VeloxPro 4.4 BookMap User Guide

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BookMap

User Guide

Dec 04, 2015 | Software version 4.4

Copyright © 2015 By VeloxPro Limited. All rights reserved

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Table of Content

Introduction ................................................................................................................................................................4

1. System Requirements .........................................................................................................................................5

2. BookMap Control Window .................................................................................................................................5

3. Running BookMap ..............................................................................................................................................8

3.1 Trading Technologies Users ........................................................................................................................8

3.2 CQG Users ................................................................................................................................................ 10

3.3 NinjaTrader Users .................................................................................................................................... 12

3.4 TWS Users ................................................................................................................................................ 14

3.5 S5 Trader Users ........................................................................................................................................ 17

3.6 IQFeed Subscribers .................................................................................................................................. 19

3.7 Rithmic Users ........................................................................................................................................... 20

4. Operating BookMap ........................................................................................................................................ 23

4.1 BookMap Chart ........................................................................................................................................ 24

4.1.1 Order Book Heat Map...................................................................................................................... 24

4.1.2 Traded Volume Visualization ........................................................................................................... 31

4.1.3 Chart Synchronization ..................................................................................................................... 36

4.1.4 Chart Refresh Rate and GPU Acceleration ...................................................................................... 36

4.2 BookMap Columns .................................................................................................................................. 37

5. Replay data / Simulated trading mode ............................................................................................................ 43

6 BookMap Add-ons ........................................................................................................................................... 45

6.1 BookMap one-click execution add-on ..................................................................................................... 45

6.2 Large Lot Tracker ..................................................................................................................................... 54

6.3 Imbalance Indicator ................................................................................................................................. 56

6.4 Iceberg Detector ...................................................................................................................................... 59

Annex I –Keyboard Shortcuts .................................................................................................................................. 61

Annex II –Color value names ................................................................................................................................... 62


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Introduction

BookMap is an innovative market depth analysis software that delivers a consolidated visualization of past and present order book and order flow u sing an adjustable gray scale heat map. BookMap keeps record of the order book activity over time and displays it to the trader together with current depth of market.

The visualization of the evolving order book and order flow activity provides traders with an enhanced ability to analyze market dynamics and patterns as well as assessing the perpetual strength and weakness of different price levels.

Example of the BookMap interface with specific feature call outs.


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1.

System Requirements

The following hardware and software specifications are the minimal requirements for installing and using

BookMap: a) Windows 7, 8, 8.1, 10 or XP SP3. b) Monitor with minimum resolution of 1024x768 c) Video card of minimum 516 MB memory supporting OpenGL 3 (introduced in 2008) or higher. To check what OpenGL you can install an OpenGL extension viewer. d) Minimum of 4GB RAM and 1 GB free disk space. e) Intel Core 2 DUO (or equivalent), 2.0 GHz or above+ f) Stable internet connection. Minimal speed 1Mb/sec g) A mouse with a middle button is required for the one-click trading add-on feature. h) .NET 3.5

2.

BookMap Control Window

The BookMap Control Window is where you subscribe or list the instruments to view on BookMap. For more details on how to run BookMap with your platform and view the instruments of your choice on

BookMap please refer to section 3 “ Running BookMap

”

.

The BookMap Control Window has some useful setup and links described below:



Show current log under File>>Show log file. This might come in handy in pinpointing operational problems during support sessions. Previous sessions files are kept in the user folder.



User Folder. This folder stores the BookMap log files, configuration, feed files recorded during you

BookMap sessions and saved screenshots of your BookMap chart. To access the user folder go to

File>>Open user folder.


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

Workspace. Users can save their current workspace with all the symbols subscriptions and settings.

BookMap will always open with the last saved workspace and subscribe to all the symbols in the workspace automatically.

Users can save multiple workspaces and can open specific workspaces from the File menu on the

BookMap Control Window



Setting tab with setup options for colors, time zone used, restore configuration, control of chart

refresh rate and rendering method (see section 4.1.4

below). To keep the BookMap Control Window

always on top, check the “Always on top” checkbox.

When BookMap is connected through an API x (TT API, CQG WEB API, RITHMIC, and S5) and work as a standalone platform, the setting menu will also include an Account Info item. The account info panel displays different information relating to your account, such as P&L, trades history, open positions etc.)


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Account information window



Under Help tab, click the

Show Help

to be redirected to your resource page on the BookMap website.

If you wish to use your BookMap copy on a different machine, click Help>>

Deactivate

to deactivate your current license. After the license has been deactivated simply install BookMap on another machine and enter your license key once prompted to activate BookMap on the new machine.

Click the

User Guide

menu item to get your current version user guide.

Click

Check for Updates

to get the latest available version of BookMap.


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3.

Running BookMap

BookMap supports the following 3 modes of operation:

Replay data / Simulated trading

: this mode of operation is independent of your trading platform and operates as a standalone product. It allows you to replay market depth data files of previous live sessions you recorded. Traders can place and execute simulated orders to evaluate how their trading decisions and strategies fit their analysis of the market based on BookMap insights.

Live data / Simulated trading

: this mode of operation allows you to trade with internal BookMap simulator while acting on real time data transmitted from your supported trading platform.

Live data / real trading

: this mode of operation presents real time market depth data and orders transmitted from your supported trading platform. It also supports the transmission of limit orders to your supported trading platform through one-click order placement directly from the BookMap chart. This mode requires

the one-click trading add-on feature (see section 0 for details).

3.1 Trading Technologies Users

BookMap connects directly to the TT API. To work with BookMap, TT users need to download

TT API 32 bit

from here . After logging in to BookMap using the X_Trader credentials, TT users can load the symbols of their choice onto BookMap either manually or by dragging them from their TT platform (X_Trader and

X_Trader Pro). Click here for a short video tutorial on how to run BookMap with TT X_Trader or X_Trader

Pro.

3.1.1

Open BookMap by clicking the BookMap shortcut that was placed on your desktop at the end of the BookMap installation. This will open the BookMap run options window.

BookMap Run Options Window


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3.1.2

Choose either of the live data run options and X_Trader as your trading platform. To record live data, click the "Record Live data" checkbox. This will record your session's data into a proprietary formatted file which you can later replay using the Replay run mode. Click OK to open the BookMap for TT API login screen.

