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.

Presentation parameters set the resolution of what can be seen. Price buckets aggregated too coarsely merge distinct levels into false walls, while too fine a grid dissolves the map into speckle; the time axis typically compresses older snapshots so recent structure stays legible; and the colour scale is logarithmic for the same reason as on the spot heatmap. Futures books add fields worth exposing that spot books lack, and the map gains interpretive power when funding-rate context and the basis are overlaid, since a wall's meaning differs between a contract trading rich and one trading flat to spot. Data acquisition is the binding constraint: full level-two feeds at high frequency across many venues are heavy, so most heatmaps sample, and sampling systematically misses the fastest quote games. The practical implication is that this view suits swing-horizon structure reading, such as where persistent bands sit relative to liquidation clusters, rather than execution-grade microstructure work, which needs the raw feed.

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