Distinguish stock from change
An order-book size of 400 contracts is a snapshot. A heatmap adds its evolution through time. More displayed volume at a level may include new orders; less volume may result from executions or cancellations.
Reconcile the change numerically
A synthetic level starts with 400 contracts. Then 150 are added, 80 execute and 170 are removed. The new displayed size is 400 + 150 − 80 − 170 = 300. The two endpoint snapshots alone would not reveal that composition.
The example is deliberately simplified. Real recordings may cover limited depth or aggregate updates. Record which details your feed actually provides.
Do not infer intent from one cancellation
An order removal does not reliably identify who placed it or why it was withdrawn. A single disappearing band cannot establish manipulative intent. Use a neutral description of the observed changes.
Document contact with price
Compare displayed size before approach, during contact and afterward. Add executed volume, spread and time. You can then check whether the impression of liquidity was supported by the recording available at the time.
| Event | Contracts |
|---|---|
| Opening size | 400 |
| Added | +150 |
| Executed | −80 |
| Removed | −170 |
| Closing size | 300 |
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.