Icebergs, read from order IDs.
When one order keeps refilling at the same price, DeepLevel follows it by its ID. Absorption marks heavy aggression that does not move the price.
DeepLevelEvery order
behind every level.
A market-by-order liquidity heatmap for CME index futures. Watch resting orders build, pull and fill, then replay the session order by order.
One book.
Every layer of it.
Heatmap
Resting liquidity at every price, drawn every 100 ms. Brighter means more size waiting.
Replay the session,
order by order.
Open any recorded session and play it back from 1x to 1,800x. The book is drawn every 100 milliseconds and every trade keeps its own time stamp.
1x2x5x10x30x60x300x1800x
Follow the orders.
Read what happens.
Stop runs, where they happened.
Sweeps through three or more ticks inside 50 ms, drawn on the heatmap with their size.
Every order in the book.
Totals and the largest order at each price, big orders outlined, and what was added or pulled in the last 10 seconds.
Panels that read the book.
CVD, Liquidity Scan, cumulative stop runs and icebergs, and Book Speed, all on the same time axis.
Know the regime.
Volatility against the last 20 sessions at the same time of day, plus near and far depth with their delta.
Dark or light.
Your layout, saved.
Templates keep colours, the heatmap ramp, panels and detector settings. Open several windows and the workspace remembers them.
More than the size
at each price.
| Candles | |||
|---|---|---|---|
| Trades and volume | Yes | Yes | Yes |
| Resting liquidity over time | No | Yes | Yes |
| Size of each individual order | No | No | Yes |
| Iceberg refills followed by order ID | No | No | Yes |
| Pulled orders told apart from filled ones, order by order | No | No | Yes |
| Largest single order at each price | No | No | Yes |
Depth by price adds up every order at a level. Market by order keeps each one.
Frequently asked.
What is DeepLevel?
A Windows desktop app that draws the CME order book as a heatmap from market-by-order data, with an order book, detectors, panels and replay. It is part of the DeepAlpha family.
Which markets does it cover?
ES, NQ, MES and MNQ.
What data does it use?
CME market-by-order data: every order added, changed, pulled or filled, with its own ID.
Does it place orders?
No. DeepLevel reads the market; your orders stay in your trading platform.
Can I replay past sessions?
Yes. Recorded sessions play back from 1x to 1,800x.
When can I use it?
DeepLevel is in private testing. Join the early-access list for updates. Joining the list does not guarantee access.
Currently in private testing
The book.
Every order.
Your levels.
Join the waitlist for DeepLevel and DeepAlpha updates.
No payment required. Read our .
