Futures · Order flow

Futures signals

Bursts of one-sided aggressive trading found in captured prints.

GET/v1/futures/signalsfuturesSignals

API Developer History-bounded Dataset: futures

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Example request
Parameters
Response
Example response
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Historical aggression signals: bursts in which one side's prints arrive much faster than the recent baseline (velocity_multiplier), in volume that one side dominates (side_dominance), found by a deterministic detector over the captured prints of the window. The detector is retrospective: it reports bursts that occurred and makes no claim about absorption or hidden orders. The window defaults to the last 15 minutes and is at most 24 hours; quality captured_partial means the captured input is not known to be complete. Every parameter after end_time tunes the detector; the defaults match the terminal's.

Example request

curl -sS --get "https://api.ordermap.si/v1/futures/signals" \
  -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/signals?${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

15 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.
`start_time`queryoptional	integerunix-msmin 946684800000max 4102444800000	Start of the window (inclusive).
`end_time`queryoptional	integerunix-msmin 946684800000max 4102444800000	End of the window (exclusive).
`window_ms`queryoptional	integerdefault 2000min 100max 10000	Length of the window a burst is measured over, in milliseconds.
`max_idle_ms`queryoptional	integerdefault 500min 10max 5000	A burst ends after this long without a qualifying print, in milliseconds.
`min_executions`queryoptional	integerdefault 6min 2max 1000	Prints a burst needs.
`min_rate`queryoptional	numberdefault 8min 0.1max 100000	Prints per second a burst needs.
`velocity_multiplier`queryoptional	numberdefault 2.5min 1max 100	How many times the baseline rate the burst's rate must be.
`side_dominance`queryoptional	numberdefault 0.7min 0.5max 1	Share of the burst's volume the aggressor side must hold, from 0.5 to 1.
`price_ticks`queryoptional	integerdefault 2min 0max 100	Price movement, in ticks, that starts a new burst.
`max_price_span_ticks`queryoptional	integerdefault 6min 0max 1000	Widest price range of one burst, in ticks.
`rate_window_ms`queryoptional	integerdefault 500min 50max 5000	Window of the rate measurement, in milliseconds.
`baseline_ms`queryoptional	integerdefault 30000min 1000max 300000	Window of the baseline rate, in milliseconds.
`baseline_min_ms`queryoptional	integerdefault 2000min 0max 300000	Shortest observed history before a baseline is used, in milliseconds.

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>required29 fields inside
- baseline_availablebooleanrequiredA baseline was observed for comparison.
- baseline_ratenumberrequiredRecent baseline rate the burst is compared with.
- classificationstringrequiredsustained_buy_aggression or sustained_sell_aggression.
- contractstringrequiredDated contract.
- contracts_per_secondnumberrequiredContracts per second.
- end_timeintegerunix-msrequiredLast print of the burst. Unix epoch milliseconds (UTC).
- execution_countintegerrequiredPrints in the burst.
- execution_ratenumberrequiredPrints per second.
- idstringrequiredIdentifier of the signal.
- levelsarray<object>requiredContribution of each price to the burst.7 fields inside
  - buy_volumeintegerrequiredAggressive buy contracts.
  - execution_countintegerrequiredPrints at the price.
  - pricenumberrequiredPrice.
  - price_ticksstringrequiredPrice as an integer count of ticks, as a string.
  - sell_volumeintegerrequiredAggressive sell contracts.
  - total_volumeintegerrequiredAll contracts at the price.
  - unknown_volumeintegerrequiredContracts whose side is unknown.
- pricenumberrequiredPrice of the first print.
- price_maxnumberrequiredHighest price of the burst.
- price_minnumberrequiredLowest price of the burst.
- price_ticksstringrequiredprice as an integer count of ticks, as a string.
- qualitystringrequiredcaptured when the input is complete, captured_partial otherwise.capturedcaptured_partialfixture
- sidestringrequiredAggressor side of the burst.buysell
- side_dominancenumberrequiredShare of the burst's volume on the aggressor side.
- sizeintegerrequiredContracts in the burst.
- start_timeintegerunix-msrequiredFirst print of the burst. Unix epoch milliseconds (UTC).
- statestringrequiredactive while the burst may still grow, completed once it ended.activecompleted
- velocity_multiplenumber | nullrequiredexecution_rate divided by baseline_rate.
- vwapnumberrequiredVolume-weighted average price of the burst.
metaobjectrequiredMeta object

Example response

{
  "data": [
    {
      "baseline_available": true,
      "baseline_rate": 9.4,
      "classification": "sustained_buy_aggression",
      "contract": "ESZ6",
      "contracts_per_second": 158.2,
      "end_time": 1792159201480,
      "execution_count": 61,
      "execution_rate": 45.1,
      "id": "9f2c1d0e8a7b6c5d4e3f2a1b0c9d8e7f6a5b4c3d2e1f0a9b8c7d6e5f4a3b2c1d",
      "levels": [
        {
          "buy_volume": 88,
          "execution_count": 27,
          "price": 6021.5,
          "price_ticks": "24086",
          "sell_volume": 4,
          "total_volume": 92,
          "unknown_volume": 0
        }
      ],
      "price": 6021.5,
      "price_max": 6022.25,
      "price_min": 6021.5,
      "price_ticks": "24086",
      "quality": "captured_partial",
      "side": "buy",
      "side_dominance": 0.86,
      "size": 214,
      "start_time": 1792159200123,
      "state": "completed",
      "velocity_multiple": 4.8,
      "vwap": 6021.8
    }
  ],
  "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.

Export this endpointWrite the whole result to a file in the background

Example request

Parameters

Response

200 response body

Example response

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