Order flow trading means reading the orders behind each move: whether buyers or sellers are trading right away, how big those trades are, and where limit orders are waiting. A price chart shows where the market went. Order flow shows the trades and orders that took it there.

Every screenshot here is a real Quant Data Futures capture from the September 29, 2026 session. The walkthrough follows one moment in ES (E-mini S&P 500) futures across three tools.

Key takeaways

Order flow is the running record of a market’s trades and orders. It covers every executed trade, with its size and the side that crossed the spread (the aggressor), plus the limit orders resting in the order book around the price. Reading it shows which side is acting right now and where size is waiting.

During normal trading, every trade has two sides:

Quant Data’s Futures DOM shows the bids and offers resting at each price. Shown: ES at 4:59:59 PM ET on September 29, 2026, with offers from 7,738.50 up and bids from the 7,738.25 last price down.

Price moves when the resting orders at the best price run out, filled or cancelled, or when new orders arrive at a better price.

Futures traders use order flow because CME futures such as ES trade in a centralized CME Globex order book for each contract month, and CME market data allows the aggressing side to be identified on nearly every trade. That makes the futures tape and order book easier to read than a US stock’s.

Traders read order flow with four tools: time and sales (the tape), the footprint chart, a heat map of resting orders (in Quant Data, the Depth Map) and the DOM. No single view tells the whole story. The tape shows what traded, the footprint chart organizes those trades by price, and the Depth Map and DOM show the resting orders those trades run into.

Time and sales, or the tape, lists every trade as it happens: time, price, size and aggressor side. Tape reading means watching it to see how big and how fast trades come in, and which side keeps crossing the spread. In Quant Data, the tape is the Futures Order Flow tool.

A footprint chart is an order flow chart that shows, inside each bar, the volume traded at every price: at the bid (aggressive selling) and at the ask (aggressive buying).

Quant Data’s Depth Map draws the order book over time. Bright bands are prices where a lot of size was resting.

A live price ladder: one row per price, with the bids and offers resting there. DOM traders watch how that size changes as price gets close: icebergs (one order showing only part of its size), reloads (new size posted right after a trade) and pulls (size cancelled, not traded).

Quant Data’s Futures DOM shows Level 3 depth live, with iceberg and pull flags. Shown: the ES book at 4:59:59 PM ET on September 29.

How much of the order book you can see depends on your market data. CME publishes its order book two ways, which data vendors usually call Level 2 and Level 3, and they differ in how many prices and how much order detail you get:

Quant Data Futures shows Level 3 data, included in the plan with no exchange fees.

Here is one real moment: the largest single ES print of the regular session (9:30 AM to 4:00 PM ET) on Tuesday, September 29, 2026, followed across three Quant Data Futures tools. The trades are other market participants’ orders, as they appeared on the tape. All times are Eastern.

Quant Data’s Futures Order Flow shows every trade’s size and aggressor side, and filters the tape by size. Shown: September 29 prints of 200 contracts or more from 9:23 to 11:57 AM, with the 655-lot ES buy outlined and the only other ES prints (534 and 241 lots) dashed; ESZ6 is the December 2026 E-mini S&P 500.

1. The tape. At 11:09:48 AM, a buyer lifted the offer for 655 ES contracts at 7,730.00, a 655-lot in trader shorthand. The only other ES prints of 200 or more between the 9:30 AM open and noon were a 534-lot buy at 11:00:01 and a 241-lot buy at 11:57:49.

Quant Data’s Futures Depth Map shows where size was resting before price got there, with volume bubbles for large trades. Shown: ES on September 29 from about 10:40 to 11:35 AM (brighter means more resting size), with dashed boxes on the bid bands at 7,730.00 and 7,715.00 and our white ring on the 655-lot buy’s bubble at 11:09.

2. The Depth Map. From about 10:43 to 11:05, a bright band of resting bids sat at 7,730.00. It was brightest just before price reached it, then gone. At 11:09, the 655-lot buy lifted the offer there (arrow). Price dipped, climbed back just above 7,730.00 by about 11:15, then fell to around 7,716 by 11:24. A second band of bids at 7,715.00 was gone when price dipped to about 7,714.50 around 11:27, and ES then climbed to about 7,727 by 11:34: a band that disappears can come before a drop or a rise.

Quant Data’s Futures Footprint splits every bar by aggressor at each price, with delta, imbalances and the point of control marked. Shown: ES five-minute bars on September 29 from 11:00 to 11:15 AM, with the 11:05 bar’s 7,730.00 row and +629 bar delta boxed and the 11:00 bar’s +583 at 7,738.00 dashed. The POC 7,731.00 tag is for the whole session.

3. The footprint. The trade sits in the 11:05 AM bar, which covers 11:05 to 11:10. Its 7,730.00 row, the bar’s point of control, reads +539 delta on 2,125 contracts, the 655-lot included. The whole bar finished at +629 delta, yet it closed lower than it opened. Without the 655-lot, which printed 11 seconds before the bar closed, the bar’s delta was -26. The earlier 534-lot is part of the 11:00 bar’s 7,738.00 row: +583 delta on 763 contracts.

