Read the resting-liquidity Depth Map

Identify the evidence behind each layer

The Depth Map heatmap describes captured displayed resting liquidity through time. Stepped bid and ask lines describe captured BBO, while execution bubbles summarize qualified classified trade bursts. These layers share a price and time canvas but do not measure the same thing. Bright resting size is not executed volume, and a bubble is not a promise about future liquidity. Start with the exact contract and a modest time window, then learn to read one layer at a time before combining them into an interpretation.

Open and simplify the depth view

Use Order Flow in Bubbles mode or the Futures Depth Map tool in Map. The dedicated Order Flow page provides the most direct access to detailed display controls.

1. Select the intended product or dated contract and inspect its resolved identity.
2. Open Settings and read source, depth synchronization and coverage information.
3. Use View to keep Liquidity heatmap and Bid / ask lines visible, temporarily hiding other layers if needed.
4. Adjust the visible time and price range until individual changes can be inspected.
5. Tune the liquidity palette and thresholds only after confirming that the underlying depth state is available.

Read brightness relative to the active appearance

Heatmap color depends on the selected palette, intensity, contrast, opacity and resting-size thresholds. The appearance controls can use absolute minimum size, a percentage of the visible peak or a captured-size percentile to omit weaker levels. A side-dominance filter can further narrow the visible resting quantities. Therefore, the same captured book can look sparse or bright under different settings. Compare actual quantities and source continuity before comparing screenshots. A darker or blank cell can result from a display threshold as well as from missing evidence; the cause matters.

Follow displayed liquidity through observed time

A horizontal heatmap region shows eligible captured resting quantities while the corresponding continuity is valid. Changes can reflect observed additions, removals or replacements in displayed size, but the visualization alone does not reveal an order owner's intent. It does not prove whether a quantity change was a cancellation, a fill or another exchange-side event. If a level disappears near execution activity, inspect the separately captured trades and synchronized evidence rather than treating temporal proximity as a complete order-lifecycle reconstruction. Anonymous historical spans are not exact queue histories.

Distinguish historical heatmap from the current book

The current Order Book column can remain synchronized to the latest market while the chart shows older executions and resting spans. Moving the time viewport backward does not automatically rewind today's current book to that moment. Historical heatmap evidence must come from captured depth for the earlier period. A new complete current book can restore present synchronization after a disconnect, but it cannot establish the missing earlier sequence. Provider price-level depth can also lack individual order-queue detail even while it provides valid displayed quantities by price.

Interpret gaps and possible absorption cautiously

Disconnects, sequence problems and incomplete book transactions terminate historical continuity. A depth-only gap does not erase valid execution evidence, but trades cannot be used to invent the missing resting ladder. Possible absorption needs actual executions and synchronized replenishment at a holding displayed level; an apparently persistent bright band alone is insufficient. If no absorption marker appears, inspect its required evidence and thresholds instead of assuming the heatmap itself proves absorption. The indicator describes an observed association, not hidden-order ownership or a guaranteed reversal.

Troubleshoot a sparse or missing heatmap

Open Settings and confirm the Liquidity heatmap is enabled, the depth source is synchronized and the selected period is covered. Temporarily reduce restrictive size or dominance filters and restore a known palette to distinguish a rendering choice from an evidence gap. Check whether manual price zoom has moved the relevant levels outside the viewport. Compare the current book with historical coverage without expecting one to repair the other. Include contract, time range, threshold settings and the visible depth-state text in support screenshots, keeping the price and time axes visible.