Depth Chart: The Ultimate Visual Order Book


NinjaTrader Blog

The depth chart in NinjaTrader is one of the simpler interfaces for viewing order book data. Although not often used in futures trading, cryptocurrency traders consider the depth chart to be a mainstay in determining market sentiment. The depth chart is available for monitoring cryptocurrency and futures instruments. As micro bitcoin futures grow in popularity, both futures and cryptocurrency traders can benefit from this tool.

The small but fine window of the depth chart shows cumulative bid and ask data and turns the order book data into a visual valley that is both easy and quick to read. While traditional order book interfaces like the T&S Window and SuperDOM have their own unique properties, the Depth Chart is a reinterpretation of the age-old question, “What will the markets do next?”

Add a depth chart to your work area

You can access the NinjaTrader Depth Chart window from the New menu at the top of the Control Center. Select “Depth Chart” then add your favorite cryptocurrency and futures instruments to monitor!

Once a new window is opened, there are several ways to select an instrument in the Depth Table window. Either right-click on the depth map window and select Instruments, or just start typing the instrument symbol directly on the keyboard.

Enter directly into the depth chart to look up your preferred futures and cryptocurrency markets.

Anatomy of the depth map

The user interface consists of three main areas: Quotes, Diagram, and Tooltip.

  • Quotes: The Quotes section displays various elements of market data at the top of the window. Here you will find dynamic values ​​such as bid, ask and last prices as well as the session opening, high, low and volume values. Optionally, the Courses section can be disabled by right-clicking the depth chart and deselecting Show Courses.
  • Graph: The graphic is the primary display of the depth map. It shows the accumulated buy and sell orders through the entire available book, so the vertical value at any point in time is the result of the summation of all active orders in the order book at the price value on the horizontal axis. You can use the + and – buttons at the top of the chart to adjust the zoom level, narrow down immediate prices, or zoom out to see the bigger picture.
  • Brief info: The tooltip shows the price level under the cursor along with the associated cumulative order volume and the currency costs of this cumulative volume. This can be very useful in understanding how much market participation is taking place in the markets you are watching. Convince yourself of the present value of the first market lows of the E-Mini S&P 500 (ES) during market times!

Order book depth diagram

Use the + and – buttons to zoom in and out on the price scale. Hover over the price levels for more details on book volume and value.

How to read a depth chart

So far, everything we’ve covered could probably be achieved using a different interface. So the burning question remains: Why use the depth chart? As with historical data charts like the candlestick chart, the visual representation of order book data can help traders identify patterns and plan accordingly.

The wall

One of the trademarks of the depth map is the “wall”. Walls can form on the buy or sell side of the chart and indicate price levels at which the accumulated bid or ask value increases dramatically. You can’t see this data on a standard price chart, but a look at the depth chart shows how other market participants are reacting to ever-changing conditions. Walls formed during the trading session may later provide support or resistance on the price chart.
Order book depth diagram

Here are some examples of different markets on the depth chart. Several walls are formed in each diagram.

Put together: market sentiment & trend exhaustion

As you probably noticed from the previous example, the depth chart can look askew on either the buy or sell side. This can be an indication of more bullish market sentiment when the buy side is bigger, or bearish sentiment when the sell side is higher. Sometimes the price chart and the depth chart do not match. For example, the price chart might look bullish, but there is a large accumulation of book data on the sell side of the depth chart. This could mean that the uptrend is coming to an end.
Order book depth diagram

Using the depth chart along with candlestick charts and other tools in NinjaTrader can help you spot patterns in the markets you are trading and help you inform and confirm trading decisions. Take a look at the depth diagram today and get a quick overview of the order book!

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