1c983de099e2
US Futures Multiple Depth
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.
<details> <summary>**Advanced Filtering**</summary>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 <a href="https://algoseek.com/docs/rest-api/tutorial/advanced-filtering">Advanced Filtering Guide</a> for the extensive reference.
</details>Path parameters
Trading date in YYYY-MM-DD format
Trading date in YYYY-MM-DD format
Dataset's security identifier
Dataset's security identifier
Query parameters
Sorting criteria for the results. Provide a column name with optional prefix '+' for ascending order, or prefix with '-' for descending order. Multiple sorting fields may be supported depending on the dataset. If sort prefix is not provided, the ascending order is applied.
Sorting criteria for the results. Provide a column name with optional prefix '+' for ascending order, or prefix with '-' for descending order. Multiple sorting fields may be supported depending on the dataset. If sort prefix is not provided, the ascending order is applied.
A comma-separated list of columns to include in the response. Use this parameter to select only specific fields from the dataset. If not provided, all available columns will be returned.
A comma-separated list of columns to include in the response. Use this parameter to select only specific fields from the dataset. If not provided, all available columns will be returned.
Number of records to skip before returning results. To be used with the limit parameter for pagination. If not provided, defaults to 0.
Number of records to skip before returning results. To be used with the limit parameter for pagination. If not provided, defaults to 0.
Maximum number of records to return. Default and maximum values depend on the response format; see format_limits in the schema for details.
Maximum number of records to return. Default and maximum values depend on the response format; see format_limits in the schema for details.
Note the lowercase which is used for the consistency with other projects and tools
The type of the data to return
Response
JSON, CSV file, or gzip-compressed CSV file, depending on the value of response_format query parameter
Example response
{
"data": [
{
"TradeDate": "2023-03-15",
"EventDateTime": "2023-03-15 00:00:00.006000000",
"Ticker": "ESH3",
"BaseSymbol": "ES",
"SecurityID": 805512667,
"Side": "S",
"Depth": 10,
"L1Price": 3924.75,
"L1Size": 5,
"L1Orders": 4,
"L2Price": 3925,
"L2Size": 15,
"L2Orders": 11,
"L3Price": 3925.25,
"L3Size": 16,
"L3Orders": 15,
"L4Price": 3925.5,
"L4Size": 15,
"L4Orders": 14,
"L5Price": 3925.75,
"L5Size": 19,
"L5Orders": 16,
"L6Price": 3926,
"L6Size": 22,
"L6Orders": 20,
"L7Price": 3926.25,
"L7Size": 68,
"L7Orders": 17,
"L8Price": 3926.5,
"L8Size": 18,
"L8Orders": 17,
"L9Price": 3926.75,
"L9Size": 20,
"L9Orders": 16,
"L10Price": 3927,
"L10Orders": 18
}
],
"pagination": {
"limit": 1000,
"next_offset": 2000,
"offset": 1000
}
}