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Market Depth & Microstructure
Order-book (depth) data is the raw material for microstructure research on our target CME Group futures: the equity-index complex (ES/MES, NQ/MNQ, YM, RTY/M2K), NYMEX energy (MCL, QM, BZ) and COMEX metals (1OZ, QO, QI, SIC). CME Globex publishes two depth representations over its MDP 3.0 feed: market-by-price (MBP, "Level 2"), which aggregates resting liquidity into the top 10 price levels per side for futures, and market-by-order (MBO, "Level 3"), which publishes every individual resting order with an anonymized order ID, full (unlimited) book depth, and queue priority — enabling queue-position modeling, iceberg/stop detection and order-flow attribution that MBP cannot support. MBO launched in December 2016 and completed rollout across all Globex products in June 2017; MBO is backwards-compatible with MBP on the same feed (CME MBO FAQ).
Two practical consequences drive sourcing decisions. First, history depth is protocol-bound: MBO history exists only from early/mid-2017 onward (staged rollout), while 10-deep MBP history extends back to roughly 2009–2010 (CME's legacy FIX/FAST files; futures books widened from 5-deep to 10-deep in 2009 per the CME Market Depth FAQ). Databento's GLBX.MDP3 dataset reflects exactly this: MBP-10 back to 2010-06-06, full MBO only in the MDP 3.0 era (Databento blog). Second, real-time depth is licensed per exchange per subscriber: CME's own January 2026 fee list prices non-professional depth-of-market at $12.10/exchange/month ($36.50 for the 4-exchange bundle) but professional display access at $134.50/exchange/month — and every retail feed (Rithmic, CQG, Denali, dxFeed, IQFeed) resells those entitlements with its own markup and its own MBO availability policy. For our newest target symbols (1OZ 1-Ounce Gold, launched 2025-01-13; SIC 100-oz Silver, launched 2026-02-09 — dates per CME press releases) any full-venue Globex feed carries them from launch day, but their books are thin and depth-derived signals need liquidity screens.
The cost reality for historical depth: full-venue CME MBO is bulky (tens of GB per day uncompressed across the venue — an unofficial estimate (unverified)), so usage-priced vendors (Databento, from $0.50/GB) let a single-symbol research program stay in the tens-to-hundreds of dollars, while venue-wide multi-year MBO from CME DataMine or PCAP vendors (Nanotick) is a contact-sales, four-to-five-figure exercise. Order-flow/footprint tooling (Bookmap, ATAS, Sierra Chart, Jigsaw, MotiveWave, Quantower, ExoCharts, Volumetrica) is cheap by comparison ($25–$100/month) but is display-oriented: most platforms retain only days-to-weeks of depth history and do not license redistribution or bulk export.
Free / official sources
CME Group Market Data Fee List (license tiers reference)
| Field | Value |
|---|---|
| What it is | CME Group's official fee schedule for CME/CBOT/NYMEX/COMEX market data — the source of truth for professional vs non-professional depth entitlement costs that all vendors pass through |
| Coverage | All four target exchanges (CME, CBOT, NYMEX, COMEX), hence all target symbols |
| Granularity | N/A (fee schedule document); defines Top-of-Book vs Depth-of-Market vs E-mini entitlements |
| History depth | N/A; fee list effective 2026-01-01 |
| Latency / updates | Updated annually (January fee list) |
| Access method | Public PDF (january-2026-market-data-fee-list.pdf) |
| Cost | Document free. Fees it defines, as of 2026-07-11 (effective 2026-01-01): professional Real-Time display $134.50/device/exchange/month; Non-Professional Depth of Market $12.10/device/exchange/month or $36.50/month bundle (all 4 exchanges); Non-Professional Top of Book $1.55/exchange or $4.65 bundle; E-Mini device fee CME $73, CBOT $48.75, NYMEX $53.75, COMEX $42.25; Delayed display $0; Real-Time distributor license $29,280/year per licensee group |
| Pricing page | https://www.cmegroup.com/market-data/files/january-2026-market-data-fee-list.pdf |
| Licensing / redistribution | Non-display (automated/backtest) use is licensed separately: Category A1 trading-as-principal $609–$3,640/month per licensee group depending on application count (same PDF) |
| Reliability caveats | Vendors add admin markups on top of these raw fees (e.g., AMP charges $17/exchange vs CME's $12.10); ≥3 concurrent feed logins can trigger reclassification as professional (per EdgeClear Rithmic note) |
| Best for | Budgeting any real-time depth setup; deciding non-pro vs pro classification and single-exchange vs bundle |
CME Group MDP 3.0 / MBO technical documentation (Client Systems Wiki)
| Field | Value |
|---|---|
| What it is | Free official documentation of the Globex market data protocol: MDP 3.0 Market Data, MBP multiple-depth book, MBO FIX, CME DataMine datasets, plus the MBO FAQ and Market Depth FAQ |