BookMap for TT API Login

3.1.3

Enter you X_Trader credentials and login. This will open the BookMap Control Window

BookMap Control Window

3.1.4

To add instruments to BookMap, users can either add the symbols manually by clicking Add and typing in the symbol name (using the exact syntax used on the X_Trader platform), or drag and drop the symbols of your choice from the TT Market explorer on you X_Trader platform. For the latter option, simply select the instruments of your choice and drag them onto the BookMap control window. The selected instruments will be displayed on the

BookMap control panel. Initially they will be displayed with grayed out buttons, which will become active once new trade data is received from X_Trader Pro. Once active, click any of the active symbol button to open its respective BookMap chart. Note the recording marking on the control window to verify whether the session is being recorder or not. indicates a recorded session while indicates an unrecorded session.


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BookMap Control Window with TT Market Explorer

3.2

CQG Users

BookMap connects directly to CQG Web API, CQG Trader or CQG IC. Click here for a short video tutorial on how to run BookMap with CQG.

3.2.1

If you are running BookMap with a CQG platform, make sure before launching BookMap Live that your CQG platform is up and API is enabled (check the “Enable API” under the API tab).

BookMap will not open if CQG's API is not activated. If you are running BookMap with CQGWEB it can run as a standalone configuration without a CQG platform open.

3.2.2

Open BookMap by clicking the BookMap shortcut that was placed on your desktop at the end of the installation process. This will open the BookMap run options window.


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BookMap Run Options Windo

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3.2.3

Choose either of the live data run options and CQG Web API or CQG Trader/CQG IC as your trading platform. To record live data, click the "Record Live data" checkbox. This will record your session's data into a proprietary formatted file which you can later replay using the Replay run mode. Click OK to open the BookMap Control Window. If you are connecting to CQG Web

API you will get a login screen before the BookMap Control Window opens. You need to enter your CQG credentials to login.


3.2.4

In the BookMap Control Window click 'Add Instrument'. This will open the Subscribe window.

Type in the symbol you would like to view on BookMap (refer to CQG's Tradable Symbols documentation for guidance). There is no need to type future's expiration, as BookMap will display it automatically. To display and expiration different from the current one, type in the proper symbol with the desired expiration month. Click OK to load the symbol data into

BookMap.


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3.2.5

After confirming the symbol details on the subscribe window, the symbol will be added to the

BookMap Control Window. Initially it may be displayed as a grayed out button but will turn active once new data is transmitted from CQG. Once active, click the symbol button to open the BookMap chart. Note the recording marking on the control window to verify whether the session is being recorder or not. indicates a recorded session while indicates an unrecorded session.

BookMap Control Window with an active symbol

3.3 NinjaTrader Users

Click here for a short video tutorial on how to run BookMap with NinjaTrader. While the method for connecting BookMap to NinjaTrader detailed here is by using BookMap as an indicator inside

NinjaTrader, Ninja users can also work with BookMap in parallel to their NinjaTrader platform by connecting BookMap directly to the one of the applicable data feed | transactional APIs, detailed in this

Section 3. This way Ninja users can work with BookMap as a standalone platform while still keeping it in sync with their NinjaTrader platform and account.

3.3.1 Before running BookMap live for the first time, the BookMap script has to be imported as an indicator to the NinjaTrader Platform. To import the BookMap script, follow the steps below.

Please note the installation process of BookMap in NinjaTrader is performed only once.

Afterwards, you will add BookMap as an indicator in NinjaTrader.


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First, delete any older installation of BookMap. Open NinjaTrader and go to "File -> Utilities

-> Remove NinjaScript Assembly. If you have an older installation of BookMap, you will see the BookMapindicator and BookMap proxy dll in the list of script assemblies. Remove first the proxy dll and then the BookMap indicator. b.

To import BookMap, go to File>>Utilities>>Import NinjaScript Assembly. This will open your file browser. From the file browser look for the BookMapIndicator.zip. The default path is

C:\Program Files (x86)\BookMap\NT\BookMapIndicator.zip

. Select the zipped file

"BookMapIndicator" and click "OK". This will start the import process and add BookMap as an indicator into NinjaTrader. After importing the BookMap indicator into NinjaTrader restart your NinjaTrader platform. Once NinjaTrader reopens, connect it to your data provider.

Importing NinjaScript

c.

Open a Ninja chart with the symbol you would like to view on BookMap. Once the Ninja chart is up and running, click the indicator symbol above the chart to open your available indicators list. From the list of indicators mark BookMap xRay and click OK. d.

BookMap control window will open with the symbol of your choice. To add more symbols to BookMap control window, simply open another Ninja chart with a symbol of your choice and add the BookMap xRay indicator to the chart. All symbols will be added to the

BookMap Control Window.


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BookMap Control Window with active symbols

3.4

TWS Users

Click here for a short video tutorial on how to run BookMap with Interactive Brokers TWS.

3.4.1 Before launching BookMap with your TWS platform make sure that “Enable ActiveX and Socket

Clients” is checked. To activate it, go to "File>>Global Configuration>>API>>Settings" and mark the checkbox. If it is not checked, then BookMap will not open.

TWS API Settings Window


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3.4.2

Open BookMap by clicking on the BookMap shortcut icon on your desktop. This will open the

BookMap run options window. Choose either of the live data run options and TWS as your trading platform. To record live data, click the "Record Live data" checkbox. This will record your session's data into a proprietary formatted file which you can later replay using the Replay run mode. Click

OK


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3.4.3

Next a Connection window pops up. Click "OK". Also click "Yes" to Interactive Broker's Accept incoming connection attempt window


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3.4.4

After connecting, the Add Instrument button on the BookMap Live control window will become active. Click "Add Instrument" button to open the BookMap Subscribe window and add the instruments of your choice. The number of instruments per session that can be added to

BookMap is limited by TWS to three. Note that the details of the exchange and instrument of your choice must match exactly to those used by TWS. To copy the exact instrument text in TWS, right click on any symbol text in TWS platform and select “Contract Info>>Description”. Copy and paste the contract info and symbol name into the respective BookMap Subscribe window. Be sure to copy all spaces and expiration info as well. Then click “OK”.

