Liquidity Heatmap

A liquidity heatmap plots order-book depth across price levels and time, with colour intensity showing how much size rests at each level. It reveals how thick a wall price would meet at a given level — a different dataset from a liquidation heatmap, which maps the density of leveraged positions facing forced closure.

Focus on where thick bands sit and whether they persist. Genuine liquidity walls remain as price approaches and absorb flow; phantom liquidity that pulls as price nears is routine market-maker behaviour and provides no support. When a dense band is consumed, it usually comes with a volume surge — confirmation that a trend is accelerating rather than reversing. Depth data is snapshot-limited and cannot capture millisecond-scale quote games.

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.

Rendering choices shape what a liquidity heatmap appears to say. Depth is sampled as periodic order-book snapshots, bucketed into price bands and coloured on a logarithmic scale, because without the log transform a handful of giant orders would wash out all remaining structure. Snapshot cadence matters too: a band that looks continuous at one-minute resolution may be flickering in and out between samples, which is precisely the phantom-liquidity behaviour worth discounting. Aggregation across venues introduces a further choice, since summing depth treats all exchanges as one pool even though arbitrage transmits pressure between them with friction and delay. The highest-value read combines this map with the liquidation heatmap: a level where thick resting liquidity coincides with dense estimated liquidations is where a moving market will both accelerate as stops trigger and then find absorption in resting size. Order-book data also excludes OTC and dark liquidity entirely, and those channels handle a growing share of institutional volume.

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