Bookmap Knowledge Base

Bookmap Knowledge Base

  • User Guide
  • Add-ons
  • Java API

›5. Indicators

1. Introduction to Bookmap

  • Bookmap Knowledge Base
  • Bookmap® Connectivity
  • Software Versions
  • Bookmap System Requirements

2. Getting Started

  • Register And Download Bookmap
  • Visit Bookmap Portal
  • Enter Your License Key
  • Select A Run Mode
  • Connect To A Broker Or A Data Provider
  • Install An Adapter
  • Connect To Own Data Source
  • Subscribe To An Instrument
  • Open The Main Window
  • Activate Bookmap Offline
  • Add-ons Manager

3. Setting Up & Operating Bookmap

  • Tabs
  • Heatmap. Main Chart
  • Columns

4. Trading

  • Trading with Bookmap
  • Order Types
  • Orders Management
  • Cross-Instrument Trading
  • Trading Configuration Panel
  • Trading from DOM
  • Cross Trading

5. Indicators

  • Display And Settings
  • Cumulative Volume Delta
  • Large Lot Tracker
  • Imbalance Indicators
  • Strength Level Indicator
  • Correlation Tracker
  • MBO Bundle Installation Guide

6. Multibook

  • Introduction to Multibook
  • Multibook Synthetic Instruments
  • Multibook vs Multibook Customizer
  • How to Install Multibook
  • Multibook FAQ

7. Strategies

  • Automated Strategies
  • Automated Strategies FAQ

8. Partnerships

  • Thinkorswim (TOS)
  • Coinbase Derivatives Exchange
  • Coinbase Derivatives - Nano Bitcoin

9. Bookmap Wiki

  • Iceberg Orders Tracker
  • Market Mechanics

10. Help

  • Bookmap Basics FAQ
  • Bookmap Performance FAQ
  • Bookmap For Crypto FAQ
  • Bookmap Marketplace FAQ
  • MBO Bundle FAQ
  • Multibook FAQ
  • Glossary
  • Release Notes

11. Errors

  • General Errors And Crashes
  • Performance Issues
  • dxFeed Data And Backfill Data Issues
  • Rithmic Issues
  • Other Issues

12. Appendices

  • Appendix I. Keyboard Hotkeys
  • Appendix II. Custom Notes
  • Appendix III. Special Orders
  • Appendix IV. Orders Format
  • Appendix V. Colour Value Names

Strength Level Indicator

Strength Level Indicator is a part of Global+ package and is drawn on the upper chart. It contains two modes: Underflow and Resistance

  • The Underflow algo reads the quantity in the order book and the size of the transactions made. If the transactions are bigger than the amount of liquidity in the order book, we assume it is an iceberg order. It might not work on some data sources as it relies on depth data being aggregated.
  • The Resistance The indicator detects how fast limit orders are added to the order book after a transaction. Users can configure the delay since the transaction and also filter the min size. With small delay value and high-quality data, it may produce results similar to Native Iceberg, although this option is less reliable than the Native Iceberg*.

Strength Level Indicator works with many data providers and many exchanges. The quality of the detections depends on both your market data provider and the sequence of events received. Because of the inaccuracy of data provided and the algorithm used, false positives can occur. For instance, when there is an unrelated size increase shortly after a trade, despite those belong to two different users and are just a coincidence, the algorithm will see it as an Strength Level).

*Native Iceberg is a part of the Stops & Iceberg Tracker add-on, which is part of the MBO bundle. The subscription is available for purchase on Bookmap Marketplace. It can be tracked with CME MBO data only. Right now, supported by Rithmic only.

These icebergs are the type of iceberg orders managed directly by the CME exchange. The Stops & Iceberg Tracker precisely displays the executed part of the iceberg. It is presented on the bottom Indicator Panel.

Go to the MBO Bundle Add-ons page in the Knowledgebase for details. To explore more about the CME Market by Order iceberg visit the CME website.

Strength Level Indicator Application

The Strength Level Indicator add-on displays the number of hidden contracts on the heatmap. Bookmap generates the iceberg indications based on the difference between the actual pending orders offered at that price level and the actual number of orders that transacted at that price level.

For example, if the Strength Level Indicator displays 43, this signifies that 43 more contracts were transacted than were available in the order book at that specific time.

In contrast, the display of the strength level on the chart does not depend on a specific chart range and is placed at the relevant time and price on the chart.

screenshot

Strength Level Indicator Interpretation

Traders can assess the possibility of hidden liquidity at certain price levels with the Strength Level Indicator. Since hidden orders are usually associated with the activity of more sophisticated players, traders may also use this information to assess possible short-term price action and areas of resistance or support.

Strength Level Indicator Settings

To enable the Strength Level Indicator, click the Studies Panel icon above the chart and check the Strength Level Indicator box.

  • Users can control the colours of indications for sell and buy orders.
  • Users can also set voice alerts and apply an order size filter for the alerts.

There are no specific settings for the Strength Level Indicator.

screenshot

Strength Level Indicator Limitations

Strength Level Indicator can only display hidden orders after the execution of those orders has taken place; it is not forward-looking. It cannot display hidden orders currently resting at specific price levels. As mentioned earlier, discrepancies are likely to occur on low-quality data.

Even on colocation servers, high-quality data and timing are very important for proper iceberg detection. We recommend starting from a setting of 5ms delay and testing the results. In fact, the best option to filter out some noise will be 0.5ms. For example, 50ms is quite a long time in the HFT environment.

Bear in mind, though, that in general, discrepancies will occur; this is the nature of the business and technology. To get very precise iceberg detection would require the highest quality data with a collocated dedicated connection directly at the exchange.

← Imbalance IndicatorsCorrelation Tracker →
  • Strength Level Indicator Application
  • Strength Level Indicator Interpretation
  • Strength Level Indicator Settings
  • Strength Level Indicator Limitations
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