Building a Custom Order Book Histogram with Simulated Events

Summary

This article explains how to build a chart indicator that displays changes in market depth and how to generate synthetic book events for a custom symbol. It first describes retrieving the symbol’s stated book depth, then outlines cloning recent ticks and rates into a custom symbol. A separate script creates simulated buy and sell levels around a reference price, assigns randomized volumes, and publishes book updates for the indicator to render as a histogram.

The indicator is intended to make book activity easier to view and to support experimentation when live order-book events are unavailable. The article gives an execution sequence for the cloning script, indicator, and event generator, while noting that native testing does not provide the required live book-event sequence. The generated data is synthetic, so its visual behavior should not be mistaken for historical market depth or used as evidence of strategy performance. The author also cautions against relying on the order book alone, suggesting it as a complement for identifying liquidity zones alongside other tools.

Key ideas

• A custom symbol can provide a target for generating order-book events when live depth data is unavailable.
• The event generator creates randomized buy and sell volumes across price levels anchored to a reference close.
• A histogram indicator presents those levels and updates in response to book and chart events.
• Synthetic book events support visualization experiments but do not reproduce historical market behavior.
• The article recommends treating depth as one input alongside other analysis rather than as a standalone trading system.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.