Highlight
Resting Liquidity
Sierra Chart Custom Study by boostyourcharts.com
ES – Highlight Resting Liquidity & Hide Spoofing Algorithms
This study was specifically designed for ES futures to tackle smoke-screening and spoofing algorithms that make traditional heatmaps nearly unreadable.
It tracks and visualizes resting liquidity zones from both historical and live market depth data. Significant bid and ask levels are highlighted based on user-defined size and duration thresholds, using color-coded intensity and efficient span tracking for high-performance chart rendering.
The study helps maintain a clear overview by filtering out noise and focusing on genuine, persistent limit orders, effectively exposing and minimizing the impact of spoofing activity.
The Problem – Traditional ES Heatmaps
For over a year, smoke-screening algorithms have been disrupting the ability to track high-liquidity zones in the ES futures market.
These algorithms typically follow price in a specific pattern, leaving behind a “band” around it, which makes traditional heatmaps useless.
The Solution – Boostyourcharts ES Heatmap
Key Features
The study accesses the historical market depth data of all visible bars on initial load. After that, the live mode continuously scans the current DOM data to display resting liquidity orders as they qualify for drawing.
The result is a clean, algo-spoofing filtered heatmap.
- Min Order Qty: Minimum order quantity to be displayed
- Min Bars to Qualify: Minimum number of bars a level must exceed the ‘Minimum Order Qty’ threshold to be displayed. Used for the historical market depth calculation
- Min Time to Qualify: Minimum number of seconds a level must exceed the ‘Minimum Order Qty’ threshold to be displayed. Used in the live market depth calculation.
- Color Change Delay: Sets the delay for the color adjustment of already visible live spans when the quantity increases at that level. This delay helps prevent spans from being colored instantly when spoofing algorithms place high-quantity orders for short durations. Decreasing size adjusts color instantly, helping visualize pulling behavior.
