A historical sample of AAPL on 30 August 2019, 09:45–10:15 US Eastern Time, reconstructed from Nasdaq TotalView-ITCH order messages. This is Nasdaq venue coverage, not the consolidated US market.
- What is sampled
- The displayed book is reconstructed from order additions, executions, cancellations, deletions and replacements, then sampled immediately before each one-second boundary. Up to 14 occupied price levels per side are retained. Activity counts use the underlying messages, not changes between snapshots. Charts show a historical overview; each activity bar includes its whole minute, not only information available at the current replay time.
- What the ladder means
- Each row aggregates displayed shares at a price. It does not show individual orders, FIFO queue positions, or your probability of being filled. A price outside the retained levels has unknown depth in this sample.
- Trades and direction
- Displayed execution direction is derived from the resting order’s side. Non-displayed trade messages are plotted neutrally: their aggressor direction is unknown. Nasdaq’s fixed Buy/Sell flag on these messages is not an aggressor label. Markers represent feed messages, not a printability- or broken-trade-adjusted time-and-sales tape: this reconstruction does not filter the C-message printable flag or adjust for broken trades. Their incidence cannot be recovered from this compact sample.
- How to read the map
- Brighter cells indicate more displayed shares. The scale uses a nonlinear transform and clips at its labeled reference depth; it is not a linear comparison of brightness. The marker key shows how trade size maps to bubble size. When the overview is compressed, it draws one representative snapshot per horizontal pixel column; inspect or zoom for exact one-second values. One-second sampling can miss changes within a second.
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