heatmap from orderbook of limited depth (5 or 10)

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ingyukoh
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heatmap from orderbook of limited depth (5 or 10)

Post by ingyukoh » Wed Dec 11, 2019 5:13 pm

If equities have order book of depth 5 or 10( as in case of  Nikkei and Kospi), how to draw heatmap which should have more depth information?
Do you assume that order book persists?  If price goes near that price level, do you adjust the heatmap?

In cryptocurrencies like Bitmex, order book has enough depth.   

Or S&P 500 E mini has enough depth to draw heatmap, in contrast to 5 or 10 layers of ask/bids only in Nikkei and Kospi?

Best regards,
Ingyu

Zack
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Re: heatmap from orderbook of limited depth (5 or 10)

Post by Zack » Wed Dec 11, 2019 5:59 pm

Hi Ingyu,

In case market data consist of limited # of price levels Bookmap can present an Extended order book 

In that case, Bookmap keeps records of the order book size at each price level and displays it. Whenever a certain price level goes out of the price range transmitted by the relevant exchange, Bookmap will continue displaying the last transmitted size at the out-of-range price level and will update the size once this price level returns to the transmitted range. This allows traders to estimate market depth even beyond the exchange transmitted range, however please note that it is only an estimation or more accurately, a record of the last transmitted size

Zack

Svyatoslav
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Re: heatmap from orderbook of limited depth (5 or 10)

Post by Svyatoslav » Wed Dec 11, 2019 6:33 pm

Let me add to the answer. S&P 500 E mini. depending on provider, can be reported as full depth marked-by-price or even full depth order-by-order, so in some providers supported by Bookmap data is full depth with highest possible (or close to that) detailization.
When this isn't the case (for some other providers) and number of levels is limited - we use Extended OB, as described by Zack.

ingyukoh
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Re: heatmap from orderbook of limited depth (5 or 10)

Post by ingyukoh » Thu Dec 12, 2019 1:08 am

Dear Zack and Svyatoslav,
  Thanks for concept of extended order book and full depth.
Through extended order book, can I write to feed Kospi and Nikkei stocks and futures(depth 5 for equities and 10 for futures) to bookmap through bookmap API?
I am a good programmer in C# and python.  But I think I can write in java, your choice of program if bookmap API have functionality of importing limited depth order book.

Best regards,
Ingyu

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Re: heatmap from orderbook of limited depth (5 or 10)

Post by Svyatoslav » Thu Dec 12, 2019 8:17 am

Hi. Yes, you should be able to feed limited depth order book via API, the only thing you'll need to do differently is to declare that it isn't full depth (see javadoc for InstrumentInfo object, specifically isFullDepth field). When sending "fake" removals - do it from outside inwards, and bookmap will take care of generating extended order book.

Regarding the implementation language - technically you can use any language with the help of this wrapper class: https://github.com/BookmapAPI/Layer0Api ... vider.java - only very minor edits to Java code are required (like naming it differently and unpacking/launching your own executable), but if you are good in C# - I'd recommend going with Java directly, it's not that different for the most part.

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