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Treemap

Treemap

Order Book View

Every level is a tile whose area is its notional value — where the money actually sits.

What it answers

Where is the money in the book? Open it from the order book toolbar with View → Treemap, or from Settings → . The , bar and order entry stay in place; only the book pane changes.

Connecting to Binance BTC/USDT…
Connecting to Binance BTC/USDT…
Real time: the production Treemap renderer on the live Binance spot book (REST snapshot + 100ms diff stream + trades). Switch symbol or source above; hover for a readout, click to pick a price.

Anatomy

Left block / right block
and asks. Each block's is that side's share of total notional.
Tile area
Price × size at that level.
Tile shade
Brighter tiles are nearer the .
Outlined tile
A .
Labels
Price and notional, shown when the tile is enough.

How to read it

  1. block widths: the wider side holds more money.
  2. Find the largest tiles: those are the levels that matter most for anyone moving size.
  3. A bright tile is a close to the .
  4. Many tiny tiles mean a fragmented book with no dominant level.

How it is computed

  • Levels are sorted by notional, largest first.
  • Each side is laid out with the squarified treemap algorithm (Bruls, Huizing & van Wijk) into its share of the .
  • Side is clamped to 10–90% so a very one-sided book still shows both.
Core calculation
const bidShare = totalBidNotional / (totalBidNotional + totalAskNotional);
const order = levels.map((l, i) => ({ l, i })).sort((a, b) => b.l.notional - a.l.notional);
const rects = squarify(order.map(o => o.l.notional), region);   // area ∝ notional
const shade = 0.18 + (1 - i / (levels.length - 1)) * 0.55;       // near touch = brighter

Trading signals

Dominant tile

One tile far larger than its neighbours is the level a participant is defending or targeting.

Money skew

A split shows a capital imbalance even when level counts match.

!
Caution:Area encodes notional (price × size). On low-priced instruments, deep levels can look larger than they would by size alone.

Settings that affect this view

Levels
How many tiles each side has.
Liquidity walls
Outlines walls.

Standalone HTML implementation

A complete, dependency-free page that implements this view on a canvas against the real-time book. It runs below exactly as written. The harness keeps a full local book from the REST snapshot and the 100ms diff stream (resyncing on any sequence gap) and reads from aggTrade. Change SYMBOL / GROUP for another market, or replace snapshot() with your own feed, and the draw() function works unchanged.