3.4.5

The symbol will be added to the BookMap Control Window. Initially it will be displayed as a grayed out button but will turn active once new data is transmitted from TWS. Once active, click the symbol button to open the BookMap chart. Note the recording marking on the control window to verify whether the session is being recorder or not. indicates a recorded session while indicates an unrecorded session.


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3.5

S5 Trader Users

Click here for a short video tutorial on how to run BookMap with S5.

3.5.1 Open BookMap by clicking the BookMap shortcut that was placed on your desktop at the end of the installation process. This will open the BookMap run options window.


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3.5.2 Choose either of the live data run options and S5 as your trading platform. To record live data, click the "Record Live data" checkbox. This will record your session's data into a proprietary formatted file which you can later replay using the Replay run mode. Click OK to open the S5

BookMap login screen.

3.5.3 On the S5 BookMap login screen enter your S5 login details and click Login. If you are connecting to an S5 demo environment, make sure to check this option before logging in. Once logged in the BookMap Control Window will be displayed.


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BookMap for S5 – Login Screen

3.5.4 On the BookMap Control Window click 'Add Instrument'. This will open the Subscribe window.

Type in the symbol you would like to view on BookMap and click OK to load the symbol data.


BookMap Subscribe Window

3.5.5 After confirming the symbol details on the subscribe window, the symbol will be added to the

BookMap Control Window. Initially it may be displayed as a grayed out button but will turn active once new data is transmitted from S5. Once active, click the symbol button to open the

BookMap chart. Note the recording marking on the control window to verify whether the session is being recorder or not. indicates a recorded session while indicates an unrecorded session.


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3.6 IQFeed Subscribers

BookMap can be connected directly to IQFeed data without the need to have the data streamed through any platform.



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3.6.2 Choose the Live data a/ Simulated trading run mode and select IQFeed as your trading platform.

To record live data, click the "Record Live data" checkbox. This will record your session's data into a proprietary formatted file which you can later replay using the Replay run mode. Click OK to open the IQFeed BookMap login screen. Enter your IQFeed login details and click Login. Once logged in the BookMap Control Window will be displayed.

BookMap for IQFeed – Login Screen



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3.6.3 On the BookMap Control Window click 'Add Instrument'. This will open the Subscribe window. Type in the symbol you would like to view on BookMap and click OK to load the symbol data. Note that the symbol name should be types in the exact format used by IQFeed.

3.6.4 After confirming the symbol details on the subscribe window, the symbol will be added to the BookMap

Control Window. Initially it may be displayed as a grayed out button but will turn active once new data is transmitted from IQFeed. Once active, click the symbol button to open the BookMap chart. Note the recording marking on the control window to verify whether the session is being recorder or not. indicates a recorded session while indicates an unrecorded session.

3.7 Rithmic Users

BookMap 4.4 Supports the R+ API by Rithmic. R API is not supported.



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3.7.2 Choose either of the live data run options and Rithmic as your trading platform. To record live data, click the "Record Live data" checkbox. This will record your session's data into a


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______________________________________________________________________________________________ proprietary formatted file which you can later replay using the Replay run mode. Click OK to open the Rithmic BookMap login screen.

3.7.3 On the Rithmic BookMap login screen enter your Rithmic login details, system and gateway and click Logon.

BookMap for Rithmic – Login Screen

BookMap Subscribe Window



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3.7.4 On the BookMap Control Window click 'Add Instrument'. This will open the Subscribe window.

Type in the exchange and symbol you would like to view on BookMap and click OK to load the symbol data.

3.7.5 After confirming the symbol details on the subscribe window, the symbol will be added to the

BookMap Control Window. Initially it may be displayed as a grayed out button but will turn active once new data is transmitted from Rithmic. Once active, click the symbol button to open the BookMap chart. Note the recording marking on the control window to verify whether the session is being recorder or not. indicates a recorded session while indicates an unrecorded session.

[Intentionally left blank]


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4.

Operating BookMap

The screenshot below provides an overview of the main elements on the BookMap chart and columns. The sections below provide more details on each of these elements and additional features.

Legend:

1. Best bid-ask lines

2. Last executed trade

3. Current time line

4. Traded volume dots

5. Historical order book heat map

6. Current order book heat map

7. Volume bars

8. User definable columns B

9. VWAP line

10. Upper limit of exchange transmitted range

11. Bottom limit of exchange transmitted range


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4.1 BookMap Chart

4.1.1 Order Book Heat Map

Application

:

The BookMap chart displays the best bid and ask lines on top of a gray shade heat map of the instrument’s order book. In contrast to other order book applications, which only display the latest instance of the order book, BookMap record every instance of the order book and color code it based on its relative size. This forms a heat map of the order book, which allows traders to observe the evolution of the market depth over time and detect different patterns that may help in anticipating short term price action.

Interpretation

:

Every price level displays a gray scale based on the relative size of the pending orders resting at that level. The gray scale ranges between complete black to complete white. The larger the relative size of the pending orders the whiter the gray scale of that price level. The dynamic nature of the current order book is reflected in BookMap by the changing gray scale. In other words, traders can gauge the variations of liquidity at each level, based on the changes of the

BookMap gray scale. Such changes are either the result of an increase or decrease in the number of the pending orders at that price level, or changes in the relative size of that price level compared to the entire visible order book.

The order book heat map is divided by a vertical moving or static time line (which can also display a configurable price ladder). Everything left of the vertical time line is a historical view of the order book and price action, while the area right of the vertical line represent a gray shade scaling of the current order book. The last trade size is displayed as a red number on the right side of the vertical time line at the relevant price level. To choose between a moving time line and static time line display click the configuration icon above the chart and check (or uncheck) the static time line check box at the lower end of the configuration window. To choose whether to show the prices on the time line or left of the chart click the configuration icon and check or uncheck the “show prices on timeline” option. Users can also control the width of the area right of the timeline by dragging the timeline left or right.


