CME futures - show volume of canceled orders per price level

[jmorici]

Hello-

Are you able to add a feature that shows volume of canceled orders per price level in real time? This would be for CME Equity Index futures.

Thanks,

-Joe

[midav341]

Hey Joe! Thank you for the request! We have this idea for the Tradermap Pro add-on, did you try it? (https://bookmap.com/knowledgebase/docs/ ... dermap-Pro). We are going to show the order book of pulled (canceled) orders with the separate Tradermap Pro chart. This is the raw idea for now, it was not approved yet. What do you think about it, will it address your request?

[jmorici]

How I envision it, is more of a market profile by price level. Volume of canceled orders increase the horizontal bar (same as market profile). I’m looking for behavior in head moves verses a legitimate breakout. The algos seem to swat people around in range bound markets, I want to see if we can detect this by monitoring all canceled/ pulled orders.

[jmorici]

I guess you could use the bubbles too. Traded volume can be misleading due to arbitrage opportunities with other products.

[jonathan_stroot]

Agreed - this would be a great feature to add not only for just equity indices but ALL instruments.  Please make this happen.

[jmorici]

Any hopes of making this feature happen quickly?

[jmorici]

Any update here?

[jmorici]

Any update here?

[midav341]

Hey everyone! We have it in our roadmap, but the priority of it is low. We need more traders who will vote for this feature to increase the priority.

[jmorici]

I really appreciate the update. 

Guys please chime in on this, I've worked for one of the large HFT shops, monitoring cancels is key. I dont think any other platform out there does this. My old firm specifically had a proprietary monitor to show cancels.

Thanks!