US Futures Multiple Depth

US Futures Multiple Depth
Production
·

Data Class

Futures

Data Type

Other

Delivery Method

CSV

Vendor

algoseek

Region

US

Documentation

Open Link

The Futures Multiple Depth dataset provides extensive coverage of all futures contracts from CME, CBOT, COMEX, and NYMEX. This dataset delivers summary information, including price, size, and the number of orders, for 10 levels of market depth on both the buy and sell sides of the order book. It is an essential resource for traders and analysts looking to understand market liquidity and order flow in real-time.

Files are neatly organized by date and futures contract, making it easy to access specific data. If you need a custom file arrangement or additional features, algoseek support is available to assist. information.

Browse by tags:

Tick Level Market Depth Order Book Liquidity 10 Levels Market Microstructure Order Flow Buy/Sell Sides
Dataset Info
Dataset Name ID
fut_multiple_depth
Algoseek Dataset ID
US6002
Data Format
Market Data
Data Class
Futures
Data Type
Other
Time Granularity
Tick
Region
US
Universe
All symbols from US exchanges
Version
1.0
Update Frequency Options
End of day
 Introductory Demo Info
Start Date
01/01/2023
End Date
03/31/2023
Access Methods
SQL
Description
Three months of data (Jan. - March 2023) for the full universe of symbols
 Historical Info
Data Size
870 GB / year
Update Size
2.5 GB
Update Frequency
1 Day
Start Date
2011-12-18
End Date
Ongoing

SQL (ArdaDB)

Easily connect to your data using SQL with a database connection. No complex setup, just instant access to your data - run queries, retrieve insights, and manage data effortlessly. Secure, fast, and built for developers, analysts, and teams who need reliable access without the hassle.
Delivery Info
Data Fields
Preview Data
# name data type description

CSV (S3)

Easily connect to your data stored in S3 and access CSV files without hassle. Streamline data retrieval with fast, secure, and scalable access, whether for analytics, processing, or integration.
Delivery Info
S3 Bucket Name
us-futures-multiple-depth-yyyy
Update Time
05:00 ET
S3 Bucket Path
yyyymmdd/ss/ssmy.csv.gz
S3 Bucket Path Description
One csv.gz file per contract per trading date where yyyymmdd is year, month and day, ss - base future symbol (e.g. CL, ES), my is contract expiration date: m is the expiration month code and y is last digit of the expiration year
S3 Start Year
2011
S3 End Year
N/A
S3 Bucket Size
870 GB / year
Sample Data File
ESH0 data for Jan 28, 2020
Data Fields
Preview Data
# name data type description
1 UTCDate String the month, day, and year that the transaction has been made
2 UTCTime String the trade time in Coordinated Universal Time (UTC) format
3 LocalTime String the trade time in Central Standard Time (CST) format
4 LocalDate String the trade date based on the current local time
5 Ticker String the name of the instrument with a maximum of 20 characters
6 SecurityID String CME security identifier
7 Side String B (Buy) or S (Sell) side of the book
8 Flags Integer may be implied (1) or regular book (0)
9 Depth Integer number of levels being shown in the book for this instrument
10 L1Price Decimal level 1 price
11 L1Size Integer number of contracts on level 1
12 L1Orders Integer number of orders on level 1
13 L2Price Decimal level 2 price
14 L2Size Integer number of contracts on level 2
15 L2Orders Integer number of orders on level 2
16 L3Price Decimal level 3 price
17 L3Size Integer number of contracts on level 3
18 L3Orders Integer number of orders on level 3
19 L4Price Decimal level 4 price
20 L4Size Integer number of contracts on level 4
21 L4Orders Integer number of orders on level 4
22 L5Price Decimal level 5 price
23 L5Size Integer number of contracts on level 5
24 L5Orders Integer number of orders on level 5
25 L6Price Decimal level 6 price
26 L6Size Integer number of contracts on level 6
27 L6Orders Integer number of orders on level 6
28 L7Price Decimal level 7 price
29 L7Size Integer number of contracts on level 7
30 L7Orders Integer number of orders on level 7
31 L8Price Decimal level 8 price
32 L8Size Integer number of contracts on level 8
33 L8Orders Integer number of orders on level 8
34 L9Price Decimal level 9 price
35 L9Size Integer number of contracts on level 9
36 L9Orders Integer number of orders on level 9
37 L10Price Decimal level 10 price
38 L10Size Integer number of contracts on level 10
39 L10Orders Integer number of orders on level 10