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The image below illustrates the historical changes in liquidity in the NASDAQ futures. Note how the bright white areas of thick liquidity at 4145.25 and 4144.50 change to dark gray just before

14:39:13 and 14:39:23, respectively. This clearly illustrates pending orders that were pulled away from the market at that price level. Conversely, the gray scale of white bands of heavy liquidity at

4148 and 4146.50remain unchanged, which indicates stable liquidity. Lastly, the gray scale of

4142 around 14:39:23 changes from black to bright white, which indicates liquidity that has been added to that price level.

Liquidity Change


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Settings and supporting features

Chart contrast

An internal algorithm automatically adjusts the contrast of the order book heat map based on the maximum size on the order book and the distribution of pending orders at the different price levels.

Users can also determine how often BookMap will adjust the heat map contrast. It can be set at predefined frequencies and at every time the chart is re-cantered. To control these setting, click the icon above the chart and check the adjustment options you want to use.

In addition, users can control the contrast and brightness of the display by using the applicable sliders on the contrast settings window.

If “Show Advanced Settings” is selected from the contrast configuration panel, users can also control the white and black cut-off of the heatmap by either a percentage slider or by manually entering an exact number of contracts. If users enter an exact size of contracts, BookMap will assign a white (or black) color to any price level with an equal or greater (or smaller) number of contracts pending execution, while price levels with smaller (or bigger) sizes will be assigned with varying gray shades according to their relative size. If users choose to use the percentage slider instead, BookMap will assign a white (or black) color to any value at or above (or below) the percentile selected by the user on the slider (e.g. if 95% is selected for the white cut-off,

BookMap will assign a white color to the top 5% sizes in the order book; if 5% is set for the black cut-off, BookMap will assign a black color to the bottom 5% sizes in the order book). Note that while exact size is an absolute value, the sizes represented by percentile values keep changing as the order book changes.


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BookMap Contrast Configuration

Drag Mode and Zoom in-out

: a) To zoom in BookMap chart, click the and buttons or use the mouse scrolling wheel. b) Use the icon in the toolbar to scroll the chart sideways. When drag mode is active the hand icon will have a concaved depression . To switch off drag mode and go back to current price, click the hand icon once more to deselect it. c) While in drag mode users can scroll back as far as the start of their BookMap session, depending on memory capacity. Left click and hold the mouse while scrolling left and right.

The arrows keys can also be used to scroll. Each arrow key stroke moves the chart 1 pixel in each direction. Using the arrow keys while holding the shift key will scroll the chart 10 pixels in the relevant direction.

While in drag mode, users can also zoom in and out to view specific details within the historical order book. When zooming in using the scrolling wheel BookMap will keep the presentation anchored to point in the chart where the mouse cursor is placed. Traders can also use the zoom in and out icons while in drag mode. In this case BookMap will keep the


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______________________________________________________________________________________________ presentation anchored to the middle point of the current chart view. To switch off the drag mode just click again the hand icon above the chart. d) Users can also manipulate the time and prices axis by left click and hold and moving the mouse cursor left or right (time axis) or up and down (price axis). This action will either expand or contract the horizontal and vertical axis of the chart to increase or decrease the visible time and/or price level. Note that the manipulation of the vertical axis is done only when left clicking and holding over any of the chart columns and the manipulation of the horizontal axis is done when hovering over the time axis.

Time Slices

The BookMap chart includes dotted vertical lines marking the area between major two time stamps on the time axis. The length of time between vertical lines is dependent on the actual time range of the chart. To quickly set the chart range, click the stopwatch icon above the chart and choose the desired range. Note that this setting will also affect any synched charts.

BookMap Time Slice Options


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Snapshot Generator

Use either the icon above the chart or ctrl+S to take a screenshot of your current BookMap chart view. Snapshots are automatically saved to the user folder. The default path is

C:\BookMap\Screenshots

Color Setting

s

Custom color settings can be set for all elements, excluding the heat map gray scale. Color settings are located in the BookMap control window. Click on a color and select the desired color change, or click the eye drop button to select any color available from your computer screen.

Click “Save as” to save your color selections. Click “import” to import previously saved color profiles. To reset default colors, click the specific “Restore” color button or Restore All”. To open the color settings panel go to the BookMap control panel and click Settings --> Color Settings.

Color Settings Panel


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Information bar and tool tip:

The information bar at the bottom of the chart provides accurate data on the number of pending orders and the number of contract executed at every point on the chart. Simply hover with the mouse curser over a specific price level and time (left of the vertical timeline) to get the information on the number of pending contract. Similarly, the Information Bar can also display the volume of each transaction by hovering over an individual volume dot with the mouse cursor.

Be sure to carefully position your mouse pointer on the center of the dot to view the VWAP of the specific transaction .

Information bar and tool tip display of specific bid size and volume size and VWAP

The data displayed in the information bar can also be displayed with a tool tip over the BookMap chart. To display the tooltip click the icon above the chart and place the cursor over any point in the chart for which you want to display detailed information.


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Limitations

:

BookMap utilized ad display huge amounts of data and processes millions of updates over relatively short period of time. To preserve memory capacity the chart display is limited to 500

MB. Once the 500 MB threshold is reached, BookMap will truncate earlier session data.

Therefore, you may not be able to review earlier price action in the session when using the drag tool or extreme zoom-out view. Note that volume calculations still take into account the truncate part of the display.

As noted BookMap keeps records of the order book size at each price level and displays it with the relevant gray shade. Whenever a certain price level goes out of the price range transmitted by the relevant exchange (for example, CME transmits only the best 10 levels of bid and ask),

BookMap will continue displaying the last transmitted size at the out-of-range price level and will update the size once this price level returns to the transmitted range. This allows traders to estimate market depth even beyond the exchange transmitted range, however please note that it is only an estimation (or more accurately, a record of the last transmitted size)of size

4.1.2 Traded Volume Visualization

4.1.2.1 Volume Dots

Application:

BookMap displays transacted volume using the volume dots. Each dot represents the aggregate volume that has been transacted during a time period that is equivalent to 1 pixel slice of the user’s screen. This time unit will change based on the level of zoom applied to your BookMap chart: the more zoomed in the view is the shorter the time period represented by a single pixel slice will be, and vice versa.

The size of the volume dots circles is determined by user settings (as explained below) and by an algorithm that scales the aggregated volume of executed trades at a specific pixel time unit in relation to the instrument’s average volume.

