whats a good way to visualize orderflow? Specifically, for options. I was thinking of stacking up volume bars for each strike; maybe a colored for most recent (like a heatmap)
What aspects of order flow are you interested in? Am not familiar with options trading, but am guessing the following might apply ... In addition to strike and size, there's: - order type (limit, market, stopmarket, etc) - order "operation" (submit, change, cancel) - order "age" A dynamic 2-D colour map (yes, "heat map") of some sort?
I was researching on that subject, accidentally I came across this blog ofanseindia.wordpress.com he uses Multicharts for his orderflow indicators, one indicator I found very interesting he called it Spread which sometimes moves before the real swing in the market. I have tried to communicate but haven't got any reply from him though logic has been explained in that blog itself. Seems like you need to have level2 feed to create that indicator for US markets.
There is another party always taking the other side of the trade. Figuring out the exhaustion point for the aggressor ( liquidity taker ) with any consistency remains the real issue. I tried out the Market Delta product several years ago.