What is a liquidity heatmap?

A depth of market ladder shows the order book as it is right now: how many contracts are bid and offered at each price near the market. It changes many times a second, and once a level changes, the old picture is gone.

A liquidity heatmap records those snapshots and lays them side by side. Time runs left to right, price runs bottom to top, and each cell is shaded by how much resting size was at that price at that moment. Brighter or hotter colours mean more size. The traded price is drawn over the top, often with bubbles for large trades.

The result is a picture of where liquidity has been sitting, how long it stayed, and what happened to it when price arrived.

Two kinds of order meet in any market. Market orders take liquidity: they want to be filled now at the best available price. Limit orders provide liquidity: they wait at a chosen price for someone to trade with them. A heatmap shows the second kind.

Large clusters of limit orders act like terrain. Price needs aggressive volume to trade through them. That is why a thick band of offers above the market can slow a rally, and a thick band of bids below can cushion a sell-off, at least while those orders stay in place.

Liquidity walls. A bright horizontal band that persists for a long time marks a price where someone has been willing to buy or sell in size. Traders watch how price behaves as it approaches: does it stall, bounce, or cut straight through?

Absorption at a wall. If price reaches a band of bids, heavy selling hits it, and the band stays bright, the resting buyer is absorbing the selling. You can often confirm this with delta falling while price holds.

Pulled liquidity. A band that fades just before price arrives means the orders were cancelled rather than filled. That can open the way for a fast move through the level, because the expected support or resistance was never really there.

Thin areas. Dark zones with little resting size are where price can travel quickly. They often line up with low-volume areas on a volume profile.

Liquidity being added. Size stepping in just ahead of price as it moves can show a participant defending a level or working a position.

Illustrative scenario, not a trading rule. Price is drifting higher towards a round number. On the heatmap, a bright band of offers has sat just above that number for most of the session.

Outcome one: the wall holds. Price reaches the band. Buying hits it repeatedly, the tape prints trade after trade at that price, but the band stays bright, refilling as it is traded against. Price stalls, then rolls over. A seller was defending the level, and buyers ran out before the seller did.

Outcome two: the wall disappears. Price approaches, and just before it arrives the band fades to dark. Nothing traded there; the orders were cancelled. With no resting supply in the way, price moves through the round number quickly, and traders who sold in front of the wall are caught on the wrong side.

The heatmap alone could not tell you in advance which outcome was coming. What it did was show exactly what to watch at the moment of truth: whether the size stayed, whether it traded, and whether it came back. That is why heatmap traders tend to wait for the reaction rather than trade the band itself.

• Orders are not commitments. Limit orders can be cancelled at any time. Some large orders are placed with no intention of being filled, to create an impression of support or resistance. That practice, spoofing, is prohibited on regulated exchanges, but the effect of cancelled size is still something to allow for.
• Hidden size. Iceberg orders show only a small part of their true size, and some venues allow orders that do not display at all. A heatmap cannot show what the book does not show.
• Partial views. A heatmap reflects the book of one venue or one data source. In crypto, liquidity is spread across many exchanges; in spot forex there is no central book at all.
• Data depth. A genuine heatmap needs full depth-of-book data at high frequency, which is heavier than a normal price feed.

Read a heatmap as evidence of intent, not a promise. The strongest reads come when resting liquidity, traded volume on the footprint and a known level all agree.

Mizora Pro includes a liquidity heatmap in its order flow workspace, next to the footprint, delta, imbalances, a DOM ladder and time and sales.

It is important to be precise here. The workspace is in Beta and the heatmap is modelled from live prices, not exchange depth. It does not show real resting orders from an exchange order book, and Mizora Pro does not provide level 2 exchange depth. Treat it as a model of where liquidity is likely to matter around price, and weigh it against real levels on the chart, such as VWAP, the point of control and prior highs and lows.

You can explore it on a free $50K practice account. Mizora Pro accounts trade simulated capital.