Interpretation

:

User can gauge the volume dots to gain information on the relative size of executions at specific time and price areas and which side has been more aggressive in these transactions. The precise location of the dot’s center is determined by time (on the X axis) and by the Volume Weighted

Average Price (VWAP) of executions at the relevant time unit (the Y axis). The identity of the


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______________________________________________________________________________________________ aggressor side can be determined by the color of the dot which is set on a gradient scale of 2 configurable colors representing buyers and sellers. A stronger color represents a more aggressive action by the side associated with that color.

User can assign the colors they want for the buyers and sellers. See the

Color Settings

section above for more information.

Settings:

To display or hide the volume dots, click the studies icon above the chart and check the volume dots option on the studies panel.

Enabling Volume Dots display


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Various other settings for the volume dots can be accessed from the studies panel when clicking the Volume Dots item:

Volume Dots Configuration Panel

i.

Minimum accountable trade size

: volume dots will only be painted for trades that are equal to or larger than the minimum accountable size. To change the value of this parameter key in the value you want and click apply.

Example

: the minimal accountable trade size is set to 5. Volume dots will only be painted for trades that are 5 contracts or more

1 ii.

Minimum accountable pixel volume

: this parameter defines the threshold of aggregate volume of “Minimum accountable trades” required to paint a volume dot. To have any effect the value needs to be higher than the “Minimum accountable trades” if it is equal to or smaller than the “Minimum accountable trades” it will be ignored.

Example

: the minimum accountable trade size is set to 5 and the minimum accountable pixel volume is 10. Volume dot will only be painted for trades of 5 contracts or more that together have 10 or more contracts. iii.

Circle sizes:

defines the scaling of the volume dots.

1

Assuming the total number of contracts meet the criteria of Minimum accountable pixel volume as well


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Transparency

: sets the opacity level of the volume dots. v.

Hide dots according to density: this slider defines the zoom out level at which volume dots will not be displayed to avoid too dense clustering of dots on the screen. When slider is all the way to the right, volume dots will always be displayed regardless of zoom out level. When slider is all the way to the left volume dots will not be displayed at any zoom level.

4.1.2.2 Volume Bars

Application:

BookMap also displays transacted volume using volume bars painted on the lower part of the heat map. Each bar dot represents the aggregate volume that has been transacted during a time period that is equivalent to the pixel width of the bar. This time period will change based on the pixel width configured for the bar and the level of zoom applied to your BookMap chart: the more zoomed in the view is the shorter the time period represented by a single pixel slice will be, and vice versa.

BookMap with volume bar display


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Interpretation

:

User can gauge the volume bars to gain information on the relative size of executions at specific time and price and which side has been more aggressive in these transactions. The identity of the aggressor side can be determined by the color of the bar which is set on a gradient scale of 2 configurable colors representing buyers and sellers. A stronger color represents a more aggressive action by the side associated with that color.

User can assign the colors they want for the buyers and sellers. See the

Color Settings

section above for more information.

Settings:

To display or hide the volume bars, click the studies icon above the chart and check the volume dots option on the studies panel. By default the bars width is set to 1 pixel. Use the setting window on the studies panel to change the width of the bars up to a max width of 15 pixels.

In order to set the height of volume bar display the area on the heat map, hover with the curser over the volume bar area and drag the red line that appear to the desired height. The number on the right represents the max volume bar value during the displayed range.

Volume bars configuration


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4.1.3 Chart Synchronization

Application:

If you have multiple BookMap charts open, you can synchronize the charts together. One chart is defined as a master chart and the viewing range of all other open charts is synchronized with it.

Any change applied to the chart range of the master chart will automatically be reflected in the subordinate charts.

Interpretation:

Traders can use the synchronization feature to look for deviations in price or liquidity behavior of correlated instruments or viewing various legs of spread trades.

Settings:

Once all relevant charts are open, click the sync icon above the chart you want to designate as the master chart. Any change of range you make on the master chart (whether by dragging or zooming in and out) will be reflected on the subordinated charts. Note that all charts should have the same size window for the synchronization to be complete. To deactivate the sync mode simply click again the sync icon.

Limitations:



It is recommended that all synchronized charts are the same size in order to have a complete synchronization.



All open charts are affected by the synchronization feature; one chart acts as a master chart and the rest are subordinated to the master chart.



Dragging or zooming in and out on a subordinate chart will break the synchronization of that specific chart in relationship to the master chart.

4.1.4 Chart Refresh Rate and GPU Acceleration

BookMap utilized advanced GPU to efficiently and rapidly render the visual information on the chart. It could be that some users’ machine will be less equipped to handle the resources required for rapid chart refreshes, whether because of lack f advanced GPU support or low video memory. If you experience resources burden using the default refresh rate of the BookMap chart

(every 25 milliseconds) you can set the refresh rate higher for less resource strain on your system. To change the refresh rate, click

Setting >> Chart refresh rate

from the BookMap control panel, and choose an in-range rate from the refresh rate setting panel.


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BookMap normally works with OpenGL 3 and above. Not all video cards support this OpenGL version or may have outdated drivers. If you cannot update your video card to support this

OpenGL requirements BookMap can still work with older video card but that will require more

CPU utilization. To allow BookMap to work without GPU acceleration click the Settings menu on the BookMap control window and deselect the GPU acceleration option on the menu.

4.2 BookMap Columns

Application and Interpretation:

BookMap displays configurable columns to right of the BookMap chart. Each column can be configured to display the following column types: Current Order Book, Volume, Trades Counter, Quotes Counter,

Quotes Delta and Custom Notes



Current Order Book Numerical

(COB)

This column displays a graphical representation and numeric values of the pending orders of the current book with bars (COBB). Users can interpret the size of pending orders by comparing the relative size of the graphical bars.



Volume

(CVP, SVP)

This column displays a colored volume profile. The colors represent the aggressor side (buyers or seller). Users can interpret the aggressor trading side by looking at the colors of the volume bars.

Note the radio button choices available for volume: Session Accumulation (SVP), Chart Range

Accumulation (CVP). Session accumulation displays the volume from the beginning of the BookMap session. Chart range accumulation displays the volume of the only the visible data within the current

BookMap window. If you zoom in or out, you will notice how the volume changes to the data within the visible chart.



