By Benjamin Roure L'Hermitte
Order flow is not read on a candlestick chart. It is read with four tools, each showing something different: the depth of market, the footprint chart, the heatmap and the volume profile. Knowing what each one shows, and what it does not, stops you buying one for the wrong reason.
- The DOM shows resting orders, that is displayed intent, which can be pulled at any moment.
- The footprint chart shows executed trades, inside each candle, buyers against sellers.
- The heatmap shows the book over time, so what appears and what disappears.
- The volume profile shows where volume accumulated by price level, not by unit of time.
A candle summarises four numbers for a period: open, high, low, close (TradingView's introduction to candlestick charts). Everything that happened inside, who bought, at what price, against whom, vanished into the summary. Order flow tools exist to recover that lost information, and they do it in four different ways.
This article describes what each one displays, what it costs in attention, and which trading style it suits. It does not claim any of them makes you profitable: they are reading instruments, not signals.
What is DOM in trading? Depth of market explained
The DOM, short for depth of market, is the vertical display of the order book: at the price levels nearest the market, above and below, the number of contracts or shares resting there (Sierra Chart documentation on the Chart DOM). It is a photograph of displayed intent at a given instant, on a given instrument.
What the DOM does not tell you matters as much as what it does. A displayed order is not an executed order, and most never become one: in US stocks, the SEC's analysis of the speed of the equity markets found that at most a few percent of posted orders and quotes result in a trade, and that 38.7% of the orders cancelled in the second quarter of 2013 had been in force for half a second or less. That is the structural limit of DOM trading, and the reason an impressive wall of orders can vanish at the exact moment price reaches it. Posting an order with the intent to cancel it before execution is called spoofing, and US futures law prohibits it.
Trading the DOM makes sense on futures, where every order for a contract meets in the exchange's book. Centralised does not mean fully visible: the book for CME Group futures is published ten price levels deep (CME Group's Market Depth page), you need its order-by-order feed to see every level (CME Group's Market by Order page), and an order can expose only part of its size, the rest being booked but not displayed (CME Group's page on order qualifiers).
Retail forex has nothing of the kind: there is no central marketplace where buyers and sellers meet, and the dealer sets the execution price (the National Futures Association's guide to retail forex). The MetaTrader 5 DOM can then be built from the broker's quotes alone, or from calculated price levels when the broker provides no volumes (MetaTrader 5 help on the Depth of Market). What you see is your broker's view, not the market, and that distinction is worth knowing before building a method on it.
Footprint charts: what actually traded
Where the DOM shows waiting, the footprint chart shows execution. Each candle is replaced by columns of numbers: at every price level, how much was sold at the bid, on the left, and how much was bought at the ask, on the right (Sierra Chart documentation on Numbers Bars, the name of the footprint in that software). It is the trace of what happened, with no assumed intent, with one caveat: the side of a trade is only certain when the exchange or the data feed reports it; otherwise the software infers it from the price.
Its main value is imbalance: when a level shows far more aggression on one side than the other, it marks a place where one group paid to get in. Research does establish a link between imbalance and price, though not just any link: across 50 US stocks, Cont, Kukanov and Stoikov find that short-term price changes track the order flow imbalance at the best bid and ask, cancellations included, and that the link with traded volume alone is noisier. Their measurement describes the move as it happens, not a later return of price to the level. The idea that price later comes back to an imbalance remains a trader's hypothesis: a reference point to test on your own trades, not an established result.
The cost of a footprint chart is attention. It is the densest tool of the four, and it requires knowing precisely what you are looking for, otherwise you stare at a wall of numbers with no conclusion. It earns its place on short timeframes and on few instruments at once.
How to read a footprint chart, in practice: pick one level at a time rather than scanning the whole candle. Compare diagonally, the volume sold at the bid at one level against the volume bought at the ask one tick above, because the two prices are never at the same level at the same instant: that is the method given in the Sierra Chart documentation. Note which side was the aggressor, and only then widen out. Footprint charts quickly become unreadable when you try to read every level at once.
Heatmap trading: the book over time
A heatmap takes the order book and spreads it across time: the horizontal axis is time, the vertical axis is price, and colour is the size of resting orders. In Bookmap it represents both current and historical liquidity in the book, from blue for thin areas to red for thick ones (Bookmap knowledge base on the heatmap). You watch dense zones appear and disappear, which a static DOM cannot show.
It is the tool that makes order pulling visible: a thick zone that fades just before price reaches it tells you something no candle tells you. Like the DOM it derives from, it is only worth the book it receives: an exchange's book, not a broker's quotes.
