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.
- 1 What is Bookmap wiki?
- 2 Why Bookmap?
- 3 Bookmap Free and paid packages
4 Market data and Trading systems
- 4.1 Comparison of market data sources
- 4.2 Understanding different temporal types of data
- 4.3 Recent Historical Market Depth data
- 4.4 Futures
- 4.5 US stocks
- 4.6 Digital and Cryptocurrencies
- 4.7 All data and trading connections / supported market data providers
- 4.8 Trading
- 5 Bookmap API
- 6 Bookmap for MacOS
- 7 Must read
- 8 Useful links
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.
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 Market depth video.
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.
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:
|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:
|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: Instructions and example comparison of market data feeds.
Understanding different temporal types of data
To avoid a confusion, here are 4 temporal types of data.
|Type of data||In which mode it's used||Details|
|Real-time||Real-time||Formally, it's also a delayed data depending on your data vendor and distance from the data source. This is a technical delay (up to hundreds of milliseconds), not intentional.|
|Delayed||Real-time||Intentionally delayed data. Can be delayed by a minute or hours. Typically provided as a demo where real-time data isn't free.|
|Recent historical||Real-time||Added to the left side of the chart upon connection and continued by real-time data. Allows to observe what happened before connection / subscription|
|Historical||Replay||Allows to replay, debrief, and analyse the data that was previously recorded in real-time|
Recent Historical Market Depth data
Note: Recent historical data must not be confused with historical data. A thumb rule is this: recent historical data is what precedes the moment of a real-time subscription while historical data is what is played by Bookmap Replay.
Bookmap Version 7 introduces an access to recent historical data including market depth data upon subscription to a given instrument. This gives traders a better orientation immediately after the moment of subscription to real-time data. Market depth data, unlike other forms of market data (such as trades or aggregated OHLC), includes all the data available for a given market. It requires significant bandwidth (typically x20 times more than just trades data) and also integration of the recent historical market depth data with the real-time data. It is therefore not offered by other trading platforms of which we are aware of.
Bookmap offers recent historical market data for the last 48 hours. There are 3 sources of the data. First, Bookmap attempts to load the historical data which was recorded during the previous trading session and stored on your computer in C:\Bookmap\Feeds\ folder. If there is no previously recorded data or if it has gaps, Bookmap will download the missing data from the other two sources depending on the instrument type.
|Data source||Supported instruments||Free||Paid|
|Data recorded by Bookmap on user's computer during previous session(s)||Any||Up to 48 hours|
|Powered by Bookmap||Digital currency from supported exchanges||Up to 48 hours|
|Powered by Devexperts||US Stocks and Futures(*)||Up to 1 hour||Up to 24 hours for $14/mo per exchange|
(*) Supported futures exchanges are CME, ICE, and Eurex.
Note: The historical part of the data is not recorded into the Bookmap data files “.bmf”. These files will contain only the real-time data since subscription to the instrument. However, users can save the complete data via File->Export menu.
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.
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.
After subscribing to Bookmap, connect to your account here and select one or more of the following data subscriptions which enables access to 15 symbols.
Currently supported data feeds are:
|Data source||Details||Ref.||Non-Pro Price||Pro Price|
|Nasdaq TotalView||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.||$119 / mo||$329 / mo|
More details are available here: US Stocks dxFeed_data by Devexperts
Digital and Cryptocurrencies
Currently available connections are GDAX, BitMEX, Bitfinex, and OKCoin.
Useful information about BitMEX: BitMEX Adapter
All data and trading connections / supported market data providers
|Connections||Futures||Stocks*||Crypto (Free)||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, ...||From brokers||Yes|
|dxFeed||Yes||Yes||Real-time||Global||Via IB ***||Full||5||Nasdaq, EDGX||No||From Bookmap|
|dxFeed||Yes||Yes||Delayed||Digital||Simulator||Full||5||Nasdaq, EDGX||No||From Bookmap|
|Cedro Crystal||Yes||Yes||Real-time||Global||Yes||Full||5||BM&F Bovespa (Brazil)||From XP broker|
|S5 Trader||Yes||Real-time||Global||Yes||10 levels||4||No||CME, Eurex, ICE, ...||From Stage 5||Yes|
|CQG||Yes||Real-time||Global||Yes||10 levels except CL||4||CME, Eurex, ICE, ...||From brokers||Yes|
|Interactive Brokers||Yes||Yes||Real-time||Global||Yes||10 levels||2||CME, Eurex, ICE, ...||From IB|
|Gain||Yes||Real-time||Global||Yes||10 levels||4||No||CME, Eurex, ICE, ...||From brokers|
|IQFeed||Yes||Real-time||Global||No||10 levels||3||CME, Eurex, Ice ...||From IQFeed||Yes|
|Ninja Trader||Yes||Real-time||Global||Yes||10 levels||3||No||Continium = CQG Kinetick = IQFeed||From NinjaTrader|
|Transact||Yes||Real-time||Global||Yes||10 levels||3||No||CME||From Transact|
|X_TRADER (TT API)||Yes||Real-time||Global||Yes||10 levels||4||No||CME, Eurex, ICE, Euronext ...||From brokers|
|Bookmap Replay||Yes||Yes||Yes||Historical||Digital+||Sim||Full||5||Any||Files recorded by user|
|Virtual exchange||Real-time, simulated||Digital||Yes||Full||5||VE||Included||Sep 2018|
* 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 .
***** MacOS is not supported with target connection API based on .NET, which is Windows OS dependent
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.
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).
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: Bookmap for MacOS file.
- Bookmap Offline Activation
- Bookmap Performance FAQ
- Bookmap forum
- The complete Bookmap user guide
- Getting Started & Education material
- How to compare the data from different market data vendors
- Advanced educational course
- Demo and Trial data for Bookmap
- FAQ for frequent beginner questions
- Download Bookmap (logging in required)