Trades Counter

(CTC, STC)

This column displays the number of trades accumulated at each price level. The colors represent the aggressor side (buyers or seller). Similar to volume, Trades Counter can be displayed by either

Session Accumulation or Chart range accumulation.



Quotes Counter

(CQC, SCQ)

This column displays the number of quotes refreshed at each price level. The colors represent the aggressor side (buyers or seller). Quotes Counter can be displayed by Session Accumulation (SQC) or

Chart range accumulation (CQC).


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

Quotes Delta

(+/-)

This column displays the size of pending orders added or pulled from the active bid and ask range

(the range below and above that is transmitted by the exchange). Each price level shows the number of contracts added or pulled from it since the last best bid or ask update. The best bid and ask price levels are marked with a rectangular of a matching color.

The delta number reset after each update of the best bid or ask. The top and bottom most numbers on either side of the active range is the total sum of the delta since the last best bid or best ask update.



Custom Notes

(CN)

This column displays user notes for each price level.

Columns showing volume profile, trades count and quotes count also display a horizontal line that mark the VWAP calculated from the start of the BookMap session or for the chart range displayed

(depending on the view method set by the user for the specific columns). To view the VWAP line on these columns, open the

Format Column

panel from the column right click menu and check the

Show

VWAP line

check box.

Layered BookMap charts with different column options


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To choose between columns types, right click any of the column and select the column type to display and, where applicable, whether to use session or chart range data accumulation.

See the screenshot on the next page of the columns right click menu.

Right click columns menu

Settings:

Users can set the colors representing buyers and sellers for the volume profile, trades count, quote

counts and current order book bars. For details, see

Color Setting

s section above.

Users can also control various aspects of the column display: (i) display the data as a single or split histogram; (ii) display the data as bars or number or both; (iii) alignment of the bars and numbers; and

(iv) inverse data display.


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To control all these display options, right click on the relevant column. At the top of the menu click

Format Column and set your display preferences from the format column dialogue box.

Format Column Dialogue Box

The data on the Volume. Quotes and Trades columns can be reset by the user, either manually or at predefined frequencies. For manual reset, right click on the relevant column and click the Reset option from the menu. For automatic reset, right click the relevant column and click the Automatic Reset option on the menu and enter the reset frequency you want.


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Manual column reset Automatic column reset


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To add notes, set the column type to Custom Notes. Once set, right click the custom notes column at the relevant price level and click the top option Add/Edit Notes. Use the custom note dialogue box to set your note and style it.

Custom Note Dialogue Box

You can also import notes from a csv file. To import your notes set the column type Custom Right click on the Custom Notes column and select import notes. Browse for your notes csv file and click open.

This will populate the Custom notes column with the notes from the file. You should use a specific csv template to import notes from. A cutom_notes_template.csv can be found in C:\BookMap\Config.

Please note that you should enter the Symbol and Price Level in the file in the exact format they appear on your platform and the BookMap chart. Values for Foreground Color, Background Color and Text

Alignment are optional. If not filled, default values will be used. Color values can either be entered as hex codes or names (list of colors names can be found in Annex 2).

To add or delete a column, right click on any column and select Insert Column or Hide Column. Initially, the column that is added is a replica of the column from which the Insert column option has been selected. User can then configure this column as they prefer. You can also rearrange the order of the columns by left click and hold the column title and dragging the column to the desired place. Columns can be dragged to either side of the BookMap chart.


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5.

Replay data / Simulated trading mode

BookMap offers the ability to replay and trade pre-recorded market data. This is a great training tool. All settings and features are fully functional within Replay mode.

Running BookMap in replay mode:

a.) Open BookMap. This will open the BookMap run options window:

BookMap Run Options window

Choose Replay data / Simulated trading and click ok. This will open BookMap Replay control window.

BookMap Replay Control Window


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______________________________________________________________________________________________ b.) In the control window, click “Feed”. This will open a new window. Choose one of the text feed files and click “Open”. Each feed file represents a prerecorded trading session.

User’s feed files directory

c.) The feed loads the recorded sessions. Give it a moment to load. Then click on the desired trading instrument. The BookMap chart pops up and starts from the beginning of the recorded session. The session can be paused or recorded at various speeds by clicking on the play buttons.

BookMap Replay Control Window with active symbols


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6 BookMap Add-ons

6.1 BookMap one-click execution add-on

This BookMap addon enables placing limit order with one click action directly from the BookMap chart. This offers a tremendous advantage for pinpointing trade location and expediting trade execution.

BookMap enables placing limit and stop orders with one click action directly from the BookMap chart. This offers a tremendous advantage for pinpointing trade location and expediting trade execution.

Cyan dots mark the entry of buy orders. The cyan line extends from the entry time until the order is either filled or cancelled. A filled buy order is marked by cyan triangle.

Magenta dots mark the entry of sell orders. The magenta line extends from the entry time until the order is either filled or cancelled. A filed buy order is marked by magenta triangle.

It is possible to define what type of order information will be displayed on the chart. By default, pending orders, cancelled orders, and executions are all presented on the chart. To change the default settings click the icon for trading configurations and uncheck the relevant information on the Order Display section.

See figure in the next page for details of the various orders markings on the chart:


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Legend

1.

Pending (sell) order

2.

Pending (sell) stop order

3.

Pending (buy) stop order

4.

Cancelled (sell) order

5.

Executed (buy) order

6.

Number of contracts & (Number of orders)


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Placing limit and stop Orders:

Every time the BookMap chart opens the one-click trading feature is disabled for precautionary measures. To enable one click trading click the gear icon above the BookMap chart. This will open a new window. Check

Enable One-Click Trading

and specify the number of contracts per click (order size).

Trading configuration

Note the display of the P&L, orders and positions panel is linked to the one-click trading feature being enabled or not. The panel will only be displayed above the chart when the one-click trading feature is enabled.

The BookMap chart is divided into 2 areas separated by the current time line. Orders can be placed with one click action only from the area right vertical time line. To place an order, follow the instructions below: a) To place a

Buy Limit

order, click the left mouse button at or below the current bid at the desired price level. Note that clicking the left mouse button at or above the current ask will result in a buy at current market price.


