The liquidity heatmap: the order book, over time

What is a liquidity heatmap?

An exchange’s order book is a list of limit orders waiting to trade: bids below the market, offers above it, a size at every price. A DOM ladder shows that list as it is right now. A liquidity heatmap — also called an order book heatmap, a depth heatmap or, after the platform that made it famous, a Bookmap-style chart — keeps every version of it. Time runs left to right, price bottom to top, and each price is coloured by how much rested there at that moment.

The result is a picture of where liquidity sat and for how long. A large order that waited at one price for ten minutes is a bright horizontal line. Size that was placed and pulled again is a short flash. A range nobody quoted is a dark gap. Drawn over the book, each trade is a bubble at its price: green where buyers took the offer, red where sellers hit the bid, larger for more volume.

How Klustra builds it

Your browser opens the exchange’s own order book stream directly: one snapshot of the book, then a message for every price level that changes — every 100 ms on Binance. A Web Worker keeps the book from those messages, and the heatmap’s own worker records it: every 100 ms it stores the price rows that changed since the last look, and once a minute a full copy, so any moment can be drawn again exactly. Sizes are kept as the exchange sent them, never rounded or resampled, and nothing about the book passes through a Klustra server.

That recording is the heatmap. When you open it, it is blank, and it fills in as it records — the way Bookmap opens. There is no history to load: exchanges publish past trades, not past order books, so the only book a heatmap can show is one somebody recorded. Klustra records from the moment you open it until you close it, change the instrument or press Restart. A recording keeps up to two hours, and every heatmap on screen shares 96 MB of memory; on the Binance Bitcoin perpetual, the busiest book there is, that holds about an hour and fifty minutes. Quieter books keep the full two hours.

Rows, bands and the colour of a pixel

A row is one price on the exchange’s own grid — one tick, or a few ticks where a venue sends a very deep book. Zoomed out, a tick is thinner than a pixel, and a field of sub-pixel rows reads as noise, so neighbouring rows merge into bands at least five pixels tall, on round prices: ten-cent ticks become one-dollar bands on Bitcoin at the opening zoom. A band holds the sum of its rows, and each level is drawn centred on its price, so the price axis, the bid and ask lines and the bubbles all sit on the level they name. Each pixel also covers a slice of time, and shows the most that rested in its band during that slice: a wall that stood for three seconds of a four-second pixel is drawn as a wall, not averaged away.

Two colours are not heat at all. Where nothing worth showing rested, the field is the plain background. Where the exchange told us nothing — beyond the depth it sends, before the recording started, or while the connection was down — it is darker still. “Nobody was there” and “we were not told” never look the same. If the network stalls and the book’s updates arrive late in one burst, the stretch they were held up for is drawn as unknown too, rather than as a book that seemed not to move.

How we checked it

Before writing this page we tested the heatmap against independent records, on 9 October 2026. The book it is fed matched a book built separately from Binance’s own depth stream at 1,243 moments — 1,701,129 price levels compared, no difference. Frozen at one moment, every pixel of the field had exactly the colour its band’s size should give it, and every size the heatmap reported matched a rebuild of the book, bids and asks apart. Its traded volume matched Binance’s trade record in every tenth of a second. The same checks found eight defects, all fixed before this page was written.

Anatomy of the heatmap

Everything on the chart, numbered. Open each mark on the picture below.

What the colours mean

The colours are relative to what is on screen. With Auto on, the heatmap ranks the resting sizes in view and spreads them over the ramp: the smaller 70% are drawn as background — Bookmap’s look, where ordinary orders stay dark so the large ones stand out — and the rest run from dark blue through white and yellow to orange and red. In practice around a sixth of what shows is orange to red. Red therefore means the largest orders in view, not a fixed number of coins; the order book column and the hover readout give the number.

Between colour steps the shade follows the logarithm of size, because resting size spans orders of magnitude: on a straight scale one large wall would turn every other level the same dark blue. A flat book with nothing remarkable on it stays blue rather than being stretched into false walls — the scale insists on a real difference in size before anything turns red. The colours re-balance when the book on screen has changed enough to move a colour step by more than a fifth, not on every update, so they do not flicker.

Three controls change the picture without changing the data. Filter is the share hidden as background. Intensity moves the colour steps: higher turns more of the book yellow and red, lower leaves only the largest orders hot (the + and − keys move it by five). Contrast bends the ramp: above 1 it lifts mid-sized orders, below 1 it leaves only the walls glowing. Turn Auto off to freeze the scale, so that a band keeps its colour while you scroll back and compare one stretch with another.

How to read a liquidity heatmap

The book is the easiest data on an exchange to fake: placing an order costs nothing, and most are cancelled. The heatmap’s advantage over a ladder is time — you can see how long a level has been there and what happened when price reached it. None of these is a signal on its own; each is a question to ask when price comes to a level you already care about.

The wall tracker and the imbalance meter

Two of the heatmap’s own indicators turn the patterns above into marks. The wall tracker follows large resting orders and says what became of each one. A wall is a price holding at least 20 times the median resting size near the market — within half a percent of price, at most 2,000 rows each side — and sitting in the top 1% of those sizes, standing for three seconds or more — both tests, because near the spread most prices hold dust, which makes twenty times the median still small, and the top 1% of a thin book is not remarkable. Up to eight of the largest are followed at once, outlined from the moment they appeared and labelled with their size at the now-line.

When a wall falls below a quarter of its peak, it is gone, and the tracker reads the tape to say how. If trades at that price account for at least half of the size that vanished, it was eaten: a circle. Otherwise it was pulled — cancelled without trading: a yellow cross. Hover a mark for its size and price. The tracker says what happened to the size, never who placed it; no exchange publishes that.

The imbalance meter sits at the top right of the field. Book compares the bids with the offers resting within 0.1% of price (at least ten rows each side) as a share from −100% to +100%: positive when more is bid. Volume compares aggressive buying with selling over the last 60 seconds of trades, the same way. One is what is waiting, the other what is happening; when they disagree — heavy bids resting, heavy selling trading — that disagreement is usually the interesting part.

Zoom in to single prices

Zoomed in far enough, the bands come apart into single prices, one row per tick. Each level is drawn centred on its price, the green line runs through the best bid and the red line through the best offer, and each bubble sits on the price it traded at. This is where to look at a wall itself: how much is on the one price, whether the size beside it is moving, and which side of the spread the trades hit.

The heatmap’s indicators

The heatmap carries its own indicators, picked from Indicators in the toolbar while a heatmap is showing. They all start from zero when the recording starts — a heatmap has no history, so none of its indicators may either. The DOM ladder and the flow tape can sit beside it too.

Using it in your trading

The heatmap is a short-horizon tool. Resting orders describe the next seconds to minutes; anything far from price can be cancelled a hundred times before price gets there. Use it to time and to place, and to see whether a level that matters on the chart is actually defended.

1. Open it before you need it

   It records only while it is open. Open it ten or twenty minutes before the level or the session you care about, so there is a picture of the book to read when price gets there.

2. Mark what persists

   A band that has stayed bright for minutes is a level someone is committed to. A flash that comes and goes is not. Length matters more than colour.

3. Watch the approach

   As price comes near a wall, does it stay, grow, or step away? A wall that steps back or vanishes is information too — the wall tracker marks the pulls.

4. Read the reaction in the bubbles

   Large bubbles into a band that stays is absorption. A band shrinking under the bubbles is being eaten. A band gone with no bubbles at its price was pulled. Confirm on the footprint and with big trades.

5. Place stops by the book, not inside a gap

   A stop beyond a wall that has held is behind something; a stop inside a thin patch is easy to reach. Re-read before you rely on it: the book moves.

Set it up in Klustra

1. Open the chart

   Go to the chart and pick an exchange and instrument — for example the Binance BTCUSDT perpetual.

2. Choose Heatmap

   Click Heatmap in the toolbar, beside Candles and Bid×Ask. The chart becomes a heatmap and starts recording, blank, from that moment; volume bubbles and the order book column are on.

3. Leave it open

   The now-line walks from the left until it reaches its place near the right edge, and from then on the picture scrolls. Five minutes later the view is full.

4. Add what you want to see

   Open Indicators for the volume and CVD pane, the session profile and VWAP, the wall tracker and the imbalance meter.

5. Tune the colours

   Intensity, Contrast and Filter are on the heatmap’s own control strip; the gear opens every setting. Reset defaults puts them all back and returns to the live view.

Moving around

• Wheel over the field zooms time, from five seconds to two hours across. While following, now stays put.
• Ctrl- or Shift-wheel, or the wheel over the price axis, zooms price. Dragging the price axis or the time axis zooms them too.
• Drag the field to pan; panning stops following. Follow (or the F key) picks it up again, and Now returns to the standard view: following, five minutes, the standard price scale.
• Double-click the price axis for the standard price scale, centred on the book; double-click the time axis for five minutes. C re-centres price.
• Hover for a readout: the time to the millisecond, the bubble under the pointer, a wall mark, and what rested in that band at that moment — “BID 2.56 · ASK 4.01 @ 81236.0–81236.9” where a band holds both — or “Not in the book the exchange sends”.
• On a phone one finger pans and two fingers zoom time; the control strip wraps onto two rows.
• Restart clears the recording and starts again from now.

Every setting

Common mistakes and limits

• Reading the colour as a size. Colours are relative to what is on screen: red is the largest in view, which on a quiet book can be small. The order book column and the hover readout give the number; turn Auto off to compare two stretches on one scale.
• Treating the book as a promise. A limit order is free to cancel and most are. A wall far from price costs nothing to show and is often gone before price arrives.
• Forgetting what is hidden. Iceberg and reserve orders show only a slice of themselves, so a modest band can absorb far more than it advertises. Bubbles landing on a level whose size never falls are the sign.
• Expecting history. The heatmap shows what it recorded since you opened it: changing the instrument, Restart or closing it starts again. It keeps up to two hours, less on the busiest books.
• Zooming out past the recording. It records the 4,000 price rows around the market — about ±$200 on the Bitcoin perpetual — and only as deep as the exchange’s feed reaches. Beyond that is drawn as unknown, not empty.
• Reading one venue as the market. Each exchange has its own book, and spot and perpetual books are separate. A wall on one says nothing about the others.
• Matching bubbles to the book at the deepest zoom. Binance publishes its book in 100 ms batches while trades are stamped to the millisecond, so zoomed to a few seconds a bubble can land a fraction of a second before the level it took shrinks.

Klustra and Bookmap

Bookmap made this kind of chart well known; it is desktop software with a web version, and its packages comparison lists what each plan includes. Klustra’s heatmap follows the same idea — it opens blank and records the book from that moment — and runs in the browser with nothing to install, on seven crypto exchanges: Binance, Bybit, OKX, Bitget, Gate.io, Hyperliquid and Coinbase (spot). The homepage compares Klustra with Bookmap, Exocharts and ATAS feature by feature, from their own published pages; for a TradingLite user there is Klustra vs TradingLite.

Free and Pro

The heatmap and its indicators are part of Pro, with the rest of the live book and tape tools. The chart, the footprint, delta and CVD stay free.

Questions