QuantMap Version 8
all of the measure you need
the BARCODE and DEPTH VIEWER v1.
--> the price action and the price volatility with a footprint chart
--> the average range, price, and open/high/low/close.
--> the Vwap bands to identify the fair price on the map.
--> the market volume and the orderflow balance with size, type, and time stamps.
--> the delta and the gamma of the market volume.
--> the liquidity with the limit order action through the orderbook and the heatmap.
--> the delta and the gamma of these limit order action with the quant view.
--> the speed of the price action and the average.
--> the speed of the tape.
--> the speed of the orderbook, and the quote.
--> the delta profil to detect absorption key price levels.
--> the HFT tracker.
--> the iceberg detector.
--> the Bid/Ask Replenished/Removed detector.
--> Buy and Sell HFT programm Alert
--> Bid/Ask added Alert
--> Big Trades Alert
--> the HFT Surge Alert
--> the bull/sell divergence Alert
--> the bull/sell distortion Alert
--> the delta quote viewer
QuantChart of the Fdax with the 5 best depth levels for the bid&ask side.
QuantMap of the Fdax is showing liquidity evaporation during the retail sales.
ACSIL and C++ friendly
Improve and developp your own matrix with the advanced custom studies interface language of the SierraChart platform, and subgraph it on your main price chart.
Import/export data
All market depth data you see on the QuantMat could be stored in excel file and exported from the SierraChart platform with the spreadsheet studies system to a csv file.
Run your market in replay mode
Watch the market in replay mode, and get all the data you can see on the QuantMap in a chart replayed with different market speed mode.
Connect it to your API's and your data feed
Use a multi data feed service with one tool, and one platform, and load market historical data in tick by tick.
Centralize market data
With the QuantMap, you could use only one chart for having a full view of all the data you need. Price, Time, Volatility, Liquidity and Volume are all both on the same chart.
Control your price impact
Read how the market orderflow is filled, and anticipate the price you will get for the execution of your trades.
Save your market depth data
You could save your own market depth data with depth files, and reload it to make better studies, and analysis.
Better execution
Get better execution by seeing the price impact of the volume market and anticipate yours.
Be able to zoom-out your QuantMap for getting a larger view of the historical depth on GC.
Import and export all your QuantMap data in excel spreadsheet directly on the tool.
With the QuantChart, be aware of all HFT activities who are faking the book.
More about the Iceberg detector and Bid/ask Replenished alert :
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Let's imagine at the moment t0 :
You got : an ask depth level 1 with 15 orders available.
At this same moment t0, you got :
a trade position who are lifting the offer with 7 contract bought on this best ask depth level.
So, logically, at the moment t+1 : there will be : 15-7 = 8 sell limit orders available at the best ask depth level.
That's is the theory ! That's is supposed to happen in the orderbook, after this market buy volume filled (7 bought contract).
Calcul is equal to : (Ask Depth level1) at t0 - (Ask Volume) at t0 = (New Ask Depth level1) at t1 = x. Let's call it x.
Then, we will compare this x amount (the new supposed ask depth level 1) with the real ask depth level 1 printed in the QuantMap.
At the moment t+1. We call this real ask depth level 1 printed : y. Imagine that this y amount at t+1 is equal to 14.
And we will finish by comparing x (theorical new ask depth) with y (real new ask depth).
If these two element are matching together. No manipulation = Fair market = Real Liquidity. No problem, but very hard to detect the future price movment.
If these two element are not matching together. SO it means that liquidity disparition or liquidity added process is coming = hidden liquidity replenished/removed = Rigged market = easy to anticipate.
To compare x and y, we can make a simple delta between this two element.
y - x = 14 - 8 = +6
This +6 amount is equal to the amount which have been added in reality, to the best ask depth, according to the market volume filled (weighted by the market volume). We could call it : the Volume Weighted Average Liquidity, for VWAL.
So in reality, there is liquidity which are added to the ask side, in comparaison to the sold market volume which have hit the offer.
And by the way, it means that :
If we have watched simply the tipical orderbook only by a standard way : what did you see ?
--> Ask depth level 1 at t0 = 15
--> Ask depth level 1 at t1 = 14
so : 15-14 = 1 order removed. You will believe that the ask depth is reduced !
--> From an absolut view yes, because 15-14 = 1. But 15-7 = 8. And to go from 8 to 14, we have to add 6..... !
This calcul, and these fact are also illustrating some hidden liquidity added/removed from the orderbook. It's impossible to see it with a unique orderbook, or a standard footprint chart. You have to get a full view of the 2 side !
The QuantMap v7 is providing this by a very smart and graphical numerical way by plotting directly on your chart all of the anormal HFT activities.
QuantMap v7 on YM with Orderflow Monitor, HFT tracker, and Iceberg Detector.