| Coverage | All Globex products (all target symbols) |
| Granularity | Documents MBO (order-level, unlimited depth) and MBP (10-deep futures / 3-deep options books) |
| History depth | Documents dataset availability: MBO FIX files from January 2017 (staged rollout through H1 2017); legacy Market Depth files 10-deep for futures from 2009 conversions (e.g., NYMEX crude 2009-04-19, CME equity futures 2009-05-31), 5-deep earlier |
| Latency / updates | N/A (documentation) |
| Access method | Public web pages / PDFs |
| Cost | Free |
| Pricing page | N/A — documentation |
| Licensing / redistribution | N/A |
| Reliability caveats | Legacy (pre-MDP3) depth files are FIX/FAST format with millisecond timestamps only; partial fills aggregated differently in old RLC format (per Market Depth FAQ) |
| Best for | Understanding MBO vs MBP semantics, book-rebuild logic, and which historical eras support which granularity — before buying anything |
Free delayed CME depth (Sierra Chart Delayed Exchange Data Feed / cmegroup.com)
| Field | Value |
|---|---|
| What it is | CME's Delayed display fee is $0 (per the Jan 2026 fee list), so distributors can give delayed Globex data away; Sierra Chart's Delayed Exchange Data Feed serves CME Group symbols at 10 minutes 10 seconds delay at no exchange fee |
| Coverage | All CME Group symbols incl. all target contracts |
| Granularity | Same feed content as Denali (up to full depth as supported), delayed |
| History depth | None meaningful for depth (delayed stream, ~days of platform cache) |
| Latency / updates | Delayed 10 min 10 s (Sierra Chart) |
| Access method | Sierra Chart platform (requires a Sierra Chart package, from $36/month for package 10, as of 2026-07-11, Packages page) |
| Cost | Free (no exchange fee); platform subscription still applies. As of 2026-07-11 |
| Pricing page | https://www.sierrachart.com/index.php?page=doc/DenaliExchangeDataFeed.php |
| Licensing / redistribution | Display use only; no redistribution |
| Reliability caveats | Useless for live order-flow trading; fine for learning DOM/footprint tooling and prototyping display logic |
| Best for | Zero-cost familiarization with depth tooling before paying for real-time entitlements |
Commercial sources
Databento — GLBX.MDP3 (MBO + MBP-10)
| Field | Value |
|---|---|
| What it is | Usage-priced historical + real-time API vendor redistributing the full CME Globex MDP 3.0 feed as normalized schemas (MBO, MBP-10, MBP-1, TBBO, trades, OHLCV, definitions) — dataset page |
| Coverage | Entire Globex venue: all target symbols (ES, MES, NQ, MNQ, YM, RTY, M2K, MCL, QM, BZ, 1OZ, QO, QI, SIC); 650,000+ symbols, new listings covered from launch (futures page) |
| Granularity | MBO (L3, full order book), MBP-10 (L2), MBP-1, TBBO, trades, OHLCV |
| History depth | Since 2010-06-06; 2010→MDP3-era history was backfilled from CME's legacy FIX/FAST via DataMine, so pre-2017 maximum granularity is MBP-10 (no MBO); nanosecond capture timestamps only from May 2017 onward (blog: CME history extended to 2010) |
| Latency / updates | Historical: intraday availability; Live: streaming API, 42 µs (cross-connect) / 590 µs (internet) at p90 (dataset page) |
| Access method | REST/streaming APIs, Python/C++/Rust clients, DBN binary or CSV/JSON at no extra charge |
| Cost | As of 2026-07-11: usage-based historical from $0.50/GB (uncompressed-size billing, futures page); plans: Standard $179/month (live access), Plus $1,500/month, Unlimited $4,000/month incl. PCAPs; $125 free credits for new users, valid 6 months (pricing page). Exact per-GB rate per schema is shown in the portal/cost calculator, not on the public page. CME license fees passed through at cost via questionnaire |
| Pricing page | https://databento.com/pricing |
| Licensing / redistribution | Historical data usable for internal research/backtesting; live CME data requires CME license fees (pass-through, no upcharge); external distribution only on Plus/Unlimited plans (pricing page) |
| Reliability caveats | Pre-2017 backfill uses tag-52 SendingTime for all timestamps (less precise); occasional dataset gaps are tracked publicly (e.g., missing MBO snapshot report); full-venue MBO is tens of GB/day uncompressed (unofficial estimate, unverified — portal cost calculator is login-gated), so venue-wide pulls get expensive fast |
| Best for | The default choice for this project's historical MBO/MBP-10 backtesting on specific symbols — pay only for symbols/date-ranges pulled; also the cheapest self-serve path to programmatic real-time depth |
CME DataMine (Market Depth / MBO historical packages)
| Field | Value |
|---|---|
| What it is | CME Group's own historical data store (DataMine, catalog) — 50+ datasets, 450+ TB, incl. Market Depth (MDP 3.0 / legacy FIX/FAST) and Market by Order FIX packages |
| Coverage | Everything CME Group lists — all target symbols, plus delisted contracts (no survivorship issues) |
