Orderbook Heatmap

A futures orderbook heatmap plots resting depth in perpetual and dated contracts across price and time. What distinguishes it from a spot book is that a futures book simultaneously carries three very different kinds of intent: hedging, arbitrage and speculation.

A meaningful share of thick bands in a futures book are the hedge legs of basis arbitrageurs — orders that express no directional view and shift in lockstep with spot, so they are not genuine support or resistance. The tell is whether a band translates as spot moves: bands tracking spot are arbitrage legs, while ones pinned to round numbers are more likely real directional interest. Near expiry, dated-contract books also show regular depth migration from rolling, which has nothing to do with sentiment.

Volume and market-structure metrics describe the size and distribution of trading activity. Methodologies differ sharply between venues (wash-trading filters, USD conversion), so confirm the accounting basis before comparing platforms side by side.

The live chart for this metric is still being wired up. Global volume, venue share and perp-vs-spot pages already carry real data.