Futures · Order flow

Futures footprint

Footprint bars: volume by price inside each bar, with imbalances.

GET/v1/futures/footprintfuturesFootprint

API Developer Streamable History-bounded Dataset: futures

On this page

Example request
Parameters
Response
Example response
Related

Bars of a trading session built from prints, each with its price ladder of buy, sell and unknown volume, delta, point of control and value area, and buy/sell and stacked imbalances. Bars close by time, print count, volume or range (bar_type, target). Reads the live capture: a window it no longer holds answers 422 data_unavailable, and a window that would exceed 2,000 bars or 10,000 price rows is refused with 413 range_too_large (narrow the window or use larger bars or rows). meta.coverage.complete is false because a provider's completeness is never claimed.

Example request

curl -sS --get "https://api.ordermap.si/v1/futures/footprint" \
  -H "Authorization: Bearer $ORDERMAP_API_KEY" \
  --data-urlencode symbol=ES

const params = new URLSearchParams({
  symbol: "ES",
});
const res = await fetch(`https://api.ordermap.si/v1/futures/footprint?${params}`, {
  headers: { Authorization: `Bearer ${process.env.ORDERMAP_API_KEY}` },
});
if (!res.ok) throw new Error(`${res.status} ${await res.text()}`);
const { data, meta } = await res.json();
console.log(data, meta.coverage);

Set ORDERMAP_API_KEY to your key. Replace the dates with a recent trading date.

Parameters

14 parameters, none required.

Parameter	Type and limits	Description
`symbol`queryoptional	stringat most 3 characterspattern ^[A-Za-z0-9]{1,3}$	Futures product root, for example ES, NQ, CL or GC. Without contract the current front month is used and returned in the response.
`contract`queryoptional	stringat most 6 characterspattern ^[A-Za-z0-9]{1,3}[FGHJKMNQUVXZfghjkmnquvxz][0-9]{1,2}$	Exact dated contract: root, month code and year, for example ESZ6 (December 2026). Two-digit years are accepted and returned in the one-digit form (ESZ26 is ESZ6). Only the front month and the contracts listed by /v1/futures/contracts are served.
`session`queryoptional	stringrthglobexgthcurbcombineddefault rth	Trading session to read. rth is 09:30 to 16:00 Eastern Time; globex the full 18:00 to 17:00 session; gth the overnight window (20:15 to 09:25); curb 16:15 to 17:00; combined gth plus rth. Futures trade through the night, so every session is available on every plan.
`date`queryoptional	stringdate	Trading date (YYYY-MM-DD) of the session; default the current or most recent one.
`start_time`queryoptional	integerunix-msmin 946684800000max 4102444800000	Narrow the session to start at or after this time.
`end_time`queryoptional	integerunix-msmin 946684800000max 4102444800000	Narrow the session to end at or before this time.
`bar_type`queryoptional	stringtimetrade_countvolumerangedefault time	What closes a bar: time (target seconds), trade_count (target prints), volume (target contracts; a print is never split) or range (target ticks between the bar's high and low).
`target`queryoptional	integermin 1max 86400	Bar size: seconds for time bars, prints for trade_count, contracts for volume, ticks for range. Default 60 seconds, 500 prints, 1,000 contracts, 10 ticks.
`row_ticks`queryoptional	integerdefault 1min 1max 1000	Group prices into rows of this many ticks.
`imbalance_mode`queryoptional	stringhorizontaldiagonaldefault horizontal	How imbalances compare volumes: horizontal (buy against sell at the same price) or diagonal (buy against the sell one row below).
`imbalance_ratio`queryoptional	numberdefault 3min 1max 1000	Ratio at which one side counts as an imbalance.
`imbalance_minimum`queryoptional	integerdefault 10min 0max 1000000000	Smallest volume that can be an imbalance.
`stacked_length`queryoptional	integerdefault 3min 2max 100	Consecutive imbalanced rows that make a stacked imbalance.
`value_area_pct`queryoptional	numberdefault 70min 1max 100	Share of the volume the value area contains, in percent.