| Granularity | MBO FIX (order-level); Market Depth 10-deep futures books; Top-of-Book (BBO); Time & Sales; PCAP (raw packet captures) |
| History depth | Market Depth to ~2009 (10-deep futures; 5-deep earlier — Market Depth FAQ); MBO FIX from January 2017, staged rollout H1 2017 (MBO FIX wiki); earliest DataMine dataset 1972 (DataMine page) |
| Latency / updates | Daily subscription files delivered to FTP directory starting midnight, typically complete by 2am (per FAQ); one-time custom historical orders also offered |
| Access method | RESTful download API, SFTP, automatic S3 transfer, web File Browser (DataMine page) |
| Cost | Contact sales (CMEDataSales@cmegroup.com) — no public price list as of 2026-07-11; priced per dataset/exchange/month with package discounts; 50% education discount reported (unverified — page unreachable during verification on 2026-07-11; figure matches search-indexed snippets of the same page) (DataMine for Education). Unofficial: third-party guides describe per-exchange-month pricing that typically exceeds Databento equivalents for small orders |
| Pricing page | https://www.cmegroup.com/market-data/datamine-historical-data.html (ordering via https://datamine.cmegroup.com/) |
| Licensing / redistribution | Historical license from the exchange itself; distribution of historical info via data feed carries a $35,220/year licensee-group fee per the Jan 2026 fee list; internal research use standard |
| Reliability caveats | Raw exchange formats (FIX/FAST, MDP3 SBE, PCAP) require your own decoder/book-builder; legacy files millisecond-stamped; subscription files kept in FTP directory only two weeks (per FAQ) |
| Best for | Authoritative venue-complete depth (incl. delisted contracts and spread books) when budget allows and engineering effort for raw formats is acceptable; PCAPs for latency-sensitive research |
Nanotick (CME PCAP / order-book replay)
| Field | Value |
|---|---|
| What it is | Specialist CME Group historical data vendor selling colocation-captured PCAP-grade data: nanoBooks (full order book replay) and nanoBars (bar/quote datasets) — nanoBooks page |
| Coverage | CME, CBOT, NYMEX, COMEX — data distributed by Globex channel, not by product, so you buy the whole channel containing your symbol (e.g., equity-index channel for ES) |
| Granularity | Full order book (MBO-level) replay from raw packets; nanosecond timestamps; also 0/1/5/10/25 ms "nanocube" aggregations |
| History depth | Back to 2014 (unverified — nanotick.com unreachable (503) throughout verification on 2026-07-11; consistent with search-indexed site snippets) (replay page); nanoBars sold in minimum 6-month blocks (unverified) |
| Latency / updates | Historical only |
| Access method | Bulk file delivery; bar-builder tooling; pairs with OnixS directConnect CME handler for decode |
| Cost | Contact sales as of 2026-07-11 — no public prices; free samples downloadable (unverified — site unreachable this session) (sample page) |
| Pricing page | https://www.nanotick.com/replay |
| Licensing / redistribution | Unknown — verify (CME historical license pass-through expected) |
| Reliability caveats | Channel-based distribution forces over-buying for single-symbol needs; decode stack (OnixS) is an added license; nanotick.com returned 503 to all fetches during verification on 2026-07-11 |
| Best for | Nanosecond-fidelity book reconstruction and latency/queue research where DataMine PCAPs or Databento Unlimited are the alternatives |
dxFeed (Devexperts)
| Field | Value |
|---|---|
| What it is | Institutional market-data vendor and the retail depth feed behind Bookmap, ATAS, Quantower, ExoCharts, Volumetrica, Optimus Flow (futures coverage) |
| Coverage | CME, CBOT, NYMEX, COMEX (all target symbols) plus global venues (CME page) |
| Granularity | Level 1, aggregated Market Depth (MBP); "Full Order Depth" on select venues/subscriptions; historical charting data via platform integrations |
| History depth | On-demand historical service exists (dxFeed advertises live + historical + on-demand APIs); depth-history retention per platform varies — Unknown — verify for direct API contracts |
| Latency / updates | Real-time |
| Access method | Proprietary API/feed for direct customers; bundled connector inside retail platforms |
| Cost | Direct: Contact sales (dxfeed.com, contact-sales page) as of 2026-07-11. Retail pass-through prices seen live: $37/month/exchange for dxFeed futures via Bookmap packages page (as of 2026-07-11); CME Market Depth via Medved Trader is $39/month standard — the $19 figure was a first-month-only promo (April 2022), not an ongoing rate (announcement, Medved Trader mirror); corrected as of 2026-07-11 |
| Pricing page | https://dxfeed.com/market-data/futures/cme/ (sales-gated) |
| Licensing / redistribution | Display-use entitlements via platforms; direct API licensing negotiated; CME exchange fees apply per subscriber class |