Volume profile: where the market traded the most
The volume profile flips the question. Instead of asking how much traded at each moment, it asks how much traded at each price, over a chosen period (Sierra Chart documentation on the Volume by Price study). The result is a horizontal histogram whose bulges mark the levels where the market did most of its business.
Those levels work as reference points, and the reasoning fits in one sentence: a price where many people entered should be a price where many people react on the return. That is all the volume profile statistical edge amounts to, and we have no solid measurement to cite that would put a number on it. Take it for what it gives: areas of interest, not signals.
Unlike the other three, the volume profile needs neither the book nor the detail of every trade: on TradingView it is calculated from lower-timeframe bars, according to TradingView's documentation on volume profiles. Accessible does not mean free. Volume profile indicators come with TradingView's paid plans, not its free one (TradingView's plan comparison), and at Sierra Chart the Volume by Price study is part of the base package while the footprint and the heatmap require the advanced one (Sierra Chart's description of its service packages). It remains the most accessible of the set, and often the best place to start.
A volume profile strategy usually comes down to two ideas, the ones described in the same TradingView documentation: at a thick area, expect price to slow down and move sideways; at a thin one, formed when price moved quickly through a level, expect it not to linger. That is a vendor's reading, not a measurement. Any volume profile trading strategy built on more than that tends to be fitting shapes after the fact, which is the same trap as reading a trading heat map for patterns that were obvious only once printed.
One caveat on forex: the volume you read there is not a traded quantity. MetaTrader 5 counts the number of price changes in each period (MetaTrader 5 help on the Volumes indicator), and TradingView builds its profiles for forex, indices and crypto CFDs on tick volume, that is a count of price updates. The profile then describes quoting activity, not contracts traded.
Which one to choose, based on what you do
| Tool | What it shows | Where it fits | Attention cost |
|---|---|---|---|
| DOM | Resting orders, right now | Futures, scalping | High, continuous |
| Footprint | Executed trades | Short timeframes | Very high |
| Heatmap | The book over time | Futures, intraday | High |
| Volume profile | Volume per price level | All timeframes | Low |
A simple rule to decide: if you are not holding positions by the minute, the DOM and the footprint will give you little and cost you a lot in attention. The volume profile is read once a session and stays useful in swing trading. Starting there, and adding the others only if the need appears, avoids paying for data you do not use: on futures, real-time data is billed monthly, and costs more with market depth than with the best bid and ask alone (exchange fees on Sierra Chart's Denali data feed page). Crypto is the exception: Bookmap serves it in real time on its free plan, while US stocks and futures are only delayed there (Bookmap's package comparison).
What Tradoshi does, and what it does not
To be clear: Tradoshi provides no DOM, no footprint and no heatmap. Those are execution-platform tools, wired into a real-time data feed, and that is not the job of a trading journal.
What we do is what comes afterwards: journaling the trades those methods produce, then analysing them like any other, by time of day, by instrument, by size, with their maximum excursions. An order flow trader makes many short decisions in a session: one more reason to measure them rather than rely on memory of the session.
For the teaching side, the Oshi Academy covers the subject in a structured path, from understanding order flow through to market structure. And if you are after the definition first, it is in our article on what order flow is.
Frequently asked questions
Frequently asked questions
What is DOM in trading?
The DOM, or depth of market, is the display of resting orders at the price levels nearest the market. It shows displayed intent at a given instant, on both the bid and the ask side. A visible order is not an executed one: it can be cancelled at any time, which is this tool's main limitation.
What is the difference between the DOM and a footprint chart?
The DOM shows what is waiting, the footprint shows what was executed. The first describes revocable intent, the second a permanent trace. They complement each other: you watch the DOM to anticipate, the footprint to check what actually happened.
Does the volume profile give a statistical edge?
It gives areas of interest, not signals. The idea is that levels where a lot of volume traded will see reactions when price returns, but we have no solid measurement to cite that would put a number on it. It is a context marker, to be combined with an entry method, not a trading rule on its own.
Do these tools work on forex?
The volume profile does, with a serious caveat: on forex, the volume shown by MetaTrader 5 or TradingView is a count of price changes, not a traded quantity. The DOM and the heatmap much less: retail forex has no central marketplace, so what you see is one broker's view.
Which one should a beginner start with?
The volume profile, for three reasons: it is calculated from a plain history of bars, with no order book and no trade feed, it is read once a session instead of demanding continuous attention, and it stays useful on higher timeframes. The DOM and footprint come later, if the method calls for them.
Do you need a paid subscription to read order flow?
On futures and stocks, yes for the DOM, the footprint and the heatmap: they rest on real-time market data that exchanges charge for, on top of the platform itself. Crypto is the exception, Bookmap serves it in real time on its free plan. The volume profile needs less data but is not always free: at TradingView it comes with the paid plans.