What the DOM shows and what it hides

DOM stands for depth of market. It is a vertical ladder of prices with the displayed limit order size at each one. Heatmap platforms usually keep a DOM on screen as well, because the DOM shows the exact numbers right now. It also leaves a lot out, and this note lists what.

What the DOM shows

Here is an invented snapshot of a DOM in the E-mini S&P 500 future.

The best bid is 4,985.25 with 41 contracts. The best offer is 4,985.50 with 95 contracts. The spread is one tick. Each number is the total displayed size from every order resting at that price.

The DOM updates on every change. If a trader cancels 20 contracts at 4,985.00, the 188 becomes 168 at once. If a buyer lifts the offer for 95 contracts, the 4,985.50 row empties and 4,985.75 becomes the new best offer.

What the DOM hides

The DOM leaves out five things.

The first gap is history. The DOM shows this instant only. If the 4,985.00 bid showed 600 contracts ten seconds ago, the DOM gives no sign of it. To compare, you would have to remember the earlier numbers.

The second gap is hidden size. An iceberg order displays a small part of its total and refills as it fills. A bid showing 40 contracts can absorb 400. The DOM shows 40 the whole time.

The third gap is stop orders. A stop order sits outside the visible book until price triggers it. Stops held at the exchange are not displayed, and stops held by a trading platform are not sent until they trigger. A cluster of sell stops below 4,980.00 is invisible on every DOM.

The fourth gap is depth. The DOM can only show the levels the data feed sends. A market by price feed with ten levels per side cannot show the eleventh level, however large it is.

The fifth gap is who is behind the number. A market by price feed adds every order at a price into one total. The 188 at 4,985.00 could be one order or forty. A market by order feed shows each order separately, which the note on MBP and MBO explains.

Filling the history gap with a heatmap

A heatmap fixes the history gap. It records the DOM over time and draws it as colour, so the 600-lot that was cancelled ten seconds ago is still visible on the left of the screen.

Liquivue puts the two side by side. The heatmap shows how size at 4,985.00 built up and changed over the last ten minutes, and the DOM next to it shows the exact current number. Trade bubbles on the heatmap fill part of the hidden size gap. If 400 contracts print at a bid that never showed more than 40, the bubbles make that visible even though the DOM never did. On live CME order-level data, Liquivue's experimental iceberg detection can also flag the refills directly.

Other platforms take a similar approach. Jigsaw daytradr lists Depth & Sales, and Sierra Chart lists depth history. No platform can show other people's stop orders, because no public feed includes them.

Trading from the DOM

The DOM is also an order entry screen on most platforms. You click a price to place a limit order there, and the order appears in the ladder. Liquivue supports order entry from the chart, the DOM and an order panel, with brackets, OCO and trailing stops on an eligible account. The vendor says live accounts through the NinjaTrader bridge are not yet verified, so start in simulation and check that each order type behaves as you expect.

Before you use any DOM for orders, test three things in simulation. Check what one click does. Check whether a confirmation appears. Check how to cancel every working order at once.

A check you can run

Open a DOM and a heatmap on the same contract for five minutes. Pick one price two ticks below the best bid and write down its DOM size every 30 seconds. Then compare your ten numbers with the heatmap history for that price. The gap between your notes and the full record shows how much the DOM alone leaves out.