| Reliability caveats | dxfeed.com blocks automated fetching (403 during this session — pricing claims rely on partner pages); retail depth is aggregated MBP, not MBO |
| Best for | Depth feed of convenience when already using one of its host platforms; direct API only worth it at institutional scale |
DTN IQFeed (Level 2 futures depth)
| Field | Value |
|---|---|
| What it is | Long-running retail/prosumer market data feed with a well-documented API; supplies L1 and market-depth for CME Group futures (fees page) |
| Coverage | CME, CBOT, NYMEX, COMEX (all target symbols), plus equities/options |
| Granularity | L1 ticks; futures Market Depth (MBP price-level; not MBO) |
| History depth | Tick/interval history bundled (180 calendar days of tick history per DTN marketing); no historical depth — depth is stream-only |
| Latency / updates | Real-time |
| Access method | Windows-centric client + TCP API (widely wrapped in Python) |
| Cost | As of 2026-07-11 (fee page marked effective 2025-12-01): core service $108.15/month + $50 startup; Market Depth surcharge $24.15/month; real-time NA futures surcharge $24.87/month; standard CME-class exchange fees $139.57/exchange/month L1 unless the CME non-pro waiver applies — waiver rates $2.10/exchange or $5.25 all-4 (L1) and $13.25/exchange or $33.60 all-4 (L2) (CME waiver FAQ); waiver requires a funded brokerage account and trade-capable software |
| Pricing page | https://www.iqfeed.net/index.cfm?displayaction=data§ion=fees |
| Licensing / redistribution | Personal display/API use; no redistribution |
| Reliability caveats | Base cost stack (~$157/month before exchange fees) is high vs broker feeds; depth is MBP-only; no depth history for backtests |
| Best for | Stable multi-asset API feed if you also need equities; poor value if CME depth is the only requirement |
Rithmic (R | Trader Pro / R | API, incl. MBO feed)
| Field | Value |
|---|---|
| What it is | Low-latency futures order-routing + market data infrastructure used by AMP, EdgeClear, Optimus, prop firms; the standard retail-accessible source of true CME MBO data (EdgeClear MBO article) |
| Coverage | CME, CBOT, NYMEX, COMEX (all target symbols) |
| Granularity | L1, MBP depth, and MBO ("Full Depth of Book", "Known Queue Position" per EdgeClear); MBO powers Bookmap/ATAS iceberg-and-stop tooling |
| History depth | Essentially none exposed to users — real-time feed (platforms cache locally) |
| Latency / updates | Real-time, colocated infrastructure |
| Access method | R | Trader Pro, R | API (C++/.NET), and third-party platforms (Bookmap, ATAS, Jigsaw, Quantower, MotiveWave, Sierra via brokers) |
| Cost | Via brokers, as of 2026-07-11 (AMP data-fee page, effective 2026-06-01): Rithmic connection fee $25/month per user ID + $0.10/side trade-route; CME non-pro data L1 $5/exchange or $15 bundle, L2 depth $17/exchange or $45 bundle. R | API fee ~$20/month per login per EdgeClear. MBO entitlement surcharge: Unknown — verify with broker (Bookmap sells "Rithmic CME MBO Data" via its marketplace, price login-gated) |
| Pricing page | https://www.ampfutures.com/trading-info/exchange-data-fees |
| Licensing / redistribution | Display + personal automated use through broker agreements; ≥3 concurrent logins → professional reclassification (EdgeClear); no redistribution |
| Reliability caveats | MBO via Rithmic requires platform support (Bookmap, ATAS, EdgeProX etc.); data quality good but no historical replay beyond platform-recorded sessions |
| Best for | Real-time MBO order-flow trading through retail brokers — cheapest live L3 path (~$45–$70/month all-in non-pro) |
CQG (Integrated Client / CQG data feed)
| Field | Value |
|---|---|
| What it is | Institutional-grade futures data + execution network, the other standard broker feed (AMP, Optimus, etc.); publishes an official market data fee page |
| Coverage | CME, CBOT, NYMEX, COMEX (all target symbols) plus global futures |
| Granularity | L1 and MBP depth (DOM); MBO not offered to retail via CQG — Unknown — verify for institutional feed |
| History depth | CQG maintains its own multi-year tick/DOM history inside its platforms; raw depth export not user-accessible (CQG Data Factory sells historical tick/bar data but not full depth) |
| Latency / updates | Real-time |
| Access method | CQG IC/QTrader/CQG One, CQG API; third-party platforms (Quantower-derived Optimus Flow free through Optimus per Optimus blog) |
| Cost | As of 2026-07-11 (official CQG fee page, July 2026): non-pro Top-of-Book $2/exchange/month, non-pro Market Depth $13/exchange/month; bundled non-pro ToB $6/month, bundled non-pro Depth $41/month (CME+CBOT+NYMEX+COMEX); professional full-exchange $145/exchange/month; CME E-Mini $80, CBOT E-mini $55, NYMEX e-mini $61, COMEX e-mini $49. Broker admin fees extra (AMP: CQG no monthly platform fee, $0.10/side, $10/month per extra login — AMP fees) |
