Overview

See the liquidity that's really there.

This study started on ES futures, built to tackle the smoke-screening and spoofing algorithms that make traditional heatmaps nearly unreadable. It works on any instrument with market depth data: ES tuning ships by default, and other markets mainly need the order size dialed in to match their liquidity.

It tracks and visualizes resting liquidity zones from both historical and live market depth data. Significant bid and ask levels are highlighted based on your size and duration thresholds, with color-coded intensity and efficient span tracking for high-performance rendering. By filtering out the noise and focusing on genuine, persistent limit orders, it exposes and minimizes the impact of spoofing activity.

The problem

Traditional heatmaps, jammed.

For over a year, smoke-screening algorithms have disrupted the ability to track high-liquidity zones in the ES futures market. They typically follow price in a set pattern, leaving a “band” around it that renders traditional heatmaps effectively useless.

Traditional ES heatmap obscured by spoofing noise

Traditional ES heatmap · spoofing noiseSierra Chart

How it works

Historical depth, then live.

01Historical load

On initial load the study reads the historical market depth of every visible bar.

The heatmap is complete the moment you open the chart, with no warm-up needed.
Historical levels qualify by how many bars they persisted above your size threshold.

02Live mode

From there it continuously scans the live DOM, drawing resting-liquidity orders as they qualify.

Updates in real time as genuine limit orders rest and pull.
A short coloring delay keeps fleeting spoof orders from lighting up the map.

Controls

Tuned to your noise floor.

Combine Market Depth Increments. Groups price increments for a more zoomed-out, cleaner view.
Min Order Qty. The minimum order quantity a level must show before it is drawn.
Min Bars to Qualify. Minimum bars a level must hold above Min Order Qty to display, used for the historical market-depth calculation.
Min Time to Qualify. Minimum seconds a level must hold above Min Order Qty to display, used in the live market-depth calculation.
Color Change Delay. Delays recoloring of live spans when quantity rises, so brief high-quantity spoof orders don't light up instantly. Decreasing size recolors instantly, exposing pulling behavior.

Highlight Resting Liquidity study settings and inputs in Sierra Chart

Every threshold configurableStudy settings

Good to know

FAQ.

How do I get this study?

It is included free with the Crimson Suite, at no additional cost. If you own the Crimson Suite, send us your Sierra Chart Account Name (Help → About → Account Name / Username) and within 24 hours we add you to the list of users authorized to use the study. Restart Sierra Chart and open the automatically downloaded chartbook.

Is there a free trial?

Yes, a 7-day free trial for everyone. Email us with your Sierra Chart Account Name to start.

Which market is it for?

Any of them. It works on every instrument that carries market depth data. We first built it for ES futures to counter the smoke-screening and spoofing algorithms in that order book, so the default settings are tuned for ES. Trading something else mainly means matching the minimum order size to that market's liquidity. No extra purchase, just configuration.