Treemap — standalone HTML, live Binance feed, no dependencies
orderbook-treemap.html
<!doctype html><html lang="en"><head><meta charset="utf-8"><meta name="viewport" content="width=device-width,initial-scale=1"><title>Treemap — order book view</title><style>  html, body { margin: 0; height: 100%; background: #0b0e14; overflow: hidden; }  canvas { display: block; width: 100%; height: 100%; }  #status { position: fixed; left: 8px; bottom: 6px; font: 600 10px ui-monospace, Menlo, monospace;            color: #cbd5e1; background: rgba(15,23,42,.85); border: 1px solid rgba(148,163,184,.3);            border-radius: 4px; padding: 2px 6px; pointer-events: none; }  #status i { display: inline-block; width: 6px; height: 6px; border-radius: 50%; margin-right: 5px; background: #f59e0b; }</style></head><body><canvas id="c"></canvas><div id="status"><i></i>connecting…</div><script>// ─── Canvas + palette ───────────────────────────────────────────────────────const C = document.getElementById('c'), X = C.getContext('2d');let W = 0, H = 0;function fit() {  const r = C.getBoundingClientRect(), d = Math.min(devicePixelRatio || 1, 2);  W = r.width; H = r.height; C.width = W * d; C.height = H * d; X.setTransform(d, 0, 0, d, 0, 0);}addEventListener('resize', fit); fit();const BID = '#0ecb81', ASK = '#f6465d', GRID = 'rgba(148,163,184,.16)';const TEXT = '#e2e8f0', MUTED = '#64748b', ACCENT = '#8b5cf6', WARN = '#f59e0b';// ─── Feed settings ──────────────────────────────────────────────────────────// Real-time Binance spot book. Change SYMBOL / GROUP for another market// (e.g. 'ETHUSDT' with GROUP 0.1). If the exchange cannot be reached the page// falls back to a synthetic book and says so in the status badge.const SYMBOL = 'BTCUSDT';const GROUP = 1;            // aggregation step (price bucket)const LEVELS = 30;          // levels per side after groupingconst TICK = GROUP;         // views size cells / buckets by the grouped step// ─── Real-time Binance book: REST snapshot + 100ms diff stream ──────────────// Binance's documented procedure: buffer the diff stream, fetch a snapshot,// drop events with u <= lastUpdateId, then apply in order; a gap// (U != previous u + 1) means resnapshot. qty 0 deletes a level.const live = { bids: new Map(), asks: new Map(), lastU: 0, lastE: 0, synced: false, buffer: [], ok: false, ups: [] };const prints = [];let source = 'connecting';const statusEl = document.getElementById('status');function setStatus(text, color) { statusEl.innerHTML = '<i style="background:' + color + '"></i>' + text; }function applyDiff(e) {  for (const [p, q] of e.b) { const v = +q; v === 0 ? live.bids.delete(+p) : live.bids.set(+p, v); }  for (const [p, q] of e.a) { const v = +q; v === 0 ? live.asks.delete(+p) : live.asks.set(+p, v); }  live.lastU = e.u; live.lastE = e.E;  const now = Date.now(); live.ups.push(now); while (now - live.ups[0] > 1000) live.ups.shift();}async function resnapshot() {  live.synced = false;  const r = await fetch('https://api.binance.com/api/v3/depth?symbol=' + SYMBOL + '&limit=1000');  if (!r.ok) throw new Error('HTTP ' + r.status);  const s = await r.json();  live.bids = new Map(s.bids.map(([p, q]) => [+p, +q]));  live.asks = new Map(s.asks.map(([p, q]) => [+p, +q]));  live.lastU = s.lastUpdateId;  const pending = live.buffer.filter(e => e.u > s.lastUpdateId); live.buffer = [];  let first = true;  for (const e of pending) {    if (first && !(e.U <= live.lastU + 1 && e.u >= live.lastU + 1)) continue;    first = false; applyDiff(e);  }  live.synced = true; live.ok = true; source = 'live';}// Snapshot failures fall back to the synthetic book and keep retrying; the page// switches back to live as soon as a snapshot lands.function trySnapshot() {  resnapshot().catch(() => { fallback(); setTimeout(trySnapshot, 5000); });}function connect() {  const s = SYMBOL.toLowerCase();  let ws;  try { ws = new WebSocket('wss://stream.binance.com:9443/stream?streams=' + s + '@depth@100ms/' + s + '@aggTrade'); }  catch (e) { fallback(); return; }  ws.onopen = () => trySnapshot();  ws.onmessage = m => {    const { stream, data } = JSON.parse(m.data);    if (stream.endsWith('@aggTrade')) {      // m = buyer is maker → the aggressor sold      prints.push({ t: data.T, side: data.m ? 'sell' : 'buy', qty: +data.q, price: +data.p });      if (prints.length > 400) prints.shift();      return;    }    if (!live.synced) { live.buffer.push(data); if (live.buffer.length > 600) live.buffer.shift(); return; }    if (data.u <= live.lastU) return;    if (data.U > live.lastU + 1) { live.buffer = [data]; trySnapshot(); return; }    applyDiff(data);  };  ws.onerror = () => { if (!live.ok) fallback(); };  ws.onclose = () => { live.synced = false; setTimeout(connect, live.ok ? 2000 : 8000); };}setTimeout(() => { if (!live.ok) fallback(); }, 15000);connect();// ─── Synthetic fallback (same shape as the live book) ───────────────────────let center = 76500;const base = { bid: [], ask: [] };for (let i = 0; i < LEVELS; i++) { base.bid.push(0.4 + i * 0.5 + Math.random() * 3); base.ask.push(0.4 + i * 0.5 + Math.random() * 3); }function fallback() {  if (source === 'synthetic' || live.ok) return;  source = 'synthetic';  setStatus('SYNTHETIC · live feed unreachable, retrying', '#94a3b8');}function tickSynthetic() {  if (Math.random() < 0.35) center += (Math.random() < 0.5 ? -1 : 1) * GROUP;  for (const s of ['bid', 'ask']) for (let i = 0; i < LEVELS; i++) {    let q = base[s][i] * (0.92 + Math.random() * 0.16);    if (Math.random() < 0.003) q *= 5;    if (q > 40) q *= 0.7;    base[s][i] = q;  }  if (Math.random() < 0.6) {    const side = Math.random() < 0.5 ? 