What is an orderbook heatmap?
The orderbook holds limit orders waiting to trade: bids below the price, asks above it. An exchange shows only how much rests at each price right now, and a few seconds later it has changed, so you cannot tell which orders stayed and which were placed and pulled at once.
An orderbook heatmap (also called a liquidity heatmap) draws the whole book of each moment as one column: time runs across, price up the side, and brighter means more resting orders. Column after column, large orders become bright horizontal bands, showing how long they stayed and when they were traded away or pulled. It is the view order-flow traders know from Bookmap.
Candles and trade bubbles sit on top. When the price reaches a bright band, it either trades through it, turns back from it, or the band disappears first: the three cases are easy to tell apart.
An example: BTC has a bright band at 81,500, about $20M of bids, resting for 3 hours, and the price bounces twice from 81,550. Before the third drop the band fades, with no trade bubbles near it: the bids were pulled, and the price then breaks 81,500. A pulled wall is often more dangerous than a filled one.
