Classic Order Flow

Order book heatmaps and trades / volume profiles are proven ways to read order flow. Most of them were built years ago for one market at a time, so multi-venue crypto needs care: how you group prices, how you sum venues, and what you can still tell apart per exchange. MarketLens keeps those classic tools and adapts them to multi-market selection. See also: Unified order flow, L2 order book.

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Heatmap

Order book heatmaps were popularized by Bookmap around 2014–2016 and remain the standard way to see resting limit orders evolve through time: each column is a snapshot of the book, and color intensity marks larger size. MarketLens extends that idea with native multi-market support. Below: an aggregated heatmap for BTC/USD spot across Binance, Bybit, Coinbase, OKX, Kraken, and Bitfinex. Color intensity highlights interesting sizes. Settings (thresholds, scales, themes) help you focus on the liquidity that matters for your workflow.

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Price grouping

Book data is first bucketed by a chosen price step into non-overlapping groups. Bids and asks use opposite edges so the spread stays clean:

• Bids group down (toward lower prices)
• Asks group up (toward higher prices)

Example with a $10 step: several raw asks and bids collapse into a few cells (sizes add inside each cell). Each heatmap cell’s vertical center sits on the price level it represents (for example the 1230 and 1240 markers on the scale).

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Multi-exchange aggregation

After each venue is grouped the same way, the heatmap always aggregates across the selected exchanges. There is no per-venue layer in the heatmap: one cell, one value for the whole selection. Sizes are signed: bids positive, asks negative. Cells are summed with that sign:

• Same side across venues adds (two bids in one cell → larger positive total)
• Mixed sides net out (bid on one venue, ask on another in the same cell → a bid/ask delta, not two stacks drawn on top of each other)

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Trades profile

Volume profile (total volume by price, without splitting buy and sell) was already common for years. MarketDelta’s Footprint® charts (around 2003) popularized the next step: the same price ladder inside each bar, with aggressive buys and sells shown separately. Other platforms use other names for that idea. On MarketLens it is trades profile. A trades profile shows aggressive buy and sell volume at each price level inside a bar — who hit the book, not who was resting (that is the heatmap). A core UI goal is to read size without staring at digits. Each price level is a horizontal bar whose length is proportional to size on a shared scale across the profile.

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Display modes

A volume profile is total size at each level (buys + sells), often drawn as bars from one side. Delta is buys − sells per level.

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Price grouping

Auction analysis inside candles needs stable buckets. Unlike the heatmap’s bid-down / ask-up edges, trades profile levels are always grouped down into half-open intervals so every trade lands in exactly one bucket (left edge inclusive, right edge exclusive). Example with a $10 step: a print at 1239.9 goes to the 1230 bucket; a print at 1240.0 goes to 1240.

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Multi-exchange aggregation

Trades profiles work on executed volume only (no signed bid/ask book cancellation). You can either:

1. Aggregate — sum size at each level (and each side, when buys and sells are separate) across the selected exchanges, or
2. Show per exchange — draw venues as separate bars/segments at the same levels.

In the separate view, hover a venue to highlight only that exchange’s sizes so you can compare without leaving multi-market mode.

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References in product

• Unified order flow — limits and markets in one visual space
• L2 order book — live multi-market depth
• Tape — aggressive prints as a visual stream