Response

Status	Meaning	Body
`200`	Successful response.	Schema below
`400`	Invalid, unknown or repeated parameters, or an invalid cursor.	Error object
`401`	Missing or invalid API key.	Error object
`403`	The plan, dataset release or account state does not allow this request.	Error object
`422`	The request is valid but no data exists for it.	Error object
`429`	Rate limit, burst limit or cooldown; wait Retry-After seconds.Retry-After	Error object
`500`	Internal error.	Error object
`503`	Data temporarily unavailable; retry after Retry-After seconds.Retry-After	Error object
`504`	The request timed out.	Error object

Authenticated responses carry the X-RateLimit-* headers (see rate limits); 429 and 503 add Retry-After.

200 response body

dataarray<object>required25 fields inside
- cellsarray<object>requiredVolume by price, lowest price first.14 fields inside
  - buy_imbalancebooleanrequiredBuy volume dominates by the imbalance rule.
  - buy_volumeintegerrequiredContracts traded at the ask (aggressive buys).
  - deltaintegerrequiredBuy minus sell contracts.
  - in_value_areabooleanrequiredThe row is inside the bar's value area.
  - is_pocbooleanrequiredThe row is the bar's point of control.
  - pricenumberrequiredPrice (lowest price of the row when grouped).
  - price_ticksstringrequiredPrice as an integer count of ticks, as a string.
  - sell_imbalancebooleanrequiredSell volume dominates by the imbalance rule.
  - sell_volumeintegerrequiredContracts traded at the bid (aggressive sells).
  - stacked_buy_imbalancebooleanrequiredThe row is part of a stacked buy imbalance.
  - stacked_sell_imbalancebooleanrequiredThe row is part of a stacked sell imbalance.
  - total_volumeintegerrequiredAll contracts at the row.
  - trade_countintegerrequiredPrints at the row.
  - unknown_volumeintegerrequiredContracts whose side is unknown.
- closedbooleanrequiredThe bar has closed.
- contractstringrequiredDated contract.
- deltaintegerrequiredBuy minus sell contracts in the bar.
- end_timeintegerunix-msrequiredEnd of the bar. Unix epoch milliseconds (UTC).
- pocnumber | nullrequiredPoint of control: the price with the most volume in the bar.
- start_timeintegerunix-msrequiredStart of the bar. Unix epoch milliseconds (UTC).
- trade_countintegerrequiredPrints in the bar.
- value_area_highnumber | nullrequiredUpper edge of the bar's value area.
- value_area_lownumber | nullrequiredLower edge of the bar's value area.
- volumeintegerrequiredContracts traded in the bar.
metaobjectrequiredMeta object

Example response

{
  "data": [
    {
      "cells": [
        {
          "buy_imbalance": false,
          "buy_volume": 612,
          "delta": -92,
          "in_value_area": true,
          "is_poc": true,
          "price": 6021.5,
          "price_ticks": "24086",
          "sell_imbalance": false,
          "sell_volume": 704,
          "stacked_buy_imbalance": false,
          "stacked_sell_imbalance": false,
          "total_volume": 1316,
          "trade_count": 301,
          "unknown_volume": 0
        }
      ],
      "closed": true,
      "contract": "ESZ6",
      "delta": -212,
      "end_time": 1792159260000,
      "poc": 6021.5,
      "start_time": 1792159200000,
      "trade_count": 1305,
      "value_area_high": 6022,
      "value_area_low": 6021,
      "volume": 4821
    }
  ],
  "meta": {
    "as_of": 1760659200123,
    "coverage": {
      "complete": true
    },
    "delay_ms": 0,
    "delayed": false,
    "request_id": "0199f0c2-5a1e-7c3b-9d4e-2b6f8a1c3d5e",
    "source": "cme"
  }
}

Values are illustrative. Missing values are null, never 0.

Example request

Parameters

Response

200 response body

Example response

Related