The DeepDom heatmap on a thinner book

What changes on screen

A liquidity heatmap encodes, for each price and each instant, the quantity resting in the book. Its colours are calibrated on a scale: the quantity that corresponds to hot white and the one that corresponds to cold blue. A heatmap set up for the ES, with its scale calibrated on 2,000 contract levels, shows the FDAX in uniform blue: nothing there is hot, because nothing there exceeds 300.

The first thing to do on the DAX is therefore to recalibrate the colour scale on the book's actual distribution. In practice: an ordinary FDAX level is 10 to 40 contracts, a worked level 60 to 150, a wall 150 and more, an event 300 and more. The scale must make the wall visible and the event blazing, without the ordinary levels disappearing.