NinjaTrader Market Depth Map vs Bookmap: Two Ways to See the NQ Order Book
Order Flow+ already paints the order book behind your NinjaTrader bars, so is Bookmap worth a second window and a second bill? What the Market Depth Map draws and its settings, where Bookmap goes further on depth, history and individual orders, and the price of each at the time of writing.
If NinjaTrader 8 with Order Flow+ already paints resting limit orders behind your bars, do you need Bookmap? The NinjaTrader Market Depth Map is what makes the question fair. It draws the order book as a heat map on an ordinary chart, with no second program and no second data bill, and on a quiet level it can look a lot like Bookmap. The two draw from different raw material, and the differences land in the places an NQ (E-mini Nasdaq-100) trader cares about: how deep the book goes, how far back the picture reaches, and whether individual orders are visible.
The NinjaTrader side assumes a chart built as in NinjaTrader 8 chart setup. If the order book itself is new, order flow trading explained covers bids, offers and what resting size means.
What the Market Depth Map draws
Order Flow Market Depth Map is one of the Order Flow+ indicators, alongside volumetric bars. For every bar it records the largest size that rested at each price while the bar was open and shades that price in 20 opacity steps, from faint to solid as size grows. A narrow strip between the last price and the price axis shows the largest size seen at each price in the bar that is still forming. By default it tracks 10 bid and 10 ask levels, and it needs Level II data (market depth) from the connection.
The settings that change the picture most:
- Base volume range on: Percent or Exact volume. Exact volume ties the shading to contract counts you choose, so a 300-lot looks the same at 3:00 AM ET as at the open.
- Maximum volume range and Minimum volume range: the sizes drawn at full opacity and at the faintest.
- # of market depth levels: capped by what the data provider sends.
- Display mode: Realtime and Historical Depth (the default), Realtime Depth only, or Historical Depth only.
- Opacity distribution: Low, Normal or High.
History is the catch. NinjaTrader's help guide describes the map as a real-time indicator that starts plotting from the moment it's applied, so reloading the chart or restarting the platform starts it again from a blank screen, and the guide lists no setting that stores it. Market Replay data carries Level II as well (your own recordings capture it when a Level II or SuperDOM window is open), so replaying a morning's depth goes through the Playback connection.
Depth has a ceiling either way. CQG-based feeds, which include Tradovate, stop at 10 levels per side on NQ. Rithmic sends more, and the # of market depth levels setting can go above the default 10, up to what the feed supplies. At 0.25 points per tick on NQ, 10 levels cover 2.5 points above and below the market when every tick has an order on it, which near price it usually does.
What Bookmap adds
Bookmap is a separate application built around the heat map. It records whatever book its data source sends and draws traded volume as bubbles over it. Three things go further than the Depth Map.
The first is depth. CME's standard market-by-price feed stops at 10 price levels per side. Market-by-order (MBO) data lists every individual order at every price. Bookmap sells full-depth CME data through its own BookmapData service, through dxFeed and through Rithmic, and MBO through BookmapData and Rithmic.
The second is individual orders. With MBO, Bookmap's iceberg and stop add-ons can tag single orders, which the Depth Map can't do because it only sees total size per price. Those add-ons come in an MBO bundle that requires the Global or Global+ plan plus MBO data.
The third is history at startup. Bookmap backfills the heat map when it opens: up to 72 hours with BookmapData, 24 hours with dxFeed, and 1 hour with Rithmic (24 hours for an extra $14 a month per exchange) at the time of writing. Bookmap's documentation says backfill reflects top of book and partial depth, so the backfilled stretch is thinner than what it records live.
Bookmap can also run on NinjaTrader 8 as its data connection, through a plugin and a NinjaScript add-on. That route is convenient for orders, but the depth is only as deep as the feed behind NinjaTrader, and Bookmap's connectivity notes say MBO isn't available through it.
Side by side
| NinjaTrader Market Depth Map | Bookmap | |
|---|---|---|
| Where it runs | Indicator on any NinjaTrader 8 chart, next to Chart Trader | Separate application and window |
| What it needs | Order Flow+ and a Level II feed | Global plan or higher, plus a CME data subscription |
| Depth on NQ | 10 levels per side by default, the most a CQG feed such as Tradovate sends; more with Rithmic if the setting is raised | Full depth with BookmapData, dxFeed or Rithmic data; partial depth through Tradovate |
| Individual orders (MBO) | No, total size per price only | Yes, with BookmapData or Rithmic MBO data |
| History when it starts | None; builds from the moment it loads | Backfill of 1 to 72 hours depending on the data provider, partial depth |
| Replay | Market Replay files with Level II, through Playback | Replay mode for recorded or downloaded files, not on the free plan |
| Cost at the time of writing | Part of Order Flow+, included with any NinjaTrader plan once the brokerage account is funded, otherwise $59 a month as an add-on | Global $49 a month ($39 billed yearly) plus CME data from $34 a month |
How Order Flow+ applies to accounts at prop firms depends on the licence and the connection; NinjaTrader licences on a prop account goes through the cases. On the Bookmap side, the cheapest real-time NQ setup with data bought from Bookmap is Global plus one CME feed, about $83 a month billed monthly.
Which difference matters
For a trader who marks levels before the session and wants to know whether size is sitting there when price arrives, the 10 levels around the market, live, cover most of the question. That's the Depth Map's home ground, and it sits on the same chart where the orders go.
Spotting icebergs or stop clusters needs MBO, and of these two only the Bookmap route provides it. A trader who opens the platform at 9:25 AM ET, or restarts it mid-session, sees no history on the Depth Map, while Bookmap's backfill fills part of the gap. And the two-window cost runs both ways: Bookmap adds a screen to watch, the Depth Map adds clutter to the execution chart.
My NinjaTrader execution chart carries no order-flow indicators, and depth lives in a separate Bookmap window next to it, where it answers one question at a marked level: is there size, and is it holding. Bookmap on NQ covers that use, and Bookmap setup for NQ the installation.
Educational content, not investment advice. Futures trading involves substantial risk of loss. Examples are for illustration only. Read the full Risk Disclosure.