Difference between revisions of "Main Page"

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'''Is ARCA/CTA/NYSE included into the dxFeed subscription?'''
 
'''Is ARCA/CTA/NYSE included into the dxFeed subscription?'''
<li>Currently dxFeed provides Nasdaq and EDGX data only, but this is full market depth data.  
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<li>Currently dxFeed provides Nasdaq and EDGX data only.
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If you wish to have additional market data connectivity, please complete the following survey
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https://docs.google.com/forms/d/1afDtWmqfoNL6Kzyy7GSgp8836hXV0hAkmodFqMRGk48/prefill
 
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Revision as of 16:41, 26 August 2018

Bookmap is a high-performance trading platform. Over the last few years, it has set a new standard for accurate realtime & replay visualization of complete market data. Main features of Bookmap are its heatmap visualization of the evolution of market depth (order book), and volume bubbles that show when, where and amount of volume traded with unlimited precision. It allows traders to see actions and intentions of other traders and thus make better trading decisions. Customers include individual traders, proprietary trading firms and hedge funds. Bookmap works with Futures (e.g. CME, Eurex), US stocks, and digital / cryptocurrencies.

Bookmap Orientation.png

What is Bookmap wiki?

Just like Wikipedia, Bookmap Wiki must contain only fact-based content with as little as possible promotions, even for Bookmap itself. Users are very welcome to contribute and edit pages. Our staff periodically reviews recent changes to improve the content and moderate it when necessary, and also to make the life of 'contributors' useless if they are spamming bots. This cheat sheet shows tips on how to edit and format the content. For easy getting started, go to Preferences -> Editing, and select "Enable enhanced editing toolbar". This adds a helpful toolbar during editing.

Why Bookmap?

Order Flow poll.png

There is a large variety of trading platforms including very good ones with unique features that focus on particular aspects of trading. Here are several key points that distinguish Bookmap from other trading platforms and explain the motivation for creating it.

Bookmap chart vs other charts

Unlike other Order flow trading platforms, Bookmap visualizes the Order Flow of all orders. It uses heatmap to display not only the flow of aggressive orders (i.e. traded volume), but also the flow and its evolution of passive orders which contribute to ~90% of market data and which contain most of the activity of large institutional traders. This allows traders to see in real time how market participants interact and react on significant events including events related to large liquidity in market depth [1].


Another distinct feature is 3D volume bubbles which show with the precision of user's display resolution when and where executions (i.e. trades) took place. The traded volume is proportional to the volume of 3D bubbles, which makes it intuitively easy to grasp the evolving and highly non-uniform level of activity of the market during different periods of time.

Volume Bubbles.jpg


Is Bookmap profitable?

The short answer in "No". The longer answer requires a little of background. Exchanges and trading venues in general work in a surprisingly similar way. Exchanges don't conduct trading activity of their own, but rather a platform for interaction between traders. The rules of this interaction are defined by exchanges in the form of Matching Algorithms. Accordingly, all the thousands of market data based indicator including the price itself are a direct function of actions performed by traders. The set of available to traders actions is typically pretty simple and probably didn't change much since the first sort of trading venue was established thousands years ago:

DIKW.png
Action Parameters Exchange response
1 Send a new order Buy or Sell, Size, Price Order ID
2 Cancel an order Order ID

Most exchanges (but not all) also allow to modify working orders:

Action Parameters
3 Modify an order Order ID, New size, New price

This and other aspects of trading are described in details on Market Mechanics page, which is a highly recommended background for traders.

That Bookmap is built to provide maximum transparency into the actions and intentions of market participants, limited only by the quality and transparency of the data that exchanges and intermediate data vendors are offering. Traders view Bookmap chart as an HD video that shows market actions with no delay or aggregation. Bookmap neither an an indicator nor a trading strategy. Its purpose in relation to the pyramid diagram is to take 100% of market data and, convert it into useful information in order to help traders to get the relevant knowledge which can consequently improve their trading decisions. Bookmap also takes care for fast transmission of trader's action to the exchange. For that purpose most click trading actions are transmitted when traders press the mouse button and not when they release it, which saves dozens of milliseconds.

Market depth data typically contributes to ~90% of all market data. Accordingly, ignoring it (like many other charts and trading platforms do) would shrink the width of the base of the Data -> Actions pyramid by 90%. Therefore this could not possibly lead to a wider than original top of the pyramid, i.e. to better actions.

