US Futures Multiple Depth
GET/v1/data/us-futures/multiple-depth/:trade_date/:identifier
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.
For more details, please refer to the dataset documentation: US Futures Multiple Depth Guide.
Advanced Filtering
You can provide one or multiple filter expressions based on the dataset's columns to narrow down the results. For example, StartDate.gt=2023-01-01&StartDate.lt=2023-12-31, Ticker=AAPL.
Please refer to the Advanced Filtering Guide for the extensive reference.
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