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Bookmap is a high-performance trading platform. Over the last few years, it has set a new standard for accurate realtime & replay visualization of complete market data. Main features of Bookmap are its heatmap visualization of the evolution of market depth (order book), and volume bubbles that show when, where and amount of volume traded with unlimited precision. It allows traders to see the actions and intentions of other traders and thus make better trading decisions. Customers include individual traders, proprietary trading firms and hedge funds. Bookmap works with Futures (e.g. CME, Eurex), US stocks, and digital/cryptocurrencies.

 

Bookmap Orientation.png

Why Bookmap?

There is a large variety of trading platforms including very good ones with unique features that focus on particular aspects of trading. Here are several key points that distinguish Bookmap from other trading platforms and explain the motivation for creating it.

Bookmap chart vs other charts

Unlike other Order flow trading platforms, Bookmap visualizes the Order Flow of all orders. It uses the heatmap to display not only the flow of aggressive orders (i.e. traded volume) but also the flow and its evolution of passive orders which contribute to ~90% of market data and which contain most of the activity of large institutional traders. This allows traders to see in real-time how market participants interact and react on significant events including events related to large liquidity in market depth 

Another distinct feature is 3D volume bubbles which show with the precision of user's display resolution when and where executions (i.e. trades) took place. The traded volume is proportional to the volume of 3D bubbles, which makes it intuitively easy to grasp the evolving and highly non-uniform level of activity of the market during different periods of time.

Volume Bubbles.jpg

Is Bookmap profitable?

The short answer is "No". The longer answer requires a little of the background. Exchanges and trading venues in general work in a surprisingly similar way. Exchanges don't conduct the trading activity of their own, but rather a platform for interaction between traders. The rules of this interaction are defined by exchanges in the form of Matching Algorithms. Accordingly, all the thousands of market data based indicator including the price itself are a direct function of actions performed by traders. The set of available to traders actions is typically pretty simple and probably didn't change much since the first sort of trading venue was established thousands of years ago:

Action Parameters Exchange response
1 Send a new order Buy or Sell, Size, Price Order ID
2 Cancel an order Order ID

Most exchanges (but not all) also allow to modify working orders:

Action Parameters
3 Modify an order Order ID, New size, New price

his and other aspects of trading are described in details on Market Mechanics page, which is a highly recommended background for traders.

That Bookmap is built to provide maximum transparency into the actions and intentions of market participants, limited only by the quality and transparency of the data that exchanges and intermediate data vendors are offering. Traders view Bookmap chart as an HD video that shows market actions with no delay or aggregation. Bookmap neither an indicator nor a trading strategy. Its purpose in relation to the pyramid diagram is to take 100% of market data and, convert it into useful information in order to help traders to get the relevant knowledge which can consequently improve their trading decisions. Bookmap also takes care for fast transmission of trader's action to the exchange. For that purpose, most click trading actions are transmitted when traders press the mouse button and not when they release it, which saves dozens of milliseconds.

Market depth data typically contributes to ~90% of all market data. Accordingly, ignoring it (like many other charts and trading platforms do) would shrink the width of the base of the Data -> Actions pyramid by 90%. Therefore this could not possibly lead to a wider than original top of the pyramid, i.e. to better actions.

Bookmap Free and paid packages

Bookmap Free package is called Bookmap Digital. It doesn’t require any payment details and contains free real-time data of digital- cryptocurrencies from GDAX and other exchanges such as BitMEX, Bitfinex, and OKCoin. Also, it contains delayed data of US stocks powered by dxFeed (Devexperts). These data feeds are available 24/7 and let you get an impression of what Bookmap is, and even to trade from the chart using the built-in trading simulator.

When traders decide to watch real-time Futures or US stocks, they can upgrade to Bookmap Global package. The global+ package enables trading on a broker account and a number of addons. Trading at crypto exchanges requires Bookmap Digital+ package.

As for Apr 2018, the monthly prices for Digital+, Global, and Global+ packages are $37, $49, and $99 accordingly. Yearly subscriptions add ~20% discount.

Market data and trading systems

Bookmap is neither a broker, nor a data vendor, but users can connect it to almost 20 data sources and trading systems as shown below. Users need to choose which data sources and trading systems they wish to connect Bookmap to. Bookmap supports parallel connectivity to multiple connections. Full market depth data is essential to get most of Bookmap visualization powers, especially when looking at the chart with large time and price ranges. It's highly recommended connecting Bookmap directly to data vendors and order management systems (OMS), e.g. Rithmic or CQG, and not via a 3rd party platform (more details here: Bookmap_Performance_FAQ).

Traders who are interested in a particular market/instrument/asset/exchange should check which of the supported by Bookmap data vendors listed below provides such connectivity.

I wish to use Bookmap with a particular Exchange / Data vendor / OMS, but I don't see it in the list of supported connections.
What should I do?

This is addressed by Bookmap Connect solution (free) and Bookmap Quant solution (paid). Jump to Bookmap API section for more details.

Comparison of market data sources

Users can use Bookmap to compare by themselves the latency and quality of 2 or more market data feed sources on either large scale or in milliseconds time range. The results of latency comparison may be different for different users depending on the geographical location of the user, exchange, and data servers of the data vendor. Here are more details and an example of such comparison: Instructions and example comparison of market data feeds.

Understanding different temporal types of data

To avoid confusion, here are 4 temporal types of data.

Recent Historical Market Depth data

Note: Recent historical data must not be confused with historical data. A thumb rule is this: recent historical data is what precedes the moment of a real-time subscription while historical data is what is played by Bookmap Replay.