Bookmap Free and paid packages

Bookmap Free package is called Bookmap Digital. It doesn’t require any payment details and contains free real-time data of digital- cryptocurrencies from GDAX and other exchanges such as BitMEX, Bitfinex, and OKCoin. Also, it contains delayed data of US stocks powered by dxFeed (Devexperts). These data feeds are available 24/7 and let you get an impression of what Bookmap is, and even to trade from the chart using built-in trading simulator.

When traders decide to watch real-time Futures or US stocks, they can upgrade to Bookmap Global package. Global+ package enables trading on a broker account and number of addons. Trading at crypto exchanges requires Bookmap Digital+ package.

As for Apr 2018, the monthly prices for Digital+, Global, and Global+ packages are $37, $49, and $99 accordingly. Yearly subscriptions add ~20% discount.

Market data and Trading systems

Bookmap is neither a broker, nor a data vendor, but users can connect it to almost 20 data sources and trading systems as shown below. Users need to choose which data sources and trading systems they wish to connect Bookmap to. Bookmap supports parallel connectivity to multiple connections. Full market depth data is essential to get most of Bookmap visualization powers especially when looking at the chart with large time and price ranges. It's highly recommended connecting Bookmap directly to data vendors and order management systems (OMS), e.g. Rithmic or CQG, and not via a 3rd party platform (more details here: Bookmap_Performance_FAQ).

Traders who are interested in a particular market / instrument / asset / exchange should check which of the supported by Bookmap data vendors listed below provides such connectivity.

I wish to use Bookmap with a particular Exchange / Data vendor / OMS, but I don't see it in the list of supported connections.
What should I do?

This is addressed by Bookmap Connect solution (free) and Bookmap Quant solution (paid). Jump to Bookmap API section for more details.

Comparison of market data sources

Users can use Bookmap to compare by themselves the latency and quality of 2 or more market data feed sources on either large scale or in milliseconds time range. The results of latency comparison may be different for different users depending on geographical location of the user, exchange, and data servers of the data vendor. Here are more details and an example of such comparison: [2].

Futures

As of Apr, 2018, only Rithmic provides full market depth for all CME instruments. This is why it's recommended by Bookmap for watching & trading CME Futures.

ESM8.CME@RITHMIC screenshot 20180412 195742 000-003.png

US stocks

Traders can connect Bookmap to dxFeed market data offered by Devexperts. As for July 2018 it is the only available US stocks data source over the internet with the institutional level of quality. Traders can connect Bookmap simultaneously to dxFeed market data and their Interactive Brokers account for trading. Connection to other brokerage platforms can be developed using the API under Bookmap Connect solution.

    What are the supported market data packages and what are the costs?
  • After subscribing to Bookmap, connect to your account here and select one or more of the following data subscriptions:
Feed Details Ref. Non-Pro Price Pro Price
Nasdaq Depth Nasdaq TotalView & Nasdaq Last Sale: Full market depth & Traded volume Read more $69 / mo $199 / mo
EDGX Depth Cboe/EDGX (BATS): Full market depth & Traded volume Read more $59 / mo $129 / mo
Premium bundle Includes a consolidation of the above feeds. Enable access to 15 symbols $119 / mo $329 / mo
    Remarks
  • Each of the feeds covers all US equities
  • Up to 24 hours of recent historical data merged into real-time data upon subscription to a new symbol. The resolution of recent historical data is 1 second.It consolidates the following:
  • Nasdaq TotalView FOD
  • Cboe/EDGX (BATS) FOD
  • When subscribing to more than 1 data source, the data sources will be consolidated to a single feed.


    How much does Bookmap cost and how do I purchase it?
  • First, you have to subscribe to Bookmap. Click here to subscribe.
  • Bookmap Global price starts at $39 / month (for longer-term plans)
  • Bookmap Global+ price starts at $79 / month (for longer-term plans)


    What data subscription combinations are supported?
  • Any combinations of the feeds: NasdaqTV, Edgx, NasdaqTV & Edgx consolidated books


    Can I trade with Bookmap and dxFeed US Equities data?
  • Yes. Connect to dxFeed data and trade via Interactive Brokers (IB) account from the same Bookmap chart.
  • For training, you can also use the Bookmap built-in simulator.
  • We plan to add connectivity to more platforms for trading US Equities in near future. If you have the preference for a specific platform, please let us know.


