The order book in depth

The real playing field

Price is only a consequence. The order book (DOM) is the cause: a queue of limit orders, at every level, on both sides. Everything you see on a chart is the residue of what happened in that book.

Price-time priority

On most futures, matching follows the price-time (FIFO) rule: best price first, then first come, first served. Your queue position determines whether you get filled... or whether price leaves without you. An order placed ten minutes ago at 19,875.50 is filled before yours, placed just now at the same price, whatever its size.

Some markets (part of the interest rate complex, for example) use pro rata matching, where size counts as much as seniority. On CME index futures (NQ, ES), it is pure FIFO: time is the only currency of the queue.

What really matters

• Tick size and tick value: the granularity of the fight. A 0.25 point tick worth $5 on the NQ, a 1 point tick worth €25 on the FDAX: the same ten-tick move does not weigh the same.
• Queue size at each level, and above all its rate of change: a level that goes from 400 to 1,200 contracts in three seconds says more than the number 1,200.
• Refresh: a level that keeps reloading after every execution = strong intent, probably an iceberg.
• Pulls: liquidity that withdraws as price approaches = caution. A decoy, or simply a provider who does not want to be served first.

The data behind the book

A book aggregated by level (MBP) only shows totals: 1,200 contracts on the bid. An MBO (market by order) feed shows each order: 1,200 contracts is three orders of 400, or one hundred and twenty orders of 10, and that is not the same information. The first case is one or two determined players; the second, a crowd. This is the data DeepCharts builds its DOM, its heatmap and its detectors on.

Reminder: educational content, past performance does not predict future results.