| Pricing page | https://www.cqg.com/partners/exchanges/market-data-fees |
| Licensing / redistribution | Display/trading use via broker; no redistribution |
| Reliability caveats | Depth is MBP aggregated; historical depth not exportable for research |
| Best for | Reliable real-time DOM for discretionary trading; the $41/month non-pro depth bundle is the benchmark price other feeds are judged against |
Trading Technologies (TT platform / TT.net feed)
| Field | Value |
|---|---|
| What it is | Professional futures trading platform (screen + API + colocation) with its own market data infrastructure; MBO-capable internals power its Autospreader/TT Order Book |
| Coverage | CME, CBOT, NYMEX, COMEX + global derivatives venues |
| Granularity | L1, full MBP depth; MD Trader ladder; historical charting via platform |
| History depth | Platform charting history; raw depth export not offered at retail tiers — Unknown — verify institutional data services |
| Latency / updates | Real-time, colocated gateways |
| Access method | TT screen, TT REST/FIX APIs; via FCMs (AMP lists TT with L2 $17/exchange, $45 CME bundle — AMP fees) |
| Cost | Platform: Contact sales — official page not publicly priced as of 2026-07-11. Unofficial, reported by brokers/blogs: base TT $775/month via Optimus support; TT Standard $800/month, TT Pro $1,750/month subscription, or pay-per-use $0.55/contract with $300/month minimum effective Jan 2026 (digitalxfuture summary — unofficial, unverified (page blocked automated access during verification)). CME exchange fees additional per AMP table |
| Pricing page | https://www.tradingtechnologies.com/trading/tt-platform/ (sales-gated) |
| Licensing / redistribution | Professional platform licensing; data display only |
| Reliability caveats | Priced for professionals — an order of magnitude above retail order-flow stacks; overkill unless co-located execution matters |
| Best for | Professional execution + depth display when latency and spreading tools justify $800+/month |
NinjaTrader (platform + Level 2 data)
| Field | Value |
|---|---|
| What it is | Retail futures broker/platform with SuperDOM and Order Flow + toolkit (footprint, volume profile); data via NinjaTrader's own CQG/Tradovate-backed connections |
| Coverage | CME, CBOT, NYMEX, COMEX (all target symbols) |
| Granularity | L1 and L2 (MBP depth) for SuperDOM/Order Flow +; no MBO |
| History depth | Tick/bar history via platform; historical L2 not replayable beyond locally recorded market-replay data |
| Latency / updates | Real-time |
| Access method | NinjaTrader desktop/web; NinjaScript C# API |
| Cost | As of 2026-07-11 (account & exchange fees page): non-pro L1 $4/exchange or $12 all-4 bundle; non-pro L2 depth $16/exchange or $48 all-4 bundle; professional $156/exchange/month. Platform license free with brokerage account (Order Flow + included with Lifetime license tiers — verify current packaging) |
| Pricing page | https://ninjatrader.com/pricing/account-fees/ |
| Licensing / redistribution | Personal display/automation within platform; no redistribution |
| Reliability caveats | L2 bundle ($48) prices above CQG/AMP ($41–45) and far above raw CME non-pro ($36.50); market replay depth only for sessions you recorded |
| Best for | Traders already on NinjaTrader wanting integrated footprint/DOM without a second platform |
Tradovate (NinjaTrader group)
| Field | Value |
|---|---|
| What it is | Cloud/commission-membership futures broker whose API and platforms (incl. TradingView integration) carry CME data; every live account plan includes free L1 CME Group data (Tradovate market data article) |
| Coverage | CME, CBOT, NYMEX, COMEX (all target symbols) |
| Granularity | L1 free; L2 depth (MBP) subscription for DOM modules; no MBO |
| History depth | Platform charts + Market Replay feature; no bulk depth export |
| Latency / updates | Real-time |
| Access method | Web/desktop/mobile apps, REST/WebSocket API |
| Cost | As of 2026-07-11 per Tradovate/NinjaTrader vendor support pages: L1 $4/exchange or $12 CME-bundle; L2 $16/exchange or $41 CME-bundle; L1 free with live account plans (support article — page intermittently 503s; figures cross-reported by vendor portal) |
| Pricing page | https://support.tradovate.com/s/article/Subscribing-to-Tradovate-Market-Data?language=en_US |
| Licensing / redistribution | Personal use; API data usable in own apps for own trading; no redistribution |
| Reliability caveats | Its $41 L2 bundle vs NinjaTrader's $48 shows sibling-brand pricing divergence — confirm at order time; depth via API historically throttled |
| Best for | API-first retail depth with free L1; cheapest way to watch DOM on one exchange ($16) |
Sierra Chart + Denali Exchange Data Feed
| Field | Value |
|---|---|
| What it is | Trader-grade charting/execution platform whose in-house Denali feed delivers CME depth incl. MBO; renowned for Number Bars (footprint) and Market Depth Historical Graph |
