TERMINAL / GUIDE
Liquidity heatmap
Resting book size across price and time, alongside observed trades.
04 / 14Liquidity heatmap
Interactive interface · ArcDelta dataOpening the workspace…
Start here
- 01Select a listed pair and venue.
- 02Choose the bar interval and price-row size.
- 03Enable the needed layers; check coverage and the source timestamp.
Inputs
ArcDelta order-book snapshots and updates, plus trades.
General limitations
Read the source timestamp and venue coverage. No data is different from zero; stale observations must not be read as current.
- Calculation
- Bid and ask sizes are grouped into the selected price rows at each sampled time. Colour intensity represents displayed size after the chosen visual scaling.
- Reading & controls
- Inspect a price/time cell, change row size and compare its development with trade prints.
- Limitations
- Resting orders can be cancelled. Sampling and book-depth limits mean the heatmap does not show every order or execution.
- Calculation
- Prints are placed by time, price, aggressor side and observed size.
- Reading & controls
- Compare executions with the book at the same time; distinguish executed size from resting size.
- Limitations
- Quantities are in base-asset units unless a USD label is shown. Compare the same venue, time window and row size.