US Futures Multiple Depth
US Futures Multiple Depth
Production
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The U.S. Futures Multiple Depth dataset provides multi-level order book data for CME-listed futures contracts, delivering detailed visibility into market liquidity and order-flow dynamics. For each futures contract, the dataset captures up to 10 levels of market depth on both the bid and ask sides, with summary metrics at each level including price, aggregate size, and number of orders. This structure enables analysis of liquidity distribution beyond the top of book and supports advanced studies of depth imbalance, queue dynamics, and order-book resilience. Coverage spans futures contracts traded across major U.S. derivatives exchanges, including CME, CBOT, COMEX, and NYMEX.
Dataset Info
CSV (S3)
Algoseek Dataset ID
US6002
Data Class
Futures
Dataset Name ID
fut_multiple_depth
Data Format
Market Data
Version
1.0
Time Granularity
Tick
Region
US
Data Type
Other
Universe
All symbols from US exchanges
Update Frequencies
End of day
Start Date
2011-12-18
End Date
Ongoing
Update Frequency
1 Day
Total Size
7.9 TB
Annual Size
870 GB / year
Update Size
2.5 GB
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
Included in Data Research Packages: