Market depth, also called depth of market or order book depth, is the number of contracts resting in limit orders to buy (bids) and sell (offers) at each price. Level 2 data (market by price) totals it by price. Level 3 data (market by order, or MBO) shows the individual visible orders published by the exchange, including each one’s size and place in line.

Every example here is real. We recorded ES (E-mini S&P 500) December 2026 futures (ESZ6) live in Quant Data Futures on the afternoon of September 30, 2026. All times are Eastern (ET). Times on the DOM are read off its own clock.

Market depth shows the orders waiting to trade. The tape and footprint chart show the trades that run into them. To read those trades, see our guide to order flow trading.

Key takeaways

Quant Data’s Futures DOM shows large individual orders. Shown: ES at 3:48:06 PM ET on September 30, 2026, with one 500-contract order inside the 574 contracts bid at 7,738.00, the 14th bid price, beyond the 10 prices in CME’s market-by-price (Level 2) feed.

Market depth matters because it measures liquidity (how much size is waiting near the price). In a deep market, large orders can trade with little price change; in a thin one, the same orders can move price further. Depth changes all the time. The ES book is usually thinner overnight than during US stock market hours.

Level 2 market data shows the order book by price: the number of contracts and separate orders waiting to buy and sell at each price near the market. CME calls this market by price (MBP). For ES, its feed covers the best 10 prices on each side of the book.

Level 2 can’t show how that size is split. A price showing 600 contracts from 20 orders could hold one 500-lot and 19 small orders, or 20 orders of 30 each. Past the 10th price, CME’s Level 2 feed shows nothing.

A US stock trades on more than a dozen exchanges, plus off-exchange venues. Its Level 2 often shows which market maker or exchange posted each quote. ES is listed only on CME, with one order book per contract month (here ESZ6) on CME Globex, and orders are anonymous at every level of data.

Level 3 data, which CME calls market by order (MBO), shows the individual visible orders published by the exchange, across the full depth of the published book. You see each order’s displayed size and what you need to work out its place in line (queue position), not just a total.

Level 3 still doesn’t show who placed an order, the hidden part of an iceberg, stop orders waiting to trigger, or why an order was cancelled.

Level 1 shows the top of the book. Level 2 adds up the orders at each price and, on CME’s feed for ES, stops at the best 10 prices on each side. Level 3 lists individual visible orders at every price.

No. In US stocks, “Level III” traditionally meant Nasdaq’s service for registered market makers to enter their own quotes, not a deeper data view. Full-depth stock feeds have names like Nasdaq TotalView. In futures, the term usually means CME’s market-by-order (MBO) data.

Level 3 matters most to scalpers and DOM traders. It adds each visible order’s size, place in line, and whether it gets pulled or refills. Many day traders use Level 2 for the size waiting near price. Most swing traders need only Level 1 (the top of the book).

A DOM, short for depth of market, shows market depth as a live price ladder. Offers (sell orders, or asks) sit on the upper rows and bids (buy orders) on the lower rows, meeting where price is trading. On Level 3 data, a DOM can also list the individual visible orders behind each price.

DOM trading means making trade decisions from a DOM’s price ladder as it changes, often placing orders right on it. Quant Data Futures currently runs alongside the broker or prop firm platform you trade on.

To read the ladder, look for size much larger than nearby rows, like the 214 offered at 7,743.00 in the image below. Then watch whether it trades, gets pulled, or refills.

Quant Data’s Futures DOM shows offers and bids on one ladder, with large individual orders beside them. Shown: ES at 3:47:40 PM ET on September 30, 2026, with the last trade at 7,742.25 and one 145-contract order inside the 214 contracts offered at 7,743.00.

An iceberg order is a large limit order that shows only part of its size at a time. When the visible part fills, the next part appears at the same price. On a DOM, 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 likely iceberg orders. Shown: ES at 3:41:27 PM ET on September 30, 2026, with the iceberg boxed at 7,746.50; the pull flags were already showing when our recording began.

Real example. At 3:41 PM, hundreds of ES contracts traded at 7,746.50 in about ten seconds. That’s far more than our recording ever showed resting there. As you can see in the image above, Quant Data’s DOM flagged a likely iceberg at that price.

A pulled order is an order cancelled before it fully trades. On a Level 2 ladder, a drop in size at a price that is trading doesn’t tell you whether orders traded or were cancelled. Level 3 (MBO) data carries the order-level events that tell a fill from a cancel.

Quant Data’s Futures DOM tells a pulled order from a filled one. Shown: ES on September 30, 2026, with a single 500-contract bid at 7,738.00 at 3:49:16 PM ET (top) and, about ten seconds later (bottom), the bid down to 73, the pull flagged, and the volume at 7,738.00 (dashed box) still 1.3 K; the other flags on these rows predate the 500-lot.

Real example. The 500-lot, about $193 million in notional value, appeared at 7,738.00 at 3:48 PM, about 3.5 points below the market. It sat there for more than a minute, and price stayed at least 2 points above it the whole time. Between 3:49:16 and 3:49:25 PM, it was cancelled, and none of it had traded.

