Methodology
Order-book heatmap vs volume heatmap
An order-book heatmap displays liquidity that is currently resting, or was recorded resting, at price. A volume heatmap colours volume that already traded at price. The first answers where orders were offered; the second answers where trades actually happened. They are complementary, but they cannot be substituted for one another.
Reviewed by Andy Bar · Last reviewed 12 August 2026
Displayed liquidity can disappear
Depth updates describe bids and asks available at that moment. A large resting order can be pulled before an execution, and a small displayed order can be replenished. The book is useful for a live question about current shape, not proof that liquidity will remain.
A footprint records the auction that completed
A volume heatmap or footprint starts after the trade. It can show where aggressive buyers and sellers met, but it cannot show a cancelled order or explain whether a filled order was intended as a defence, hedge or exit.
Historical liquidity requires captured book data
A historical order-book heatmap is a record of earlier depth updates. A trade tape alone cannot rebuild it, because orders that were cancelled without trading leave no trade print. Conversely, book history cannot replace the trade-side calculation needed for CVD.
Ask the question before choosing the chart
Use depth when the question is where liquidity is currently shown. Use footprint when the question is how execution arrived at a level. If the decision needs both, keep their limitations separate instead of treating a bright band in either chart as intent.
What this page is based on
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