DeepWatch Documentation

Overview

What DeepWatch shows

A standard chart shows you price. DeepWatch shows you the order book behind the price: how much size sits at each level, how that size changes over time, where trades actually print, and which side is being aggressive.

Every column of pixels you see is a one-moment-in-time snapshot of the order book. Read left to right and you are watching the book evolve. Read top to bottom and you are looking at a single point in time, price by price.

On top of that snapshot grid, DeepWatch overlays:

• Executed trades as bubbles, bars, pies, or other markers, sized by volume
• Volume Profile showing where volume accumulated by price
• Footprint showing buy-side and sell-side volume at each price for each bar
• Trading Band highlighting your current orders and position
• Live Depth strip showing the current resting book
• Signals for imbalances, absorption, sweeps, divergences, and large trades
• Sub-panels below the main chart for CVD, book imbalance, volume rate, and more

Who it is for

• Scalpers and short-term traders working ES, NQ, CL, GC, or any futures contract with active depth
• Tape readers who want a visual representation of resting size and absorption rather than scrolling text
• Order flow traders who use Volume Profile, footprint, and CVD as part of their decision making
• Traders learning order flow who want a single tool that puts all the pieces in one window

You do not need to be an expert in order flow to use DeepWatch. The defaults are configured to be readable on day one. As you get comfortable, you can turn on more layers.

What you need

• NinjaTrader 8
• A real-time data subscription that includes market depth (Level 2)
• A futures instrument is recommended. Stocks and forex work but were not the primary design target

How DeepWatch fits into your workflow

DeepWatch is a separate window. It is not a chart indicator and it does not replace your usual chart. Most traders run it alongside their main NinjaTrader chart, on a second monitor or a dedicated screen region.

You can run multiple DeepWatch windows at the same time, one per instrument.

Quick Start

This page walks you through your first DeepWatch session: open the window, pick an instrument, and start reading the heatmap.

Where to go next

• Learn the core vocabulary in Core Concepts
• See what every button does in Toolbar Reference
• Learn to read the heatmap in The Heatmap
• Add a Volume Profile or Footprint column in Data Columns

Core Concepts

The vocabulary you will see throughout DeepWatch. None of these terms are DeepWatch-specific - they are the standard concepts of order flow trading. If you are already comfortable with order flow, skim this section for the DeepWatch-specific bits (sampling modes, bucketing).

The order book

At any moment, the market for an instrument has two sides:

• Bid: prices and quantities people are willing to buy at
• Ask (or Offer): prices and quantities people are willing to sell at

The highest bid is the best bid. The lowest ask is the best ask. The gap between them is the spread. The full ladder of bid and ask sizes at each price is the order book, or Depth of Market (DOM).

DeepWatch shows this book as a horizontal stripe of color at each moment in time, then stacks those stripes left-to-right to show how the book is evolving.

Trades versus depth

The order book is passive liquidity - resting orders waiting to be filled. A trade happens when someone crosses the spread and consumes that liquidity.

• A trade that prints at the ask means an aggressive buyer took offered liquidity. We call this a buy trade.
• A trade that prints at the bid means an aggressive seller hit a resting bid. We call this a sell trade.

Delta and CVD

For any time period, you can count:

• Buy volume (sum of all trades that printed at the ask)
• Sell volume (sum of all trades that printed at the bid)
• Delta = buy volume minus sell volume

Positive delta means aggressive buyers dominated. Negative delta means aggressive sellers did.

Cumulative Volume Delta (CVD) is the running sum of delta over the session. CVD lets you see whether buyers or sellers are winning over a longer window, not just a single bar.

Value Area and POC

When you accumulate volume over a session and split it by price, you get a Volume Profile. Inside that profile:

• POC (Point of Control): the single price with the highest volume
• Value Area: the price range that contains 70% of the session volume (the default; you can change this)
• VAH / VAL: the high and low boundaries of the Value Area

Price tends to revisit the POC and the Value Area edges. They are heavily used reference levels.

Footprint

A footprint chart is a bar chart where each bar is split price-by-price, showing the buy volume and sell volume at every price level inside that bar. It tells you exactly where inside the bar the aggression happened.

Imbalance and absorption

Two of the most important order flow patterns DeepWatch will mark for you.

DeepWatch detects both automatically and marks them with colored borders and arrows. See Signals.