| Coverage | CME, CBOT, NYMEX, COMEX (all target symbols) + EUREX, CFE, NASDAQ TotalView |
| Granularity | Up to 1,400 price levels per side of stored depth; MBO data with package 12; footprint/T&S from tick feed |
| History depth | Tick data from ~2011 for popular CME futures, 1-min from June 2008 (Denali page); market depth history: ~180 days downloadable from Denali (per Sierra Chart engineering in the cited thread; client-side 'Days to Load' settings default lower and each contract month must be loaded separately; corrected as of 2026-07-11) (depth >60 days thread) — still not a multi-year depth archive |
| Latency / updates | Real-time (feed built for low latency) |
| Access method | Sierra Chart desktop only (ACSIL C++ for automation); depth stored in local .depth files |
| Cost | As of 2026-07-11: platform packages 10/11/12 = $36/$46/$56 per month (Packages page); package 11+ needed for Market Depth Historical Graph, package 12 for MBO. Denali CME exchange fees (non-pro, funded account): $13.50/exchange with depth, $40.50 all-4 bundle with depth, $6.00 bundle without depth, $2.00 top-of-book; professional/no-account $145/exchange with depth, $78 E-mini (Denali page) |
| Pricing page | https://www.sierrachart.com/index.php?page=doc/DenaliExchangeDataFeed.php |
| Licensing / redistribution | Display + local storage for own use; no redistribution |
| Reliability caveats | Windows-first; depth files are platform-format (community tools like tick_db exist to parse); non-pro rate requires funded account at supported broker |
| Best for | Best price/performance real-time depth + MBO stack (~$76.50/month total for package 12 + CME depth bundle) and short-horizon depth recording for our symbols |
Bookmap (+ BookmapData, MBO Bundle)
| Field | Value |
|---|---|
| What it is | Heatmap order-book visualization platform (liquidity heatmap, volume dots, iceberg/stop detection); the reference tool for seeing MBO effects (packages page) |
| Coverage | CME, CBOT, NYMEX, COMEX via BookmapData/Rithmic/dxFeed; also crypto (free feeds) and US equities |
| Granularity | Full MBP heatmap; MBO-based indicators for CME futures with BookmapData or Rithmic MBO subscriptions (MBO "not available for stocks" — bmData page) |
| History depth | Platform records sessions locally; cloud "historical heatmap" limited (days); not a research archive |
| Latency / updates | Real-time |
| Access method | Desktop app (Java); L1/API add-ons; marketplace add-ons |
| Cost | As of 2026-07-11 (packages page): Digital free; Digital+ $19/month ($16/month annual); Global $99/month ($79/month annual) — note mbo-bundle page still shows Global "$49/mo", conflicting; Global+ annual-only price not displayed. Data (bmData page): BookmapData futures $34/month/exchange, CME 4-exchange bundle $79/month (non-pro; MBO included); professional $159/exchange or $599 bundle; dxFeed futures $37/month/exchange; Rithmic $40–101/month. MBO Bundle indicators: marketplace-priced (~$178/month list, $134 discounted — unofficial, seen in search results only; unverified, price not shown on the mbo-bundle page) |
| Pricing page | https://bookmap.com/en/packages-comparison |
| Licensing / redistribution | Display use; no export/redistribution of depth |
| Reliability caveats | Conflicting tier prices between Bookmap's own pages (verify at checkout); total stack for CME MBO work ≈ $178+/month before add-ons |
| Best for | Visual microstructure study and discretionary order-flow trading on ES/NQ/MCL; not for systematic backtesting |
ATAS
| Field | Value |
|---|---|
| What it is | Order-flow/footprint analytics platform (cluster charts, DOM levels, iceberg/sweep/stop-run trackers) popular for CME futures (pricing) |
| Coverage | CME Group futures via Rithmic/CQG connections + crypto; ATAS SIM gives 15-min-delayed CME simulator data |
| Granularity | Footprint/cluster (trade-level), DOM (MBP); MBO-based modules (Iceberg, Sweeps, Stop Runs trackers in "MBO Bundle") |
| History depth | Plan-limited lookbacks (e.g., 7-day Big Trades history on PLUS); not a depth archive |
| Latency / updates | Real-time with feed subscription; delayed sim otherwise |
| Access method | Windows desktop app; broker connections (Rithmic, CQG) |
| Cost | As of 2026-07-11 (pricing page): START €0 (crypto, 15-min delay); PLUS €24.95/month; PRO €69.95/month; ULTRA €89.95/month; annual PLUS €239.40 / PRO €479.40 / ULTRA €599.40; lifetime €999/€1,799/€1,999; MBO Bundle (list €129/month) temporarily free for ULTRA subscribers only per pricing page (corrected as of 2026-07-11). CME exchange/data fees via your broker feed are separate |
| Pricing page | https://atas.net/en/pricing |
| Licensing / redistribution | Display use; no redistribution |
| Reliability caveats | Pricing page ambiguous on whether "real-time futures data" in PRO includes exchange fees — verify before subscribing; Windows-only |