4. Put it together. By 11:09, 7,730.00 was on the offer side: the 655-lot was a buyer taking contracts from sellers resting there. None of it said where price would go next: within 15 minutes, ES traded about 14 points lower, and by CME’s 5:00 PM ET daily break it was back at 7,738.25, above the print.

Order flow is a clear record of what traded and where orders were waiting. Keep its limits in mind:

Use it as context: is there heavy trading behind a move, and is size waiting at a price you care about?

“Order flow” means different things in options and futures. Options order flow tracks options trades by strike and expiration; futures order flow covers every trade in a contract and its resting order book.

Many traders watch both: options flow and gamma exposure (GEX) for the bigger picture, futures order flow for the moment. The Futures + Options plan puts both in one Quant Data account.

To read order flow, start with one contract and one tool, then add tools as you learn what normal trading looks like.

Quant Data Futures is a browser-based futures order flow platform from Quant Data, which has spent six years delivering licensed options data. It puts the tape, footprint chart, Depth Map and DOM on one page, on real-time Level 3 CME data included in the plan with no exchange fees, and new members start with a free trial.

Both plans start with a free trial for new members, currently 30 days.

Log in to v3.quantdata.us and open any built-in or custom page. Then:

For the full steps, see How to Add Tools to Built-in and Custom Pages on Quant Data.

No single order flow indicator is best; many traders combine a few. Delta and cumulative volume delta (CVD) show which side is more aggressive, and footprint imbalances show where one side dominated. The Depth Map or DOM shows where size is waiting.

In order flow, delta is aggressive buying volume minus aggressive selling volume, at a price or over a bar. Cumulative volume delta (CVD) is its running total across the session. In options, delta means something else: how much an option’s price may change for a $1 move in the underlying.

An imbalance is a price where aggressive buying heavily outweighs aggressive selling, or the reverse. Several in a row on the same side are called stacked imbalances. Quant Data’s Futures Footprint marks imbalances on the chart.

Volume bubbles are circles drawn on a chart where large trades printed, so big prints are easy to spot. Quant Data’s Futures Depth Map draws them, like the one for the 655-lot buy in the walkthrough above.

Absorption is heavy aggressive buying or selling that fails to move price, because resting limit orders on the other side keep matching it. Check where the volume comes from first: the 11:05 AM bar in the walkthrough closed lower on +629 delta, but without the 655-lot its delta was -26.

An iceberg may appear when more contracts trade at a price than the displayed size would suggest, as hidden quantity repeatedly replenishes. Quant Data’s Futures DOM flags icebergs.

Spoofing is bidding or offering with the intent to cancel before the order fills, usually to make one side of the book look stronger than it is. It’s illegal in US futures under the Commodity Exchange Act and prohibited by CME Rule 575, and in 2020 the CFTC ordered a major bank to pay a then-record $920 million over spoofing and manipulation.

A pulled order alone doesn’t prove spoofing; traders cancel orders for many reasons.

Institutional order flow is the buying and selling done by funds, banks and other large institutions. Many split big orders with execution algorithms or icebergs, so their trace is often steady one-sided flow or size that keeps refilling at a price, more than one big print. CME’s market data is anonymous, so no tape or order book shows who placed an order.

In ICT and smart money concept (SMC) trading, the phrase means a directional bias read from price charts, not actual orders.

In futures, a sweep is one aggressive order that trades through two or more price levels at once, filling against the resting orders at each. In options flow, a sweep is one order split across several exchanges to fill fast.

Quant Data’s Futures Order Flow shows sweeps on the tape.

GEX (gamma exposure) estimates how option gamma exposure is distributed across strikes. Methodologies vary, mainly in the assumptions they make about how dealers are positioned, so treat GEX levels as estimates. Order flow shows what actually trades when price reaches those strikes. On the Futures + Options plan, Quant Data puts GEX for 6,000+ tickers on the same page as the ES footprint and DOM. ES trades at a different price than SPX, and the gap (the basis) changes over time, so adjust SPX levels by it before comparing.

An order flow trading strategy is a plan built around what order flow shows at a price you care about. Common setups include absorption, exhaustion (aggressive volume drying up at the end of a move), imbalances stacking in one direction, a large resting order that holds or gets pulled as price arrives, and a sweep through several levels.

No signal, alone or combined, tells you where price goes next, so a plan also needs an exit for when you’re wrong. The 655-lot buy in the walkthrough was followed by a drop and then a recovery: one moment, not a rule.

If you want Level 3 futures order flow, including the footprint chart, Depth Map, DOM and tape, click here to start your free trial. Click on Learn More if you would like to learn more about what we offer.

If you have any questions or need further assistance, please don’t hesitate to reach out to the Quant Data team at support@quantdata.us or via our live chat located on the bottom right-hand corner of your screen. We are available on our live chat between 9:30 AM and 5:00 PM (eastern time), Monday through Friday.