Bookmap VS Ninjatrader Volume Delta: pros and cons

Today I will ty to answer a question I often receive: do I always trade with Bookmap? Is is better to use Bookmap ou Ninjatrader with a volume delta indicator?

The short answer is: I use both bookmap and Ninjatrader with cumulative volume delta.
But the fact is: I can trade without Bookmap and I often do it. Let me take an example from today’s order flow on Emini sp500 futures to illustrate why I don’t really need Bookmap.

1. Ninjatrader with cumulative volume delta

In this example from today, I drew a trendline and then saw a high volume of buy orders coming in. In the same time, the price candle was bearish (see the white arrows on the screenshot below).

This means you have about 500 buy markets orders that have been absorbed. You don’t know if these orders have been absorbed by some sell limit orders from the order book or from some iceberg orders but the good news is: you don’t care.
Yes, when you are learning it’s always good to understand what happens in the markets and you can ask yourself who absorbed the buy orders. But when you are scalping live, that’s some additional data processing that you could avoid to keep focus on your trading because you need to make fast decisions to beat the algos.

I took this profitable short trade based on this absorption + the interesting horizontal resistance that you can see at 4198,00. I was confident that this mini trendline would break.

2. Bookmap

Now let’s take the exact same absorption setup in Bookmap. What can we see?

We can see that we have a big green bubble with 499 buy market orders. We knew this already.

And if we zoom enough in our zone of interest, we can see that these buy market orders were probably absorbed by the sell limit orders in the book because we had 480 sell limit orders ready waiting:

Conclusion

For this example, we can conclude that we have one more information in bookmap but:

  1. as I said, it’s not a mandatory information for real time scalping
  2. it could even lower your brain data processing and make you miss the trade

You can be profitable trading with cumulative volume delta alone. And when you want to have more insights, Bookmap is still a very good tool. Sometimes I appreciate to use it to display iceberg orders, and look at the heatmap. The limit orders set and removed by algos all day long give some good clues sometimes.

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