| Best for | Footprint-first discretionary analysis on ES/NQ/metals with MBO-derived iceberg detection at mid-range cost |
Jigsaw Trading (daytradr)
| Field | Value |
|---|---|
| What it is | Depth & Sales price-ladder specialist (DOM as primary decision+execution surface), with Auction Vista depth heatmap and Reconstructed Tape (site) |
| Coverage | CME Group futures via CQG, Rithmic, IQFeed, Tradovate, StoneX connections (homepage, as of 2026-07-11) |
| Granularity | MBP DOM + reconstructed trade tape; no MBO-specific tooling |
| History depth | None (real-time tool; journaling via Journalytix) |
| Latency / updates | Real-time |
| Access method | daytradr desktop app; also runs as add-on inside NinjaTrader 8 / MultiCharts / MT5 |
| Cost | As of 2026-07-11 (homepage): one-time licenses — Independent $579, Professional $879, Institutional $1,979; live-trading subscription $50/month or $500/year on top (demo/sim free); data/exchange fees separate via chosen feed |
| Pricing page | https://www.jigsawtrading.com/ |
| Licensing / redistribution | Perpetual software license; data per feed provider terms |
| Reliability caveats | Older third-party pages quote different bundle prices ($1,379 institutional) — pricing has shifted; verify at checkout |
| Best for | DOM-execution skill building and scalping ES/NQ; one-time-license model suits long-term use |
MotiveWave
| Field | Value |
|---|---|
| What it is | Multi-broker charting/analysis platform whose Order Flow edition adds footprint, DOM history, delta, and "Advanced DOM" (products page, order flow page) |
| Coverage | CME Group futures via CQG, Rithmic, IQFeed, dxFeed, brokers (Java app, macOS-friendly) |
| Granularity | Footprint (trade-level), DOM (MBP depth); no MBO |
| History depth | Chart history per data feed; no depth archive |
| Latency / updates | Real-time with feed |
| Access method | Desktop app (Java); SDK for custom studies |
| Cost | Checkout-gated as of 2026-07-11 — products page shows editions (Community free, Standard, Order Flow, EW Lite, PRO, Ultimate) but hides lease/lifetime prices until checkout; verified on-page: 1-year support renewals $55 (Standard) to $295 (Ultimate). Unofficial reported: Order Flow $49/month or $595 lifetime; Ultimate $159/month or $2,295 lifetime (search-aggregated reviews — unofficial) |
| Pricing page | https://www.motivewave.com/products.htm |
| Licensing / redistribution | Per-user license; data per feed provider |
| Reliability caveats | Non-transparent pricing; order-flow features gated to Order Flow edition and above |
| Best for | Mac users needing footprint/DOM tooling; Elliott-wave + order-flow combination |
Quantower
| Field | Value |
|---|---|
| What it is | Multi-connection trading platform with DOM Trader, DOM Surface (heatmap of resting liquidity over time), footprint, volume analysis (pricing) |
| Coverage | CME Group futures via CQG, Rithmic, dxFeed, and many broker connections |
| Granularity | MBP depth heatmap + footprint; Power Trades/volume tools; MBO not advertised |
| History depth | Platform chart history; depth heatmap is live-session oriented |
| Latency / updates | Real-time with feed |
| Access method | Windows desktop app |
| Cost | As of 2026-07-11 (pricing page): free version (limited); All-in-One $70/month, −10%/−20%/−30% for 3/6/12-month terms (≈$49/month annual); lifetime offered (price shown at checkout; $1,590 per Optimus blog, as of 2026-07-11); market data not included. Optimus gives clients the Quantower-derived Optimus Flow platform free — not a full Quantower license (corrected per the same blog, as of 2026-07-11) |
| Pricing page | https://www.quantower.com/pricing |
| Licensing / redistribution | Per-user license; data per feed provider |
| Reliability caveats | Extension pricing displayed inconsistently on page ("$0" placeholders); confirm cart totals |
| Best for | Full-featured DOM-heatmap stack on a budget; Optimus clients get the Quantower-derived Optimus Flow free + $41 CQG non-pro depth bundle |
ExoCharts
| Field | Value |
|---|---|
| What it is | Footprint/orderflow charting app (desktop + web) originally crypto-focused, now with CME futures via built-in dxFeed connector (pricing) |
| Coverage | CME, NYMEX (+ EUREX, NASDAQ) via dxFeed; crypto natively — COMEX coverage: Unknown — verify (page lists CME/NYMEX/EUREX/NASDAQ) |
| Granularity | Footprint, volume profile, DOM from dxFeed aggregated depth |
| History depth | Platform-cached chart history; no depth archive |
| Latency / updates | Real-time |
| Access method | Desktop app + web app |
| Cost | As of 2026-07-11 (pricing page): Desktop Pro €49/month (€43/mo 3-mo, €38/mo 6-mo); Web Premium €28/month (€25 3-mo, €23 6-mo), +VAT; dxFeed connector included but exchange data for CME symbols is purchased through dxFeed separately ("85k+ pairs available to buy from dxFeed") |
