Reading 6: the DeepDom order book

The heatmap shows what is waiting to be filled; the footprint shows what has been. The two are read together, but the order book has its own rules, and the first is that you never judge a wall before it has been touched. This reading goes through the three possible reactions of a wall, the book's instruments, the heatmap patterns and the stop run seen from the inside.

The three questions about a wall

A wall is an unusually large limit order: 150 lots and more on ES during the session. It can do three things when price reaches it, and only the third makes it a reference.