Futures · Order flow
Futures volume profile
Volume by price for a window, with point of control and value area.
GET
/v1/futures/volume-profilefuturesVolumeProfileThe volume profile of a trading session or of a narrowed window: buy, sell and unknown volume at each price row, the point of control (the busiest row; the lowest price on a tie) and the value area, which grows outward from the point of control by taking the neighboring row with more volume (the lower one on a tie) until it holds value_area_pct of the volume. Reads the live capture; a window it no longer holds answers 422 data_unavailable. For the whole current session use /v1/futures/session-profile.
Example request
curl -sS --get "https://api.ordermap.si/v1/futures/volume-profile" \
-H "Authorization: Bearer $ORDERMAP_API_KEY" \
--data-urlencode symbol=ESconst params = new URLSearchParams({
symbol: "ES",
});
const res = await fetch(`https://api.ordermap.si/v1/futures/volume-profile?${params}`, {
headers: { Authorization: `Bearer ${process.env.ORDERMAP_API_KEY}` },
});
if (!res.ok) throw new Error(`${res.status} ${await res.text()}`);
const { data, meta } = await res.json();
console.log(data, meta.coverage);Set ORDERMAP_API_KEY to your key. Replace the dates with a recent trading date.
Parameters
8 parameters, none required.
| Parameter | Type and limits | Description |
|---|---|---|
symbolqueryoptional | stringat most 3 characterspattern ^[A-Za-z0-9]{1,3}$ | Futures product root, for example ES, NQ, CL or GC. Without contract the current front month is used and returned in the response. |
contractqueryoptional | 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. |
sessionqueryoptional | 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. |
datequeryoptional | stringdate | Trading date (YYYY-MM-DD) of the session; default the current or most recent one. |
start_queryoptional | integerunix-msmin 946684800000max 4102444800000 | Narrow the session to start at or after this time. |
end_queryoptional | integerunix-msmin 946684800000max 4102444800000 | Narrow the session to end at or before this time. |
row_queryoptional | integerdefault 1min 1max 1000 | Group prices into rows of this many ticks. |
value_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
dataobjectrequiredThe volume profile of a window.20 fields insidecontractstringrequiredDated contract.levelsarray<object>requiredVolume by price, lowest price first.10 fields insidebuy_volumeintegerrequiredAggressive buy contracts.deltaintegerrequiredBuy minus sell contracts.in_value_areabooleanrequiredThe row is inside the value area.is_pocbooleanrequiredThe row is the point of control.pricenumberrequiredPrice (lowest price of the row when grouped).price_ticksstringrequiredPrice as an integer count of ticks, as a string.sell_volumeintegerrequiredAggressive sell contracts.total_volumeintegerrequiredAll contracts at the row.trade_countintegerrequiredPrints at the row.unknown_volumeintegerrequiredContracts whose side is unknown.
pocnumber | nullrequiredPoint of control: the price with the most volume (the lowest on a tie).row_ticksintegerrequiredTicks per price row.tick_sizenumberrequiredMinimum price increment.total_volumeintegerrequiredContracts in the profile.value_area_highnumber | nullrequiredUpper edge of the value area.value_area_lownumber | nullrequiredLower edge of the value area.value_area_pctnumberrequiredShare of the volume the value area is built to contain, in percent.value_area_volumeintegerrequiredContracts inside the value area.
metaobjectrequiredMeta object
Example response
{
"data": {
"contract": "ESZ6",
"levels": [
{
"buy_volume": 6120,
"delta": -920,
"in_value_area": true,
"is_poc": true,
"price": 6021.5,
"price_ticks": "24086",
"sell_volume": 7040,
"total_volume": 13160,
"trade_count": 3010,
"unknown_volume": 0
}
],
"poc": 6021.5,
"row_ticks": 1,
"tick_size": 0.25,
"total_volume": 412837,
"value_area_high": 6025.25,
"value_area_low": 6016.75,
"value_area_pct": 70,
"value_area_volume": 289100
},
"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.