Sampling modes

DeepWatch supports several sampling modes that change what each column on the chart represents:

You can switch sampling mode from the toolbar Sampling button. The display redraws using your historical data, so switching does not lose context.

Bucketing

When the tick size of an instrument is very small (think ZN, ZB), looking at every single tick can be too noisy. DeepWatch lets you bucket prices together - 2 ticks, 4 ticks, 8 ticks per row.

Bucketing is price-stable: a given price always lands in the same bucket regardless of zoom level. Two DeepWatch windows at different bucket sizes will agree on where the POC is.

Bucketing applies consistently to all columns (Volume Profile, Footprint, Trading Band, Live Depth), so what you see in one column always lines up with the others.

Sessions and timeframes

A session is the trading day for that instrument (the times defined in your NinjaTrader Trading Hours template). Most DeepWatch views default to Session scope, which means everything you see is summed from the open of the current trading session.

For Volume Profile and Footprint, you can change scope to other timeframes (e.g. last hour, today, yesterday). See Data Columns.

Toolbar Reference

The DeepWatch toolbar sits at the top of the window. It is organized as a ribbon with labeled groups: VIEW · LAYERS · LINES · SIGNALS · INDICATORS · TRADING · SYSTEM.

Buttons that toggle something show a different state when active.

VIEW

LAYERS

Visual layers on the main chart.

LINES

Horizontal reference lines drawn over the chart.

SIGNALS

Order flow signal detectors.

INDICATORS

Sub-panels that share the X-axis with the main heatmap. Toggle them on or off.

TRADING

Live order placement and visualization.

SYSTEM

Settings, presets, sampling, and visual style.

Themes & Templates

DeepWatch has two separate concepts for personalizing your view:

• Theme - the color palette of the window chrome (toolbar, menus, axes, background)
• UI Style - the visual treatment of buttons and panels (flat, classic, terminal, etc.)
• Template - a saved full configuration (theme, layout, columns, settings) you can re-apply

You change them all from the Settings window (S) or from the Presets popup in the toolbar.

Themes

DeepWatch ships with four themes. They are all dark and tuned for long sessions in front of the screen.

Themes change the toolbar, menus, axes, gridlines, and panel chrome. They do not change the heatmap color palette (that is the Color Mode, see The Heatmap).

UI Styles

UI Styles change the look of buttons, toggles, and panels. They are independent of theme.

Presets

Presets are built-in templates that pair a theme, a UI style, a color palette, and a layout in one click. They give you a fast way to try different looks without configuring everything individually.

The Presets popup is accessed from the toolbar Presets button. It is split into two sections:

1. System Presets - curated by FlowMatriX, cannot be deleted or renamed
2. My Templates - your own saved configurations

The active template is marked with a checkmark.

Templates (your own)

A template captures everything:

• Theme and UI style
• Color mode and gamma
• Which columns are added (VP, FP, TB, LD) and their settings
• Which sub-panels are visible (CVD, Imbalance, etc.)
• Visual toggles (trade markers, lines, signal strip)
• Trade style and bucketing
• Annotations are not part of templates (they are per-window state)

Save a template

1. Configure the window the way you want
2. Open Settings (S)
3. Find the Templates section
4. Click Save as..., enter a name

Apply a template

Two ways:

• Open the Presets popup from the toolbar, click your template under "My Templates"
• Open Settings (S), find the Templates section, click the template name

Rename or delete a template

In Settings, right-click a template in the list to rename or delete it.

Auto-save

DeepWatch auto-saves your current settings to a fallback template on a timer so you do not lose work after a crash. The next time you launch, your previous state is restored unless a workspace template overrides it.

Workspace vs Template

The Heatmap

The heatmap is the central feature of DeepWatch. This section explains what each color means, how to control the palette, and how to adjust contrast for your eyes and your market.

What the colors mean

Every column on the chart is one snapshot of the order book. Inside that column, each row corresponds to one price level. The color of that cell tells you something about the resting order at that price.

What "something" means depends on the Color Mode you have selected. There are four modes.

Color modes

You switch color mode from the Settings window (S) under the Heatmap section.

Palettes

In Depth mode, the brightness mapping uses one of three palettes:

The same palettes are used for auto-generated thresholds when you click Auto-thresholds in the Settings window.

