Order flow tools: tape, depth map, net flow
Three views of the same thing — what is being executed right now, rather than what is merely resting in the book.
Updated September 4, 2026
Executed beats resting
The order book shows intention: orders that can be pulled at no cost. The tape shows commitment: trades that happened and cannot be taken back.
When the two disagree — a wall in the book while the tape prints aggressive buying into it — believe the tape. That is the general rule these three tools exist to serve.
The trade tape
Every executed trade in real time. Green is an aggressive buy — someone crossed the spread to get filled — and red is an aggressive sell. Large prints are highlighted.
What to watch is not individual prints but their character: a steady drip of small sells against occasional large buys is a different market from constant medium-sized activity in both directions.
The depth heatmap
Resting liquidity plotted over time (horizontal) and price (vertical, within ±2% of mid). Brighter means more size, and the line traces where price actually went.
It makes two behaviours visible that a static book cannot: liquidity that persists as price approaches, and liquidity that evaporates. A bright band the price keeps failing to reach is real; a bright band that fades on approach was never there in any meaningful sense.
🔴 The history only accumulates from the moment you open the card. There is no stored past — an empty heatmap means you just arrived, not that the book is empty.
Net flow
Aggressive buys minus aggressive sells over a period, as one number. It compresses the tape into a direction: positive means buyers were the ones crossing the spread.
It is the same idea as CVD over a shorter horizon. Use it for the minutes around a level and CVD for the hours; the tools answer the same question at different distances.
Common questions
- Why trust the tape over the order book?
- Because a trade is done and an order is a promise. Resting orders can be withdrawn instantly and often are; executed trades are commitments that already cost someone money.
- Why is my depth heatmap empty?
- It builds from the moment the card opens — there is no stored history. Leave it running for a while before reading anything into it.
- What is the difference between net flow and CVD?
- The same measurement over different horizons. Net flow covers the recent period for reading a level in real time; CVD accumulates over hours or days to show a trend in pressure.