    Will there be dxFeed Futures data package available?
  • Real time Futures data package will be available soon.
  • If you wish to get Futures data, please fill in the support survey send email to support@bookmap.com


    What is the difference between Level I, Level II, Level III? What is the full market depth?
  • As opposed to Futures that are traded on a single exchange, Equities/Stocks are traded on several exchanges (ECN’s) in parallel. Using dxFeed Bookmap you will get insight into the full consolidated order depth and trades for the all US equities based on data coming from some of the most liquid US exchanges – NASDAQ & EDGX.
  • Level 1 data includes the Best Bid and Offer (BBO) prices and the last traded prices with the respective volumes.
  • Level 2 data in some cases refers to Level 1 from different exchanges, where the BBO may be different between the exchanges. In other cases, Level 2 may relate to the depth of the market with limited levels. E.g up to 10 levels.
  • Full depth data includes all available real-time bid and ask prices (on all levels) and also the last traded prices.


    What is the resolution of the data? Is the market data limited in depth levels?
  • dxFeed real-time market data feed contains the highest resolution for US equities and includes full depth of market data updates and all trades.
  • Unlike some of the Futures exchanges the number of transmitted depth levels is not limited.
  • Note that since the scope of data is extremely large, historical data is aggregated to 1 second


    What is the resolution of the data? Is the market data limited in depth levels?
  • We do not offer trials. You can test Bookmap by subscribing to our free version here.
  • Free Bookmap includes a delayed dxFeed. You will get access to many of Bookmap features. The exact delayed time will be displayed in the upper left corner of the Bookmap chart.


    Can I connect to the equities feed in parallel to Futures feed?
  • Yes. Bookmap enables multiple concurrent connections.


    Does it support MAC?
  • Not yet. Currently, only Windows is supported.
  • We’re working on MAC version that is planned to be launched in Aug.


    Is there a limit to the number of symbols I can get with the equities feed?
  • Yes, there is a limit of 10 symbols at a time. However, you can subscribe to any of the thousands of US equity symbols available -- all US equities and exchanges are available.


    Which credentials do I use for the equities feed?
  • You should use your bookmap.com credentials. The ones you got when you first subscribed to Bookmap.


    Can I record the depth data with Bookmap?
  • Yes, you can record the data with Bookmap and also use Bookmap Replay mode & simulator to replay the data for practice and analysis purposes.


    How reliable is this feed?
  • Devexperts provides data feed solutions for some of the big brokers, such as TD Ameritrade.
  • The equities market data feed is very reliable and have 99.99% uptime during trading hours.


    Can I use Bookmap from more than one PC?
  • You can run Bookmap on any PC that meets the hardware requirements. However, you cannot use Bookmap simultaneously on multiple PCs.
  • If you have an active session on a certain PC you will be able to terminate it once you log in to a second PC.



    When will you add ARCA/CTA/NYSE?
  • During next two month Bookmap will add NBBO data, which will also include the top of ARCA book.


    Will I see the volume from ARCA?
  • No, you can’t see the volume from ARCA. Currently, we offer Nasdaq Total View and EDGX.


    What is the difference between Nasdaq and EDGX?
  • The order book for US Equities is much more complex than futures. There are several data providers such as Nasdaq, EDGX/BATS, ARCA, PSX, BX, etc. In Bookmap, DxFeed offer connection to two of these providers, Nasdaq and EDGX/BATS. Thus, you will not see all of the liquidity for each stock, but you will see a lot.


    You offer all CBOE depth or only just EDGX ?
  • Just EDGX. There is a special if you want to try both Nasdaq TotalView/Last sale and EDGX/BATS for $59 for the first month and then $119 afterwards.


    Is Nasdaq Total View montage itself: I could see EDGX as MM; then why you offer EDGX as a separate data feed ?
  • Nasdaq TotalView and LastSale does not include EDGX liquidity.


    What is the % of the total volume in US tickers that have these 2 options? how % each does have out of the total volume of tickers ?
  • This depends on the stock. For the overall market, We don't know the answer for percentages. ARCA also provides a lot but is very expensive. We may offer it in the future but I do not have any info on this.


    US brokers (IB , Etrade .. etc etc) offTotalView totalview, right ?
  • Regardless, you might be able to connect to stocks with IB in Bookmap, but you will not have access to the depth data. You would need to subscribe to dxFeed.

Digital and Cryptocurrencies

Currently available connections are GDAX, BitMEX, Bitfinex, and OKCoin.

