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Order Book Graph
The Order Book Graph displays an aggregated order book of prices and associated sizes across time. For each time slice, it displays:
q Price (as Height)
q Tick Size (as Size)
q Order Size (as Color)
q Duration of Aggregated Orders at a given price (time period)
Figure 2-20. An order book graph displaying the top 10 levels of an orderbook across time
Figure 2-21. An order book graph displaying a forward curve across time.