Contrast: gamma

The relationship between order size and brightness is not linear. A few enormous orders would otherwise wash everything else out. DeepWatch applies a gamma correction so smaller orders are still visible.

• Heatmap too dim? Lower gamma (more contrast, smaller orders brighter).
• Big orders overwhelming the screen? Raise gamma (less contrast).

The gamma slider is in the Settings window. The current gamma value is shown in the bottom-right info chip on the chart (look for γ). If you do not see the info chip, press H to toggle it.

Auto-thresholds

Manually picking color thresholds is fiddly. The Auto-thresholds button samples your recent data, computes sensible quantile-based breakpoints, and rounds them to readable numbers. It works well on instruments you have never tuned before.

Re-run auto-thresholds whenever you switch instruments or whenever volatility changes significantly during the session.

Trade-only mode

If you only care about price points where trades actually printed, you can switch the heatmap to Trade-only mode in Settings. Levels with no recent trade activity are dimmed or hidden. This makes the chart less busy on quiet markets.

By default Trade-only mode is on. Turn it off if you want to see all resting liquidity, even at levels where no trade has happened recently.

Bucketing

For instruments with tight tick sizes, you can group multiple ticks into one row. See Bucketing in Core Concepts. The Settings window has a "Bucket size" or "Aggregation" slider.

Visible levels per side

In OrderBook mode (default), the chart limits how many levels above and below the best bid/ask are shown. This is the Visible Levels per Side setting. Default is 30.

Increase it to see deeper into the book. Decrease it if you find the chart visually crowded.

Trades

The heatmap shows you the resting book. Trades show you execution. Every time a trade prints on the tape, DeepWatch draws a marker on the chart at the price where it happened.

Trade markers

Each trade is one marker.

• Its vertical position is the trade price.
• Its horizontal position is the time the trade printed.
• Its size scales with the trade volume (a 50-lot trade is much bigger than a 1-lot).
• Its color tells you which side initiated the trade:
  • Bullish color (default green-tinted) = trade at the ask = aggressive buyer
  • Bearish color (default red-tinted) = trade at the bid = aggressive seller

Trade styles

You pick how trades are drawn from the toolbar Trade style button. There are six styles:

Pies in detail

The Pies style is different from the others. Instead of marking every individual trade, it summarizes each column as a single pie chart at the price the trades happened.

• The size of the pie scales with total volume in that column
• The sectors show the buy-vs-sell split (one sector per side)
• A glow outline draws attention to high-volume pies
• An info card above the pie shows two lines: total volume / delta on the first line, and buy and sell volume on the second

Use Pies when you want to see at a glance which columns were dominated by one side.

You can resize the pies with the Pie Size slider in the toolbar Trade style popup. Default is 100%, range is 15% to 200%.

Trade filters (visibility, not aggregation)

You can filter which trades show on the chart with a minimum volume slider in Settings (under Trades). This is a display filter only. Filtered trades still count toward:

• Volume Profile and Footprint totals
• CVD and Delta
• Footprint imbalances and absorptions
• Indicator panels

Big trades

A separate setting lets you flag big trades as their own signal. When a trade exceeds your big-trade threshold, it gets a distinct marker and (optionally) an entry in the Activity Log. See Signals.

Trade labels

You can optionally show the volume number next to each marker via a toggle in the toolbar Trade style popup. Labels become hard to read on fast markets, so they are off by default.

Price-run sampling

When sampling mode is set to PriceRun, each column represents a run of trades at the same price. The trade marker for the column reflects the cumulative activity in that run. This is a powerful mode for very active markets where the action is driven by price changes more than by time. See Sampling modes.

Data Columns

The main heatmap is one view of order flow. DeepWatch lets you add side-by-side data columns that show complementary views. You can add as many as you like, in any order, and each one has its own settings.

There are four column types:

Add a column from the toolbar (the Profile, FP, LD, TB buttons). Resize a column by dragging its splitter. Right-click a column header for instance-specific options (settings, remove, rename).

VP - Volume Profile

A vertical histogram of traded volume by price for a chosen timeframe. Bars on the left or right side of the column show how much volume traded at each price.