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______________________________________________________________________________________________ b) To place a

Sell Limit

order, click the right mouse button at or above the current ask at the desired price level. Note that clicking the right mouse button at or below the current bid will result in a sell at market price. c) To place a

Buy Stop

order, press SHIFT + left mouse button at or above the current ask at the desired stop price level. To place a

Sell Stop

order, press SHIFT+ right mouse button at or below the current bid at the desired stop price level. Note that stop orders can be either stop market of stop limit orders, as explained below. d) A single mouse click places an order for the number of contracts specified by the trader in the trade configuration settings window. Each additional mouse click will add another order for a similar number of contracts.

Stop order types

a.) A stop order can be placed as either stop market or stop limit. A stop market becomes a market order once the stop trigger price is reached. A stop limit order becomes a limit order once stop trigger price is reached. b.) To choose between the 2 stop order types click the gear icon above the chart and choose either MKT or LMT. When using a stop limit order set the stop order offset to indicate the limit price. Note that offset can also be negative. A negative offset mean that once the stop trigger is met the limit order is below the trigger price (for buy stop) or above the stop trigger price (for sell stop).


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Order duration

a.) There are 4 different order duration that can be set in BookMap:



Day – order expires at the end of the regular session



GTC – order stays in effect until cancelled



FOK – fill or kill



IOC – immediate and cancel b.) NOTE that order duration setup will kept for all orders until changed or until the one-click trading is disabled in which case the duration setup will revert to default.

c.) NOTE that stop order duration is set separately from limit order duration to allow greater flexibility.

The stop order setup will be kept for all stop orders until changed or until the one-click trading is disabled in which case the stop order setup will revert to default.

Order duration settings


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Cancelling pending Orders and exiting all positions

a.) To cancel pending orders, place the mouse pointer over the relevant price level and click the middle mouse button. When multiple orders are placed on the same price, BookMap will cancel the last order placed. b.) To delete all of the pending orders at a certain price level place the mouse pointer over the relevant price level and press CTRL + middle mouse button. c.) To cancel all pending orders click the icon above the chart. d.) To exit all open positions, click the icon above the chart. This will also cancel all pending orders.

Order modifications

Price Modifications a.) To modify the price of an existing order hover with the mouse cursor over the order line mark at the area left of the vertical time line. When over the order left click and drag the order marking to the new price, then release the left click to change the order price. NOTE: order modification is done from the area left of the vertical timeline. Performing this action from the area right of the time line will result in a new buy limit order, which may be executed immediately. b.) If there are multiple orders at a single price level, the order modification will apply to the newest order at that level. To move all order resting at the same price level, hold CTRL + middle mouse click and drag the orders to the new price.

Quantity Modifications a.) To change the quantity of an order hover with the mouse cursor over the order line mark at the area left of the vertical time line. When over the order line mark left click and release. This will open an order size ladder. Click the new order size you want to change the order. b.) If there are multiple orders at a single price level, modification will first apply to the newest order.


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Orders Price and Size modifications

Order display

a) Your trading data is displayed in the window above the chart. It shows your current position,

Average Price, the open number of Buy and Sell orders in the current market, the amount of volume you’ve traded, and your Profit and Loss.

b) Orders generated directly from your trading platform will also be displayed and updated on the

BookMap chart opened for the same instrument.

c) You can control from the trading configuration panel what on-chart indication of trades will be displayed on the chart itself


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Approximation of Order Queue:

When the one click trading add-on BookMap is enabled BookMap can display an approximation of the position of the trader’s orders in the queue. BookMap approximates the position in the queue according to a FIFO matching algorithm using a more pessimistic scenario relating to cancelled orders. The ability to display a more accurate position in the queue ultimately depends on the quality of data provided through the trader’s trading platform.

BookMap presents queue approximation with white vertical lines on top of the current order book histogram. The place in the queue is illustrated by the position of the line over the bar representing the current size of pending order at any given price level.

In order to activate the presentation of the queue approximation, click the configuration icon above the chart and check Orders Queue.


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IV. Orders Recording a.) With the one-click trading addon you can also record your own orders and later view the in replay mode. To record your order make sure first to record the session by checking the “record live data” check box on the run options window. After you launch BookMap make sure that the “Record orders”

Settings menu item is selected (it is by default). b.) After you finish recording close BookMap and reopen in replay mode. Select the relevant data file you want to replay, and make sure the “Replay recorded orders” Settings menu item is selected (it is by default).


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6.2 Large Lot Tracker

Application:

BookMap can display an approximation of the largest single pending order at any price level if that order crosses a certain threshold. In order for the Large Lot Trade to be displayed it has to be at least 20% of the total order size at the relevant price level and at least 10% of width of the largest pending orders bar.

Large Lot Tracker is displayed by a vertical white line on the

COBB

(current order book bars) when it is selected as a column option for any user defined column. The distance between the vertical line and the base of the bar is an approximation of the size of the Max Order.

White vertical lines indicating large order portion of total size


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Interpretation:

This feature can be utilized to identify the presence of a dominant market participant(s) at a certain price level.

Settings:

Once enabled the Large Lot Tracker add-on is activated by clicking the studies panel icon above the chart and checking the “Largest Lot Tracker” checkbox. User can set the thresholds a single order must pass in order to be displayed as a large lot. There are two thresholds to pass: the size of the order relative to the total size at the relevant price level (

Minimum percentage at price level

) and the size of the order relative to largest total size at any of the visible order book levels (

Minimum percentage in

Order Book

)

Enabling large lot display

Limitations:

The Large Lot Tracker is not based on an exchange transmitted data but rather on an internal algorithm that approximates the largest single order at any price level. Therefore, it is not guaranteed 100% accuracy. It requires the COBB (current order book bars) to be defined as one of the user’s column selections.


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6.3

Imbalance Indicator

Application:

The imbalance indicator is located on the top right corner of the BookMap chart. It displays two different imbalance indicators: the Order Book Imbalance, the Volume Imbalance.

