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The folks at Nanex have a truly amazing chart that allows you to visualize the evolution of order book "depth" over time.


Below is an example, and here is a link where they explain how to read this type of chart: http://www.nanex.net/aqck2/4394.html


I think it's something that could be implemented in MT and I would very much like to see it.



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You would run it in real time, not with historical data.


In fact there is a tool out there that works with IB and presents similar charts and even allows you to trade from them.


It is called BookMap and I will not link to it here, since it may be considered a competing product to MT. 

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