Main settings

• Timeframe - what period the profile covers (Session, Today, Yesterday, Last Hour, Minute, Composite, etc.)
• Session Template - which trading-hours definition to use per VP instance (you can have a 24h profile and an RTH-only profile side by side)
• Aggregation / bucket size - group multiple ticks per row
• Value Area % - default 70%
• POC color, VAH/VAL colors, value area fill color
• Auto-fit - automatically scale the bars to the column width

Reading it

• The longest bar is the POC (Point of Control), the most-traded price
• The Value Area is shaded; VAH (top edge) and VAL (bottom edge) are reference levels
• Splits in the histogram mark price zones where volume concentrated. These often act as support and resistance

Multiple VPs

You can add several VP columns each with a different timeframe. A typical setup is: one Session VP, one Today VP, and one Yesterday VP side by side.

FP - Footprint

A bar-by-bar view where each bar is sliced price-by-price, showing buy volume and sell volume at every price level inside that bar. Footprint is the most detailed view of order flow available.

Main settings

• Bar duration - how much time / volume / range each footprint bar covers
• Number style - show raw volume, delta, ratio, or split (e.g. 12x8)
• Imbalance ratio - threshold for marking diagonal imbalances (default 3.0, meaning 3-to-1)
• Stacked imbalance threshold - how many consecutive imbalances mark a "stacked" pattern (default 3)
• Show absorption - toggle absorption detection
• Fill style - solid color, dimmed, or bar-style (proportional fill from one side)
• Bar Color - per-side colors for buys and sells
• Timeframe / session template - same as VP

Reading it

• Each cell shows volume traded at that price inside that bar
• Bullish (buy) volume and bearish (sell) volume are shown on opposite sides
• Cells with solid borders and an arrow are imbalances. Three or more stacked is a strong signal
• Cells with dashed borders are absorption (large aggression, no price move). See Signals

TB - Trading Band

A visualization of your own trading activity at each price level:

• Your buy orders and sell orders (limits and stops)
• Your position entry price highlighted with a band
• Bracket TP/SL orders if you have them

The TB column lets you see your orders in the context of the live book. You can spot, for example, that your stop is sitting right where a wall of liquidity has been pulled.

Main settings

• Show entry band - highlight your position entry price
• Show TP / SL - render bracket orders distinctly
• Account selector (in the trading panel, not the column itself) - which account's orders are shown
• Hover overlay - WYSIWYG preview of where a click would place an order

Interaction

• Right-click on the column at a price to cancel orders at that price
• Drag your existing orders up or down to move them
• Use the trading panel and the toolbar Buy / Sell drag handles to place new orders

LD - Live Depth

A real-time view of the current order book size at each price level. Unlike the heatmap (which shows history left-to-right), Live Depth shows you only right now.

Three modes

Main settings

• Mode - one of the three above
• Show grid - row separators
• Backdrop on dark background
• Fill style - solid, gradient, or outline
• Max levels per side - default 30
• Iceberg detection - mark prices that keep getting refilled (Liquidity Refill, currently hidden behind a feature flag in 0.9.0-beta)

Reading it

LD is best read as a decision tool right now: at the current best ask, is there 200 lots resting or 20? If it is 200, your aggressive buy is likely to fill there. If it is 20, the next move is probably a level higher.

The strip is sized so you can spot walls (very large prices) immediately.

Show Grid

Every column supports a Show Grid toggle that adds horizontal row separators. When grid is on across multiple columns, the rows align perfectly so you can read price-by-price across all of them.

Right-click menus

Each column type has its own right-click menu. Common items:

• Settings... - open the settings window for that column instance
• Remove column - delete this instance
• Rename - give it a custom name
• Move left / Move right - reorder
• Show grid, Show labels, etc.

Templates capture columns

When you save a template (see Themes & Templates), the full set of columns - count, order, types, and per-column settings - is captured. Apply the template to a new window and your column layout comes back exactly.

Signals

DeepWatch detects several order flow patterns automatically and marks them on the chart. This section covers what each signal means, how it is computed, and how to tune the thresholds.

If a term here is unfamiliar, check Core Concepts first.

Where signals appear

Two display options, controlled by the toolbar Strip button (hotkey G):

• Overlay (default): signals are drawn directly on the heatmap at the price and time they fire
• Strip: signals are listed on a dedicated bottom strip, time-aligned with the chart

Strip view is cleaner if you have many signals firing. Overlay is more intuitive when you are learning to read them.

