How to Create Simple Heatmap Charts (Bookmap style) in Sierrachart

For a complete Q&A Webinar record – discussing Heatmap charts in SierraChart – refer to Level 2 post here.

How to create simple heatmap charts (Bookmap style) in SierraChart using the Market Depth Historical Graph and Large Trade Volume Indicator studies.

Market depth/heatmap charts are simply a different visualization type of the Bid/Ask depth values of the DOM.

Before you start using/creating heatmap charts, you need market depth data downloaded and stored on your computer. See the link below to the video for instructions on how to collect market depth data in SierraChart

1 Create an empty chart of your market

  • Set its time period to 10 sec. Although heatmap can be created on any timeframes, shorter timeframes will give you more details.
  • Use 2 or 3 days for the ‘days to load’ value.
  • You can use OHLC or a simple line chart type.
  • Instead of using a regular price chart, you can display the BID/ASK line or both or you can hide the price chart and display the Bid/Ask only.

2 Add Market Depth Historical Graph study

  • For ‘Graph Only Quantities Greater’ use a number based on your market:
    It is usually an average number of the mid-size-larger values on the DOM’s BID/ASK.
  • You may want to change the value during the day as the activity changes based on the different session. Usually, there are 2-3 value ranges that work perfectly during the day.

3 Add Large Volume Orders study

  • Set the Volume Threshold value based on the average typical large size prints on your DOM’s Recent Bid volume/Ask volume columns.
  • Setting it to too low value will produce numerous meaningless signals, but using too high value creates very few signals only.
  • Recommend to set Market Color/Size based on: All loaded chart bars so it will compare the signals to the most recent history (at the beginning set to 3 days at chart settings)
  • The number of depth levels displayed on the chart is always limited by the datafeed/exchange. It is usually 10+ levels.
  • See the recommended (December 2017) depth & large vol trades settings in the video description.

FESX Settings:

  • Market Depth Quantities Greater than: 1300-1700-2000
  • Vol Threshold: 400

BUND settings:

  • Market Depth Quantities Greater than: 250-350-500
  • Vol Threshold: 300

Recorded with SierraChart version: v1662
Markets: Stoxx50 (F.US.DSXZ17) & Bund (F.US.DBH18)
Datafeed: CQG

How to Download/Collect Market Depth Data in Sierrachart
New: How to Download Historical Market Depth Data using the Denali Datafeed

Updated with SierraChart v2363 | Link to chartbook | Updated chartbook with two sets of market depth levels

SC Study reference: Large Volume Trade Indicator | Market Depth Historical Graph

Last updated: December 12, 2023 at 9:19 am

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