Does anyone know of a way to set up a liquidity heat map on the NT charts? I.e. scan bid-ask level II, and if there are any large orders or concentrations of large orders, color regions on the chart using heat map coloring.
For those that use BookMap, I essentially want their heat map of liquidity, just on my NT charts. I don't need the liquidity zones to be "remembered" (i.e. as soon as the offers are lifted or bids are hit, the heat can dim down in those regions).
If that's not possible with any indicators or settings, is this something that can be plausibly scripted within ~400 lines of code in C#? Although I can use C, I have never used it to create NT scripts, so I am totally new to it.
If it can be scripted relatively quickly, are there any useful resources that can be linked here to help me get started -- specifically extracting the bid ask data?
I also understand that if I script this using the native NT rectangle drawings on the charts as building blocks to my heat map, those will change shades and locations at relatively high frequency, especially during high-volume and high-volatility moves. Will that cause glitches on the charts? Most of my trades are quick scalps, and my entries and exits can't be delayed or bugged out, as I will lose my edge.
Thank you for any advice.
Best,
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