Market, limit and stop orders on a futures DOM

Market, limit and stop orders are the three order types every futures DOM offers. They differ in when they reach the book and which prices they accept. The DOM, or depth of market, is a ladder of prices with the displayed resting size at each one, so it shows you in advance which orders yours will trade against. This note runs one invented example through all three order types and counts the cost in ticks and dollars.

The ladder used in this example

The example uses the Micro E-mini S&P 500 future, MES. One tick is 0.25 index points and is worth $1.25 per contract. Here is an invented snapshot of the ladder in the Liquivue DOM.

The best bid is 5,020.00 and the best offer is 5,020.25. The lower bids at 5,018.00 and below matter later, for the stop order. A real MES book would hold size at every tick in between. This snapshot leaves those rows out to keep the arithmetic short.

How a market order fills

A market order asks for an immediate fill at the best prices available. It never waits in the book.

Suppose you send a market order to buy 10 contracts. The best offer has only 4 contracts, so your order takes all 4 at 5,020.25. It still needs 6, so it moves up one tick and takes 6 of the 9 at 5,020.50.

Your average price is 5,020.40. Six of your contracts paid one tick more than the best offer you saw. That costs 6 × $1.25, or $7.50. Traders call this gap between the expected price and the fill price slippage.

In Liquivue, the trade bubbles for your order would print at 5,020.25 and 5,020.50. The 5,020.25 row on the DOM would empty, and 5,020.50 would drop from 9 to 3. The heatmap band at 5,020.25 would end at the moment your order filled.

How a limit order waits

A limit order sets the worst price you will accept. If nothing in the book matches it, the order rests in the book and waits.

Suppose you place a limit order to buy 10 at 5,020.00 instead. The bid there already shows 7 contracts. CME matches most futures orders first in, first out, so your 10 contracts join the back of the queue behind those 7. Sellers have to hit the bid for 7 contracts before any of yours fill, unless some of the orders ahead of you cancel.

The limit order cannot fill at a worse price than 5,020.00. It also may not fill at all. If buyers lift the offer and price moves to 5,021.00, your order sits unfilled at 5,020.00 until you cancel it or price comes back. While it waits, the bid size at 5,020.00 reads 17 instead of 7, because your 10 contracts are now part of the displayed total. The Liquivue heatmap records those extra 10 contracts at 5,020.00 for as long as your order rests there.

How a stop order triggers

A stop order waits outside the book until price reaches its trigger. The common version, a stop market order, then becomes a market order. Some platforms send the stop to the exchange, and some hold it on their own servers until it triggers. Your platform's documentation says which.

Suppose you hold 10 contracts long and place a sell stop at 5,018.00. Price falls, and a trade prints at 5,018.00. Your stop becomes a market order to sell 10 contracts, and it fills against the bids that rest below price at that moment.

Your average exit is 5,017.775. Five contracts filled one tick below the stop and two filled two ticks below it. The extra cost is 5 × $1.25 plus 2 × $2.50, or $11.25. The stop price set when the exit started. The resting bids below it set the fill prices.

A stop limit order turns into a limit order instead. It avoids fills below the limit price, and it may leave you holding the position if price moves through the limit too fast.

The three orders side by side

The note on what the DOM shows and what it hides explains why the ladder you see before clicking can differ from the one your order meets. Other traders can cancel size in the milliseconds between your click and the exchange.

Placing these orders in Liquivue and elsewhere

Liquivue supports order entry from the chart, the DOM and an order panel. It also supports brackets, OCO orders and trailing stops on an eligible account. The vendor says it has not yet verified live accounts through the NinjaTrader bridge, and it advises starting in simulation. Other platforms with a trading DOM include ATAS, which lists Smart DOM, and Quantower, whose free tier includes a DOM and tape.

Every DOM maps mouse clicks to order types in its own way. Before you trade live on any of them, run this check in simulation. Place one market order, one limit order and one stop order for a single MES contract. For each one, write down the price you expected and the price you got. Then cancel every working order with one action and confirm the DOM shows none left. The glossary defines the order terms if any of the labels differ on your platform.