'buy' : 'sell';    prints.push({ t: Date.now(), side, qty: +(Math.random() ** 3 * 8 + 0.01).toFixed(3), price: side === 'buy' ? center + GROUP : center });    if (prints.length > 400) prints.shift();  }}function tick() { if (source === 'synthetic') tickSynthetic(); }// ─── Snapshot: group raw levels into LEVELS buckets per side ────────────────let prev = new Map();const r8 = v => Math.round(v * 1e8) / 1e8;function group(map, side) {  const out = new Map();  for (const [p, q] of map) {    const k = r8((side === 'bid' ? Math.floor(p / GROUP + 1e-9) : Math.ceil(p / GROUP - 1e-9)) * GROUP);    out.set(k, (out.get(k) || 0) + q);  }  return [...out.entries()].sort((a, b) => (side === 'bid' ? b[0] - a[0] : a[0] - b[0])).slice(0, LEVELS);}function rawSynthetic(side) {  const out = [];  for (let i = 0; i < LEVELS; i++) {    if ((i === 7 || i === 13) && Math.random() < 0.45) continue;     // two flickering levels    out.push([side === 'bid' ? center - i * GROUP : center + GROUP + i * GROUP, base[side][i]]);  }  return out;}function snapshot() {  let rb, ra;  if (source === 'live') {    if (!live.synced) return null;    rb = group(live.bids, 'bid'); ra = group(live.asks, 'ask');    setStatus('LIVE · Binance ' + SYMBOL + ' · ' + live.ups.length + ' upd/s · ' + Math.max(0, Date.now() - live.lastE) + 'ms', '#22c55e');  } else if (source === 'synthetic') {    rb = rawSynthetic('bid'); ra = rawSynthetic('ask');  } else return null;  if (!rb.length || !ra.length) return null;  const build = (levels, s) => {    let tot = 0, notl = 0;    return levels.map(([price, q]) => {      const key = s + price;      tot += q; notl += q * price;      return { price, qty: q, total: tot, notional: q * price, cumNotional: notl,               delta: prev.has(key) ? q - prev.get(key) : q, isNew: !prev.has(key) };    });  };  const bids = build(rb, 'bid'), asks = build(ra, 'ask');  const next = new Map();  bids.forEach(l => next.set('bid' + l.price, l.qty));  asks.forEach(l => next.set('ask' + l.price, l.qty));  prev = next;  const all = [...bids, ...asks], avg = all.reduce((s, l) => s + l.qty, 0) / all.length;  all.forEach(l => { l.isWall = l.qty > avg * 3; });  return { bids, asks, bestBid: bids[0].price, bestAsk: asks[0].price,           mid: (bids[0].price + asks[0].price) / 2, t: Date.now(), prints };}// ─── Helpers ────────────────────────────────────────────────────────────────function txt(s, x, y, a = 'left', c = TEXT) { X.fillStyle = c; X.textAlign = a; X.textBaseline = 'middle'; X.fillText(s, x, y); }function fmt(v, d = 2) { return Math.abs(v) >= 1e4 ? v.toLocaleString('en-US', { minimumFractionDigits: 1, maximumFractionDigits: 1 }) : v.toFixed(d); }function alpha(hex, a) { return hex + Math.round(Math.max(0, Math.min(1, a)) * 255).toString(16).padStart(2, '0'); }function clamp(v, a, b) { return Math.max(a, Math.min(b, v)); }// ─── View ───────────────────────────────────────────────────────────────────// Every level is a tile whose area is its notional, each side packed into a// share of the width equal to its share of total notional (squarified layout).function squarify(vals, r) {  const out = [], total = vals.reduce((s, v) => s + v, 0) || 1, k = (r.w * r.h) / total;  let a = vals.map(v => v * k), { x, y, w, h } = r, i = 0;  while (i < a.length) {    const side = Math.min(w, h); let row = [], j = i;    const worst = rr => { const s = rr.reduce((p, q) => p + q, 0); return Math.max((side * side * Math.max(...rr)) / (s * s), (s * s) / (side * side * Math.min(...rr))); };    while (j < a.length && (!row.length || worst([...row, a[j]]) <= worst(row))) row.push(a[j++]);    const thick = row.reduce((p, q) => p + q, 0) / side; let off = 0;    for (const v of row) { const len = v / thick; out.push(w >= h ? { x, y: y + off, w: thick, h: len } : { x: x + off, y, w: len, h: thick }); off += len; }    if (w >= h) { x += thick; w -= thick; } else { y += thick; h -= thick; }    i = j;  }  return out;}function draw(X, W, H, b) {  const bn = b.bids.reduce((s, l) => s + l.notional, 0), an = b.asks.reduce((s, l) => s + l.notional, 0);  const bw = clamp((bn / (bn + an)) * W, W * 0.1, W * 0.9);  for (const [lv, col, reg] of [[b.bids, BID, { x: 0, y: 0, w: bw - 1, h: H }], [b.asks, ASK, { x: bw + 1, y: 0, w: W - bw - 1, h: H }]]) {    const order = lv.map((l, i) => ({ l, i })).sort((p, q) => q.l.notional - p.l.notional);    squarify(order.map(o => o.l.notional), reg).forEach((r, k) => {      const { l, i } = order[k];      X.fillStyle = alpha(col, 0.18 + (1 - i / lv.length) * 0.55); X.fillRect(r.x + 1, r.y + 1, r.w - 2, r.h - 2);      if (l.isWall) { X.strokeStyle = col; X.lineWidth = 1.5; X.strokeRect(r.x + 1.5, r.y + 1.5, r.w - 3, r.h - 3); }      if (r.w > 64 && r.h > 26) { txt(fmt(l.price), r.x + 5, r.y + 10); txt((l.notional / 1e3).toFixed(0) + 'K', r.x + 5, r.y + 22, 'left', MUTED); }    });  }}// ─── Loop: redraw 4× a second (the live book updates every 100ms) ───────────let last = 0;(function loop(now) {  requestAnimationFrame(loop);  if (now - last < 250) return;  last = now; tick();  const b = snapshot();  if (!b) return;  X.clearRect(0, 0, W, H);  X.font = '11px ui-monospace, Menlo, monospace';  draw(X, W, H, b);})(0);</script></body></html>

See also

Related articles

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  • 3D Ridgeline

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  • 3D Trade Cloud

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