| Pricing page | https://exocharts.com/pricing.html |
| Licensing / redistribution | Display use only |
| Reliability caveats | Futures support is newer than its crypto core; COMEX metals availability unverified |
| Best for | Budget footprint charting if already dxFeed-inclined; crypto+futures dual use |
Volumetrica Trading (VolSys / VolBook)
| Field | Value |
|---|---|
| What it is | Order-flow platform pair — VolSys (volume analysis/footprint) and VolBook (depth-centric ladder) — that uses MBO data to flag executed icebergs and stop orders (AMP VolBook page) |
| Coverage | CME Group futures via dxFeed (primary) and broker connections (AMP, EdgeClear); EUREX add-on reported ~€25/month incl. ~€20 exchange fees (unofficial, Volumetrica blog) |
| Granularity | MBP depth ladder + MBO-derived iceberg/stop detection |
| History depth | Session/platform history only |
| Latency / updates | Real-time |
| Access method | Windows desktop; web version (dxFeed-based) |
| Cost | Contact sales / website checkout — pricing page unreachable during this session (404); Unknown — verify. Available bundled through brokers (AMP, EdgeClear) |
| Pricing page | https://www.volumetricatrading.com/ (direct pricing URL 404 as of 2026-07-11) |
| Licensing / redistribution | Display use |
| Reliability caveats | Smaller vendor; pricing opaque; MBO features depend on feed entitlements |
| Best for | Iceberg/stop-detection-focused discretionary trading as an ATAS/Bookmap alternative |
Optimus Flow
| Field | Value |
|---|---|
| What it is | Optimus Futures' free order-flow platform (Quantower-derived) with DOM Surface, footprint, volume profiles (dxFeed page at Optimus) |
| Coverage | CME Group futures via Rithmic, CQG, or dxFeed through Optimus |
| Granularity | MBP depth heatmap, footprint |
| History depth | Platform history only |
| Latency / updates | Real-time |
| Access method | Windows desktop; requires Optimus Futures brokerage relationship |
| Cost | Platform free with Optimus account (platform page returned 404 during this session — Unknown — verify current packaging); data fees per feed (Rithmic/CQG non-pro depth bundles $41–45/month as documented above) |
| Pricing page | https://optimusfutures.com/dxfeed.php |
| Licensing / redistribution | Display use |
| Reliability caveats | Tied to one broker; feature lag vs upstream Quantower |
| Best for | Zero-software-cost order-flow stack for Optimus-cleared accounts |
Summary table
| Source | Free tier? | Entry cost | Best for |
|---|---|---|---|
| CME fee list (reference) | Yes (public PDF) | $0 | Budgeting depth entitlements; pro vs non-pro rules |
| CME MDP3/MBO docs | Yes | $0 | MBO vs MBP semantics, era-dependent history limits |
| Delayed CME depth (Sierra delayed feed) | Yes | $36/mo platform only | Learning DOM/footprint tools without exchange fees |
| Databento GLBX.MDP3 | $125 intro credits | ~$0.50+/GB usage; $179/mo live plan | Historical MBO/MBP-10 backtests per symbol; API-first live depth |
| CME DataMine | Samples only | Contact sales | Venue-complete official depth archives, PCAPs, delisted contracts |
| Nanotick | Free samples | Contact sales | Nanosecond PCAP book replay back to 2014 |
| dxFeed | No | Contact sales (retail: $37–39/mo/exchange via platforms, as of 2026-07-11) | Depth feed inside Bookmap/ATAS/Quantower/ExoCharts |
| IQFeed | No (trial) | $108.15/mo core + $24.15 depth surcharge + exchange fees | Multi-asset API feed; CME depth via waiver $33.60 all-4 |
| Rithmic | No | ~$25/mo + $45 non-pro depth bundle | Cheapest real-time MBO access via brokers |
| CQG | No | Non-pro depth $13/exchange, $41 bundle | Benchmark-priced reliable DOM; free Quantower path |
| Trading Technologies | No | Unofficial $775–800/mo+ | Professional execution + depth; institutional only |
| NinjaTrader | Platform free w/ account | L2 $16/exchange, $48 bundle | Integrated footprint/DOM for NinjaTrader users |
| Tradovate | Free L1 w/ live account | L2 $16/exchange, $41 bundle | API-first retail depth |
| Sierra Chart + Denali | Delayed free | $36–56/mo + $13.50–40.50 depth fees | Best-value real-time depth+MBO; short-horizon depth recording |
| Bookmap | Digital tier (crypto) | $19–99/mo + data $34–79/mo | Liquidity heatmap; MBO visual analytics |
| ATAS | START (crypto, delayed) | €24.95–89.95/mo + feed | Footprint + MBO iceberg/stop trackers |
| Jigsaw daytradr | Sim free | $579 one-time + $50/mo live | DOM execution mastery |
| MotiveWave | Community edition | Checkout-gated (unofficial ~$49/mo Order Flow) | Mac-friendly footprint/DOM |
| Quantower | Limited free | $70/mo (Quantower-derived Optimus Flow free via Optimus) | DOM Surface heatmap on a budget |
| ExoCharts | No (trial) | €28–49/mo + dxFeed data | Budget footprint, crypto+futures |
| Volumetrica | No | Unknown — verify | Iceberg/stop detection alternative |
| Optimus Flow | Yes (with account) | $0 + data fees | Free order-flow stack at Optimus |