Distinguish offered liquidity from executions
An order-flow heatmap tracks displayed order-book size across price and time. A footprint assigns executed volume to price levels within a bar, for example by bid and ask. A large footprint number therefore does not mean the same thing as a bright heatmap area.
Read one level in both views
A synthetic price area first displays 500 contracts. Later, 200 contracts execute there. A heatmap can show changes in offered size through time; a footprint records the executions within its bar. The fact that 200 traded does not by itself explain what happened to every initially displayed order.
Compare matching data windows
Use the same contract, feed and time window. A short footprint excerpt and a long heatmap history otherwise cover different events. Check price aggregation and bar type before interpreting differences as contradictions.
Ask two separate review questions
First ask: What liquidity was visible before the decision? Then ask: What executed during contact? Record both answers with timestamps. Switching tools is useful when it provides an additional observation.
| Review question | Heatmap | Footprint |
|---|---|---|
| Previously displayed size | Can be examined over time | Cannot be inferred from fills alone |
| Executions at each price | Needs an execution overlay | Core of the display |
Sources and methodology
Sources explain concepts or the respective provider’s product descriptions. Worked examples are original and synthetic. Verify current contract specifications before use.