Pulling orders is normal. The CFTC has said a legitimate, good-faith cancel doesn’t break the anti-spoofing law. Spoofing means placing orders you intend to cancel before they fill. It’s illegal under the Commodity Exchange Act and is also prohibited by CME Rule 575. A pull on its own doesn’t prove it, and nothing on a DOM shows why an order was cancelled.

Quant Data’s Depth Map draws market depth over time: price up the side, time across, and color for the size resting at each price. A bright band means more resting size. Charts like this are also called liquidity heat maps.

Quant Data’s Futures Depth Map keeps the history of the order book, with volume bubbles for large trades. Shown: ES on September 30, 2026, 3:36 to 3:48 PM ET (brighter means more resting size), with the 500-contract bid at 7,738.00 circled and a volume bubble at 3:37 PM.

The DOM shows the book right now; the Depth Map shows how it got there.

It’s never suggested to rely solely on one tool for making trading decisions. Tools should be used in confluence with each other.

Quant Data Futures runs in a web browser and includes Level 3 CME data in the plan with no exchange fees. Several other order flow platforms show CME market-by-order data too. They differ in where that data comes from, where the software runs, and whether real-time CME data is part of the price. The other platforms below also let you place trades; Quant Data Futures currently runs alongside the broker or prop firm platform you trade on. Here is what each vendor’s own documentation said on October 6, 2026:

Features change often, so check each vendor’s current documentation before you choose. Bookmap, DeepCharts, Sierra Chart, ATAS and Quantower are trademarks of their respective owners; Quant Data is not affiliated with or endorsed by them.

Quant Data Futures is a browser-based futures order flow platform from Quant Data, which has spent six years delivering licensed options data. CME Level 3 (market-by-order) data is included with no exchange fees. The DOM, which flags pulled orders and likely icebergs, shares one page with a Depth Map, footprint chart, and tape. New members start with a free trial.

To find Level 3 depth data in Quant Data Futures, you’ll want to log in to v3.quantdata.us and open the built-in Futures page. You can also add the tools to any page: add Futures DOM and Futures Depth Map from the Futures tab of the “Add Tool” previewer. For the footprint chart and the tape, add Futures Footprint and Futures Order Flow. For the full steps, I suggest reading How to Add Tools to Built-in and Custom Pages on Quant Data.

To see Level 3 detail on the DOM:

No. The DOM is a display, a price ladder. Level 2 is a kind of data. A DOM can run on Level 2 data (total size by price; CME’s own Level 2 feed stops at the best 10 prices on each side) or on Level 3 data (individual visible orders, at every price).

Order book trading means making decisions from the resting orders in the book, not only from price: where large size is waiting, whether it holds as price arrives, and whether it gets pulled or refills. In futures, it’s usually done on a DOM, alongside the tape.

In futures, usually yes. “Level 3” is a vendor label for CME’s market-by-order (MBO) data. CME itself says market by order, and many platforms just say MBO.

Yes. Retail traders can get CME’s market-by-order (Level 3) data through several platforms and data feeds, often for an added monthly fee.

The cost of Level 3 (MBO) data depends on the platform. Many charge separately for the software, the data feed, and CME’s exchange fees. Some also sell order-level tools as an add-on. Quant Data Futures includes Level 3 data in the plan with no exchange fees: $74.99 a month for Futures or $119.99 a month for Futures + Options.

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

Queue position is an order’s place in line at its price. ES matches orders first-in, first-out, so orders at the same price fill in time order. Level 3 data lets you work out each visible order’s place; Level 2 can only estimate it. Orders in the data are anonymous, so finding your own order in line takes a platform connected to your trading account.

Large orders disappear from a DOM when they trade, are cancelled (pulled), or move to another price. Level 3 data carries the order-level events needed to tell a trade from a cancel. On a 10-level Level 2 ladder, size also drops out of view once its price falls outside the best 10.

No, not other traders’ stops. Your own working stops can show on your trading platform’s DOM, but no level of market data shows anyone else’s. CME keeps a stop order off the book until a trade at or through its trigger price activates it. Stops held by a broker or trading platform don’t reach the exchange until then.

Several platforms show CME market-by-order data, including Bookmap, Sierra Chart, ATAS, DeepCharts, and Quantower. They get it through a supported data feed, such as Rithmic or the vendor’s own feed. Real-time data usually costs extra. Quant Data Futures includes Level 3 data in the plan with no exchange fees and no feed to connect.

Some traders mark GEX levels on the ES ladder and watch whether depth there holds, refills, or gets pulled as price arrives. GEX (gamma exposure) estimates how option gamma exposure is distributed across strikes. Methodologies vary, so treat GEX levels as estimates.

To mark an SPX level on the ES ladder, first add the basis (the ES price minus the S&P 500 index, a gap that changes over time). Quant Data’s Futures + Options plan puts GEX next to the ES DOM.

If you want Level 3 futures depth data, including the DOM, Depth Map, footprint chart 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.