All signals also appear in the Activity Log popup (toolbar Activity button), which is a scrolling text feed you can click to pan the chart to that moment.

The Info Bar

The bottom-right of the heatmap shows a row of chips:

grid / max / smp / γ / IMB / ABS / Trade-only

• grid - current bucket / aggregation
• max - max levels per side
• smp - sampling mode
• γ - gamma value
• IMB - number of imbalances visible
• ABS - number of absorptions visible
• Trade-only - whether trade-only mode is on

Toggle with H. Hiding the chips also skips the scan that produces the counts, which is a small performance win on busy machines.

Keyboard Shortcuts

Every keyboard shortcut available in DeepWatch. The in-app help overlay (press ?) shows the same list inside the window.

Shortcuts work whenever the DeepWatch window has focus and the cursor is over the chart area. They do not fire when you are typing in a settings field.

View

Signals

Indicators

Sub-panels below the main chart.

Behavior

Actions

Mouse

Glossary

One-line definitions of every term used in this guide.

Absorption

Large aggressive volume hits a price but the price does not move; sign that someone is absorbing the aggression.

Aggressor

The side that crossed the spread on a trade. Buying aggressor lifts the offer; selling aggressor hits the bid.

Ask

The lowest price someone is willing to sell at. Also called "offer".

Best bid / Best ask

The highest bid and lowest ask currently posted.

Bid

The highest price someone is willing to buy at.

Big trade

A single trade above your configured volume threshold; flagged as a separate signal.

Book

Synonym for order book / depth of market.

Bucketing

Grouping multiple ticks into one row on the chart to reduce noise. Price-stable: the same price always lands in the same bucket.

CVD

Cumulative Volume Delta. Running sum of buy volume minus sell volume over the session.

Delta

Buy volume minus sell volume over a given window.

Depth

Resting (passive) liquidity in the order book.

Divergence

Price makes a new extreme but CVD does not confirm. Early warning of weakness.

DOM

Depth of Market. The full ladder of bids and asks at each price.

Footprint (FP)

A bar-by-bar view splitting each bar by price, showing buy and sell volume at every price inside the bar.

Gamma

A correction factor that controls how large orders compare to small ones in heatmap brightness.

Iceberg

A hidden large order that keeps getting refilled at the same price as it is consumed.

Imbalance

At a single price, one side's volume is much larger than the other's (default 3-to-1). Stacked imbalances are a strong signal.

Inferno

The default heatmap palette: black to purple to red to orange to cream.

Jet

A rainbow heatmap palette: blue to green to yellow to red.

Last price

The price at which the most recent trade printed.

Liquidity Refill

Iceberg detection: repeated refills at the same price within a short window.

Live Depth (LD)

A column showing the current resting order book size at each price, right now.

POC

Point of Control. The single price with the highest volume in a Volume Profile.

PriceRun

A sampling mode where each column is one run of trades at the same price.

Sampling mode

What each chart column represents: time (continuous), trade-only, or price-run.

Sequential

A colorblind-safe heatmap palette: dark purple to green to yellow (Viridis-like).

Session

The trading day for that instrument, defined by your NinjaTrader Trading Hours template.

Spread

The gap between the best bid and the best ask.

Stacked imbalance

Three or more consecutive imbalances in the same direction stacked vertically.

Stop-hunt

A market move that pokes through a known stop level and then immediately reverses. See "sweep".

Sweep

Another name for stop-hunt: price overshoots a swing extreme and reverses.

Template

A saved DeepWatch configuration you can re-apply to any window. Separate from a NinjaTrader workspace.

Theme

The color palette of the window chrome. Four built-in themes: Obsidian, Arctic, Cobalt, Ember.

Trade-only mode

Heatmap mode that hides or dims levels with no recent trade activity.

Trading Band (TB)

A column showing your own orders and position entry at each price.

UI Style

The visual treatment of buttons and panels. Four built-in styles: Minimal, Office365, Terminal, Aurora.

VAH / VAL

Value Area High and Value Area Low. The upper and lower edges of the Value Area.

Value Area

The price range containing a configurable percentage (default 70%) of session volume.

VPOC

Virgin POC. A POC that has not been revisited since it formed.

Volume Profile (VP)

A histogram of traded volume by price for a chosen timeframe.

Workspace

A NinjaTrader concept: the full layout of every window. Saves DeepWatch state alongside everything else.