Bookmap Version 7 introduces access to recent historical data including market depth data upon subscription to a given instrument. This gives traders a better orientation immediately after the moment of subscription to real-time data. Market depth data, unlike other forms of market data (such as trades or aggregated OHLC), includes all the data available for a given market. It requires significant bandwidth (typically x20 times more than just trades data) and also the integration of the recent historical market depth data with the real-time data. It is therefore not offered by other trading platforms of which we are aware of.

Bookmap offers recent historical market data for the last 48 hours. There are 3 sources of data. First, Bookmap attempts to load the historical data which was recorded during the previous trading session and stored on your computer in C:\Bookmap\Feeds\ folder. If there is no previously recorded data or if it has gaps, Bookmap will download the missing data from the other two sources depending on the instrument type.

(*) Supported futures exchanges are CME, ICE, and Eurex.

Note: The historical part of the data is not recorded into the Bookmap data files “.bmf”. These files will contain only the real-time data since subscription to the instrument. However, users can save the complete data via the File->Export menu.

Futures

As of April 2018, only Rithmic provides full market depth for all CME instruments. This is why it's recommended by Bookmap for watching & trading CME Futures.

ESM8.CME@RITHMIC screenshot 20180412 195742 000-003.png

US stocks

Traders can connect Bookmap to dxFeed market data offered by Devexperts. As for July 2018, it is the only available US stocks data source over the internet with the institutional level of quality. Traders can connect Bookmap simultaneously to dxFeed market data and their Interactive Brokers account for trading. Connection to other brokerage platforms can be developed using the API under Bookmap Connect solution.

After subscribing to Bookmap, connect to your account here and select one or more of the following data subscriptions which enable access to 15 symbols.

Currently supported data feeds are:

More details are available here: US Stocks dxFeed_data by Devexperts

Digital and Cryptocurrencies

Currently, available connections are GDAX, BitMEX, Bitfinex, and OKCoin.

BitMEX, OKCoin, and Bitfinex are external adapters developed under Bookmap Connect solution. Here are simple instructions on How to install Bookmap Connect adapters.

Useful information about BitMEX: BitMEX Adapter

All data and trading connections / supported market data providers

Remarks:

* Only stocks with market depth data are considered

** Tells which Bookmap license is required from Digital to Global+

*** Connect Bookmap to dxFeed and then to your Interactive Brokers account for trading

**** Internal score based on factors such as latency, data throttling, and synchronization between market depth data with T&S and BBO. Users can compare themselves data quality of multiple data vendors using Bookmap [1].

***** MacOS is not supported with target connection API based on .NET, which is Windows OS-dependent

****** Gives access to Bookmap_API for development of custom modules. In order to access dxFeed stocks data via API (i.e. "Non-display" data), please contact dxFeed directly via sd@dxfeed.com.

Trading

Bookmap allows to trade from the chart and visualizes with unlimited precision when the orders were placed, modified, canceled, or executed. Users who prefer to trade via other trading platforms can still connect Bookmap to the same account and watch their order as if they were initiated from Bookmap.

Trading Orders Visualization.png

Replaying trading sessions

Main article: Bookmap Orders Format

Market data and orders can be recorded, allowing to debrief trading sessions later launching Bookmap in Replay mode. In addition, traders can export and import orders file in human-readable format, which implies that such files can be edited or even generated from scratch (e.g. from an external simulation software).

Bookmap API

Bookmap API consists of three layers for different purposes. 1. Layer 0 API allows connecting Bookmap to additional data sources and trading systems. There are two solutions under Layer 0 API: Bookmap Connect solution enables to create adapters that are open to all (e.g. add a new Crypto exchange) and Bookmap Quant solution is for self-use, enabling to connect to proprietary data and trading systems. 2. Layer 1 API allows the implementation of automatic trading strategies, gives access to raw market data, and user's trading activity on the chart. 3. Layer 2 API allows drawing of custom indicators and controlling the chart rendering.

Bookmap for MacOS

Mac OS version is available 

Linux compatibility

Certain versions - definitely can emulated on UNIX systems by WINE, we checked that. This is a very early experimental version. There might be quite a few issues that are not yet detected. Feel free to let us know if you find something.

Experimental version limitations

  • While .NET is still required, actual .NET adapters usage will lead to a silent crash. This relates to S5, NinjaTrader, TT, and Transact. The NinjaTrader connection is the most tricky one as it will start automatically as long as it's enabled by license.
  • Some popup window might be displayed below the main window if you switch to other application and back. Alt+Tab usually helps to bring the window back.
  • Offline activation doesn't work (the regular online activation does)

Setup

  1. (From Bookmap support side) Make sure your license has NinjaTrader disabled. Disabling the other 3 .NET adapters is recommended, but not mandatory.
  2. Install 64 bit Wine software.
  3. Make sure you don't have Wine mono installed. If you do - remove it with wine64 uninstaller -remove '{E45D8920-A758-4088-B6C6-31DBB276992E}' Failing to do so will result in .NET installer complaining about already being installed during the next step. Bookmap will not work with Mono.
  4. Make sure you have .NET 4 installed under Wine. If you don't - download an installer from Microsoft and run it. https://www.microsoft.com/en-us/download/details.aspx?id=17718 It's best to use an offline version, just run it under Wine.
  5. Install Bookmap. Just run the installer under Wine.
  6. Run Bookmap. You should be able to run replay and connect to most adapters now. Java-only adapters (CQG, Cedro, DxFeed, Random) should work the best, but in theory, most adapters should work.

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