Order book and volume illustrate upward potential movement

Order Book imbalance

represents the ratio between the average bid order book size versus the average ask order book size. The ratio is calculated as:

𝑁𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑎𝑐𝑐𝑜𝑢𝑛𝑡𝑎𝑏𝑙𝑒 𝑏𝑢𝑦 𝑜𝑟𝑑𝑒𝑟𝑠 − 𝑁𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑎𝑐𝑐�

杮 𝑢𝑛𝑡𝑏𝑎𝑙𝑒 𝑠𝑒𝑙𝑙 𝑜𝑟𝑑𝑒𝑟𝑠

𝑁𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑎𝑐𝑐𝑜𝑢𝑛𝑡𝑎𝑏𝑙𝑒 𝑏𝑢𝑦 𝑜𝑟𝑑𝑒𝑟𝑠 + 𝑁𝑢𝑚𝑏𝑒𝑟 𝑜𝑓 𝑎𝑐𝑐𝑜𝑢𝑛𝑡𝑏𝑎𝑙𝑒 𝑠𝑒𝑙𝑙 𝑜𝑟𝑑𝑒𝑟𝑠


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Volume imbalance

represents the ratio between the volume generated by buying aggressors ( market order transactions on the offer) versus the volume generated by selling aggressors ( market order transactions on the bid) . The ratio is calculated as:

𝑆𝑖𝑧𝑒 𝑜𝑓 𝑎𝑐𝑐𝑜𝑢𝑛𝑡𝑎𝑏𝑙𝑒 𝑏𝑢𝑦 𝑣𝑜𝑙𝑢𝑚𝑒 − 𝑆𝑖𝑧𝑒 𝑜𝑓 𝑎𝑐𝑐𝑜𝑢𝑛𝑡𝑎𝑏𝑙𝑒 𝑠𝑒𝑙𝑙 𝑣𝑜𝑙𝑢𝑚𝑒

𝑆𝑖𝑧𝑒 𝑜𝑓 𝑎𝑐𝑐𝑜𝑢𝑛𝑡𝑎𝑏𝑙𝑒 𝑏𝑢𝑦 𝑣𝑜𝑙𝑢𝑚𝑒 + 𝑆𝑖𝑧𝑒 𝑜𝑓 𝑎𝑐𝑐𝑜𝑢𝑛𝑡𝑎𝑏𝑙𝑒 𝑠𝑒𝑙𝑙 𝑣𝑜𝑙𝑢𝑚𝑒

The two imbalance indicators are calculated according to the current chart range. Any change to the chart range (either by dragging or by zooming in or out) will affect the readings of the imbalance indicators.

Interpretation:

Users can gauge the imbalance indicators to assess when the activity is heavily titled to a single direction based on the order book and order flow activity. This can help in assessing momentum move or exhaustion points.

Settings:

The Imbalance Indicator ratios are displayed on the top right side of the chart. Whenever an imbalance ratio is equal to or greater than 10% the number will appear in the color set for the buyers. If the imbalance ratio is equal or less than -10%, the number will appear in the color set for the sellers. To

change the color settings, please refer to the

Color Setting

s section above.

To enable the imbalance indicator display click the studies panel icon above the chart and check either of the two imbalance indicators. The studies panel also includes settings for the order book imbalance as illustrated below.


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Imbalance Settings

The

Limit number of levels to calculate

is used to set the number of levels above and below the bid/offer price that are taken into account when calculating order book imbalances. A setting of 5, for instance, will calculate imbalance of 5 levels above and below the bid/offer.

The

Weight levels exponentially. Decay rate

setting allows the user to control the weighting and significance of levels closer to current price.

Note that if a setting value is not check marked, then the imbalance indicator will generate a calculation for the entire visible book and volume size with no exponential decay rate .

Limitations:

The imbalance indicators are set to take into account the entire visible range of the chart. To change the time range taken into account when calculating the imbalance ratios, users must zoom in or out or drag the chart.


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6.4 Iceberg Detector

Application:

The Iceberg Detector add-on feature displays hidden volume as numbers in the

COBB

(current order book bars) when it is selected as a column option for any user defined column. BookMap generates this number based on the difference between the actual pending orders offered at that price level and the actual number of orders that transacted at that price level. For example, if the Iceberg Detector displays

43, this signifies that 43 more contracts were transacted than available in the order book at that specific time.

The display of the hidden orders is based on the chart viewable time range, i.e. the number of hidden order displayed is the number of hidden order identified during the viewable chart range.


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Interpretation:

Traders can assess the possibility of hidden liquidity at certain price levels with the Iceberg Detector.

Since hidden orders are usually associated with the activity of more sophisticated players, traders may also use this information to assess possible short term price action and areas of resistance or support.

Settings:

There are no settings for the Iceberg Detector. To enable it click the studies panel icon above the chart and check the Iceberg Detector check box.

Iceberg Detector on the studies panel

Limitations:

The Iceberg Detector can only display hidden orders after the execution of those orders has taken place; it is not forward looking. It cannot display hidden orders currently resting at specific price levels.


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Annex I – Keyboard Shortcuts

There are several keyboard shortcuts that can be used instead of mouse action in BookMap:

1. CTRL+S to take a screenshot of the BookMap chart.

2. ESC to hide the configuration dialogues of the chart, colors, contrast and the log window.

3. SPACE to pause/resume in Replay mode.

4. Left/Right arrows in chart drag-mode to shift the chart pixel by pixel.

5. Shift + Left/Right arrows in chart drag mode to shift the chart by 10 pixels increments.

6. Right click on an empty space of the toolbar to find main window.


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Annex II – Color value names

The following colors can be entered in the custom note import file with their names and not just their hex code:

Black

White

Red

Yellow

Green

Blue

Light blue

Cyan

Magenta

Brown

Gray

Light gray


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VeloxPro 4.4 BookMap User Guide

Assistant Bot

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User Guide

Table of Content

Key Features

Frequently Answers and Questions

How can I adjust the contrast of the order book heat map?

What kind of trading platforms does BookMap support?

How can I take a screenshot of my BookMap chart?

How can I replay market depth data files of previous live sessions?

How can I change the colors used in BookMap?

Related manuals

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What kind of trading platforms does BookMap support?

How can I take a screenshot of my BookMap chart?

How can I replay market depth data files of previous live sessions?

How can I change the colors used in BookMap?

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