BitMEX, OKCoin, and Bitfinex are external adapters developed under Bookmap Connect solution. Here are simple instructions on How to install a Bookmap Connect adapters.

Useful information about BitMEX: https://www.bookmap.com/forum/viewtopic.php?f=9&t=6.

All data and trading connections

Connections Futures Stocks* Crypto Data type Minimum License ** Trading Market depth data Data quality score 1-5 **** MacOS ***** Exchanges API access ****** Where can I get the data? Demo data available? Status remarks
Rithmic Yes Real-time Global Yes Full 5 Soon CME, Eurex, ICE, ... Yes From brokers Yes
dxFeed Yes Yes Real-time & Delayed Global Only via IB *** Full 5 Nasdaq, EDGX Pro traders only, Aug 2018 From Bookmap
Cedro Crystal Yes Yes Real-time Global Yes Full 5 BM&F Bovespa (Brazil) Yes From XP broker
S5 Trader Yes Real-time Global Yes 10 levels 4 No CME, Eurex, ICE, ... Yes From Stage 5 Yes
CQG Yes Real-time Global Yes 10 levels except CL 4 CME, Eurex, ICE, ... Yes From brokers Yes
Interactive Brokers Yes Yes Real-time Global Yes 10 levels 2 CME, Eurex, ICE, ... Yes From IB
Gain Yes Real-time Global Yes 10 levels 4 No CME, Eurex, ICE, ... Yes From brokers
IQFeed Yes Real-time Global No 10 levels 3 CME, Eurex, Ice ... Yes From IQFeed Yes
Ninja Trader Yes Real-time Global Yes 10 levels 3 No Continium = CQG Kinetick = IQFeed Yes From NinjaTrader
Transact Yes Real-time Global Yes 10 levels 3 No CME Yes From Transact
X_TRADER (via TT API) Yes Real-time Global Yes 10 levels 4 No CME, Eurex, ICE, Euronext ... Yes From brokers
GDAX Yes Real-time Digital Yes Full 5 GDAX Yes Included
BitMEX Yes Real-time Digital Yes Full 5 BitMEX Yes Included Beta
OKCoin Yes Real-time Digital Yes Full 5 OKCoin Yes Included Alpha
Bitfinex Yes Real-time Digital No 100 levels 5 Bitfinex Yes Included Alpha
Nanotick Yes Historical Global+ Sim Full 5 CME Yes From Nanotick
Bookmap Replay Yes Yes Yes Historical Digital+ Sim Full 5 Any Yes Files recorded by user
Virtual exchange Real-time, simulated Digital Yes Full 5 VE Yes Included Aug 2018

Remarks:

* Only stocks with market depth data are considered

** Tells which Bookmap license is required from Digital to Global+

*** Connect Bookmap to dxFeed and then to your Interactive Brokers account for trading

**** Internal score based on factors such as latency, data throttling, and synchronization between market depth data with T&S and BBO. Users can compare themselves data quality of multiple data vendors using Bookmap [3].

***** MacOS is not supported with target connection API based on .NET, which is Windows OS dependent

****** Gives access to Bookmap_API for development of custom modules. Stock exchanges have additional requirements for having the access to non-display data.

Trading

Bookmap allows to trade from the chart and visualizes with with unlimited precision when the orders were placed, modified, canceled, or executed. Users who prefer to trade via other trading platforms can still connect Bookmap to the same account and watch their order as if they were initiated from Bookmap.

Trading Orders Visualization.png

Replaying trading sessions

Main article: Bookmap Orders Format

Market data and orders can be recorded, allowing to debrief trading sessions later launching Bookmap in Replay mode. In addition, traders can export and import orders file in human readable format, which implies that such files can be edited or even generated from scratch (e.g. from an external simulation software).

Bookmap API

Bookmap API.png

Main article: Bookmap API

Bookmap API consists of three layers for different purposes. 1. Layer 0 API allows connecting Bookmap to additional data sources and trading systems. There are two solutions under Layer 0 API: Bookmap Connect solution enable to create adapters that are open to all (e.g. add a new Crypto exchange) and Bookmap Quant solution is for self use, enabling to connect to proprietary data and trading systems. 2. Layer 1 API allows implementation of automatic trading strategies, gives an access to raw market data, and user's trading activity on the chart. 3. Layer 2 API allows drawing of custom indicators and controlling the chart rendering.

Bookmap for MacOS

Bookmap for MacOS is in development. The 'alpha' version is available here: [4].

Must read

Useful links