Depth Bars

Description

• Features 3 modes:
  • Total bid and offer volume overlaid as simple, concise histogram
  • Delta bid-difference shown as a set of candlesticks or OHLC bars where the offer volume is subtracted from the offer
  • Delta ask-difference also shown  as a set of candles or OHLC bars. This mode will produce a candles which are a mirror image of the bid-difference mode
  • Delta ratio (the difference between the bid and offer volume as a ratio) as a simple, easy-to-read histogram where positive values indicate and imbalance of bids and negative values indicate an imbalance of offers
• Records up to 5000 bars of historical data for continuity when reloading a chart or restarting your platform
• Configurable order book depth support for full depth instruments
• 3 configurable reference lines
• Market depth data is required for this product

See it in action:

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Use the depth bars to reveal critical changes to the order book shape and size:

• Liquidity events: if you’re not paying attention to the DOM sudden price movements can take you completely by surprise. When bids or offers are pulled from the order book, market orders can dramatically and easily move price because there’s no limit order volume to absorb the pressure. Conversely, when the order book becomes balanced (mostly equal numbers of bids and offers) and unusually large, price tends to go nowhere because only extreme volume market orders can clear out the bids or offers.For example, you can clearly see that liquidity was withdrawn from the WTI futures market just ahead of a Baker Hughes rig count announcement and then returned just after:

• Liquidity imbalances: Markets very often move in the direction of a liquidity imbalance, and hints at direction also often appears in the order book before it’s evident in price or traded volume. Said differently, when there is an excess of offers in the order book buyers can see this and may respond by transacting at those prices. Vice versa for an excess of bids, resulting in price movement.In the example below the WTI futures contract continued to move up in price until the offer liquidity (in red) imbalance was resolved and the bid liquidity (in green) began to dominate: