Wall Chart

The Wall Chart shows the instrument's book over time, as a heat map. It helps you see where the large orders (the walls) are and what happens to them.

Open the Wall Chart

Open the chart's Wall Chart menu. There is one Wall Chart per instrument.

At the top the window shows BID, ASK and SPR, the spread in ticks.

You can also change instrument from the window:

1. In Symbol, type the instrument.
2. In Exchange, type the exchange.
3. Click Subscribe. When data arrives, the button becomes Unsubscribe: one click stops the data.

The Wall Chart bar: instrument, book, Wall Fate and Partials, Icebergs, Bubbles, Vacuum, MBO and Vario.

The workspace remembers instrument, exchange, Levels, Min Size, Partials, Wall and MinTk.

What you see

• Horizontal axis: the successive snapshots of the book, with the time below. The space between two times is not always the same: it depends on how many snapshots there are.
• Lines: bid, ask and last price.
• Heat map: each book level is colored by its lots. More lots, stronger color.

The Wall Chart on ES: heat map, price with trade bubbles, two 50-lot walls and the MBO panel on the right.

Move around the chart

• Mouse wheel: zoom.
• Drag: move the view.
• Double-click: back to live.

Book and colors

Control	Function
Opacity	The transparency of the heat map
Levels	How many book levels to show around the price: 50, 100, 200 or 500
Min Size	Hides the levels with fewer lots than the value set

Wall Fate

With Wall Fate on, the map shows what happened to the orders of a level:

• green: the level was absorbed, meaning most of the lots were filled;
• magenta: the level was pulled, meaning most of the lots were cancelled.

Flow Min is the minimum of lots, filled plus cancelled, to color a level.

With Wall Fate and MBO on, the Wall Chart also shows what happens to single walls: see Walls filled or cancelled. Partials chooses how these labels are written.

Icebergs

With Icebergs on, the Wall Chart flags iceberg orders: large orders that show only a small part and reload it when it is filled.

The label looks like this: 🧊NB 5000.25 F120 ×8.

Part	Meaning
N / S	N = iceberg managed by the exchange, measured data. S = iceberg inferred from trades, estimated data
B / A	On the bid / on the ask
Price	The price of the iceberg
F	The lots filled so far
×	How many times it was reloaded. More reloads, more reliable detection

• MinRld: the minimum number of reloads to flag an iceberg.
• Ice vol: the minimum of lots filled to show the label.

Bubbles

With Bubbles on, each trade shows as a bubble: blue for buys, red for sells. More lots, bigger bubble.

MinVol hides the trades with fewer lots than the value set.

Vacuum

With Vacuum on, a dashed yellow vertical line marks the moves where bid and ask jump several prices with no trades in between: the price moves through a vacuum.

MinTk is the minimum jump in ticks.

MBO panel

With MBO on, the current book appears on the right, with one bar per level.

Control	Function
W%	The width of the panel, as a percentage of the chart (5 to 50)
Wall	Orders with at least this many lots get a yellow border
Queue	Shows the single orders inside each bar, in order of arrival

Each wall still in the book has a label with lots and price, for example 500 @ 7749, and a dashed line to its bar. The label is blue for bid walls and red for ask walls.

Walls filled or cancelled

With Wall Fate and MBO on, when an order of at least Wall lots is hit or pulled, a label with its fate appears next to the MBO panel:

• ✔ with the lots filled;
• ✗ with the lots cancelled;
• after /, the size of the order.

For example, ✔50 /50 is a 50-lot order filled entirely.

A 50-lot wall filled entirely: ✔50 /50 next to the MBO panel. On the left, the labels of the walls still in the book.

The label follows the order while it is eaten. A 10-lot order hit for 5 shows ✔5 /10. If the rest is then filled it becomes ✔10 /10. If the rest is pulled instead it becomes ✔5 ✗5 /10.

The label is green if the order was filled entirely, red if part of it was cancelled. It disappears 6 seconds after the last part.

Two walls cancelled before being hit: ✗500 /500 and ✗29 /29.

If there are several orders above the threshold at the same price, they appear in the same label separated by ·, for example ✔5 /10 · ✔8 /8.

Partials

The Partials checkbox chooses how the label is written:

• off: the sums per type, for example ✔50 /50 or ✔30 ✗20 /50;
• on: every part in the order it arrives, for example ✔30 ✔20 /50. You see how the order was eaten, piece by piece.

With Partials on: a wall eaten in many small fills, ✔4 ✔6 ✔3 ✔4 ✔2 ✔1.

The workspace remembers the choice.

The Vario sound

🔊 Vario turns the book into sound:

• Off: no sound;
• Book Pressure: follows the imbalance between bid and ask in the first levels of the book. The tone rises when bids dominate and falls when asks dominate;
• Delta Flow: follows the difference between buying and selling at market. Rising beeps when buying prevails, a continuous falling tone when selling prevails.

Control	Function
Vol	The volume
DB	Dead Band: the threshold below which the Vario stays silent
Win	The window in seconds used to calculate Delta Flow: from 1s to 10s

The bottom line

The bottom line shows the status:

• Subscribed to ES (CME): the Wall Chart is receiving data;
• Waiting for depth data on ES...: book data has not arrived yet. If the message stays, click Subscribe again;
• Disconnected: no data.