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What is Heatmap (liquidity heatmap)?

A chart that colours resting order-book size at each price over time: the order book with memory. Shows where liquidity was added, held or pulled.

In context

The heatmap gives the order book a memory. You can see where liquidity keeps returning, where the book is thin (dark areas, where price may travel quickly because little is in the way), and what happened the last time price met a particular band.

From Chapter 10: Liquidity, the Order Book and the Tape

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Related terms

Order bookLiquidity

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