little or no depth.
• How many levels will I see? As many as the broker sends, up to the input limit; the footer shows broker depth. The extended book (PRO / Ultra) adds levels seen earlier beyond that depth.
• The chart is zoomed out and the rows are thin. With the Auto layout the book becomes a ladder with fixed rows by itself; you can also choose the ladder in the Layout input.
• The heatmap is empty in the PRO. It is built from the moment the indicator is added to the chart; leave the chart open during the session.
• Removing the indicator restores the chart shift that the chart had before.
• To replay a day in the Strategy Tester (Ultra), keep one chart of that symbol with the Ultra open during the session, with recording on.

Download

• Order Book B3 – free: book with up to 4 levels per side, big lots and imbalance.
• Order Book Heatmap B3 PRO – all live levels, extended book, liquidity heatmap and alerts.
• Order Flow Book B3 Ultra – everything in the PRO plus traded volume, absorption, bubbles and replay in the Strategy Tester.

Questions and suggestions: send me a private message through my MQL5 profile.

Trading involves risk of loss. The indicator shows market information; it does not forecast prices or guarantee results.