The DOM & Footprint Charts

In Level 1 you learned to read candles and volume. A candle tells you where price went and how the fight ended. It does not show you the fight itself — who was desperate, who was patient, and where the battle actually happened inside the candle. Two professional tools open that up: the DOM and the footprint chart.

The DOM (pronounced "domm") stands for Depth of Market — the live list of orders waiting to buy and sell a futures contract right now. A footprint chart is a candlestick chart where every candle is opened up so you can see how many contracts traded at each price inside it, and which side was pushing harder.

By the end of this module you will be able to read a DOM ladder line by line, read a footprint candle row by row, work out a candle's delta (the score of who pushed harder, explained below), and recognize the two things experienced traders watch for most: absorption and failed pushes. You will also know exactly what these tools cannot do — which matters just as much.

The Order Book: A Line of Waiting Orders

Every futures contract on the CME (the Chicago Mercantile Exchange, the main US futures exchange) trades from a single list called the order book. The book is made of resting orders — orders that have been placed and are waiting in line for a trade to happen.

Almost all resting orders are limit orders: orders that say "I will buy at this price or lower" or "I will sell at this price or higher." A resting order does nothing until someone else trades with it.

• Resting orders to buy, waiting below the current price, are called bids.
• Resting orders to sell, waiting above the current price, are called offers (also called asks).

Think of it as two lines at a ticket window. Buyers are lined up below, each holding a sign with the most they will pay. Sellers are lined up above, each holding a sign with the least they will accept. A trade happens when someone steps out of line and takes the other side's price — that person is the aggressive side of the trade, and the resting order they traded with is the passive side.

That one idea — aggressive versus passive — is the key to both tools in this module.

Reading the DOM Ladder

The DOM displays the book as a ladder: prices in the middle, waiting sell orders stacked above, waiting buy orders stacked below. Here is a small, slowed-down example for the ES (the E-mini S&P 500 future — one point is worth $50, and the smallest price step, a tick, is 0.25 points = $12.50):

Read it like this:

• The last trade happened at 6,000.00.
• The best (lowest) offer is 6,000.25, where 44 contracts are waiting to be sold. If you want to buy right now, that is the price you pay.
• The best (highest) bid is 5,999.75, where 58 contracts are waiting to be bought. If you want to sell right now, that is the price you get.
• The gap between best bid and best offer is the spread: 6,000.25 − 5,999.75 = 0.50 points. On the ES that spread is worth 0.50 × $50 = $25 per contract — the difference between buying at the offer and immediately selling at the bid. On the MES (the micro contract, $5 per point) the same spread costs 0.50 × $5 = $2.50.

The size column matters too. For price to trade up through 6,000.25, buyers must actually purchase all 44 contracts resting there. Big stacks of orders mean more contracts have to trade before price moves past that level. Watch the ladder for a few minutes and you will see stacks grow, shrink, and vanish — which brings us to the most important warning in this module.

Orders Are Not Intent: The Part Nobody Can Sell You

A resting order is a promise that can be cancelled in a blink, before it ever trades. Traders cancel and replace orders constantly — it is a normal, constant part of the market. That means:

• A huge stack of bids at a price is not a floor. It might trade — or it might be pulled the moment price gets close.
• The book shows you quantities, not people. You cannot see who placed an order, why, what else they own, or whether they are hedging (protecting another position) rather than betting.
• The book is a snapshot of this instant. A second from now it can look completely different.

Footprint Charts: Every Candle, Opened Up

The DOM shows orders waiting. The footprint shows trades that already happened, organized price by price inside each candle.

Here is how to read one row. Every price a candle touched gets a row with two numbers, written like 120 × 210:

• The left number is contracts traded at the bid — an aggressive seller hit a resting buy order.
• The right number is contracts traded at the offer — an aggressive buyer lifted a resting sell order.

Now a full example. This is one 5-minute MES candle (MES: $5 per point, tick 0.25 = $1.25). The candle traded between 6,000.00 and 6,001.00:

Add each side up:

• Sold at the bid: 40 + 85 + 120 + 150 + 200 = 595 contracts
• Bought at the offer: 95 + 160 + 210 + 130 + 90 = 685 contracts
• Total volume in the candle: 595 + 685 = 1,280 contracts

Now read the story. At the bottom price, 6,000.00, sellers were the aggressive ones (200 sold vs. 90 bought) — early in the candle, sellers pushed. Higher up, the picture flips: at 6,000.50 buyers lifted 210 contracts against only 120 sold — buyers were in a hurry there. The candle closed near its high, and in a range of just 1.00 point (worth $5 per MES contract from low to high), the buyers did most of the pushing by the end.

Delta: The Candle's Tug-of-War Score

Delta, in the footprint world, means the difference between aggressive buying and aggressive selling:

Delta = contracts bought at the offer − contracts sold at the bid

For our example candle: 685 − 595 = +90. A positive delta means aggressive buyers pushed harder during that candle. A negative delta means aggressive sellers did.

Two honest limits on delta. First, delta measures aggression, not direction of anyone's overall position — a trader closing out a short position also buys, and their buying prints the same as a brand-new bull's.

Second, some traders watch cumulative delta (the running total of delta across the whole day) as background context. It is a gauge, not a signal. A big positive delta candle into a level price has hit many times before still fails often. Delta is one clue to stack on top of your Level 1 tools — price levels, trend, and risk rules — never a replacement for them.

What Experienced Traders Actually Watch For

Professionals do not trade every wiggle of the book. They mostly watch how price behaves at levels they already care about — yesterday's high, a big support zone, the day's VWAP (the volume-weighted average price, from Technical Analysis A–Z). Two patterns come up again and again.

Absorption: Selling That Goes Nowhere

Absorption means aggressive traders keep hitting one price, hard, and price refuses to move — because a large passive trader on the other side keeps quietly taking every contract.

Picture MES falling to 5,980.00, a level it has bounced from before. Three separate pushes drive into it. Each push prints heavy selling at the bid — say 900 or more contracts sold right at 5,980.00 and 5,979.75 across a few minutes — yet price ticks down to 5,979.75 and snaps straight back to 5,980.25 every time. The reading: someone big is resting there, absorbing everything the sellers throw at them. That often comes before a bounce, because the sellers have spent their energy against a wall that would not move.

Often — not always. Sometimes the passive buyer finally steps aside or gets overwhelmed, and the level breaks violently, with all those trapped sellers' stops adding fuel. Absorption is a clue about who is tired. It is never a promise.

Failed Pushes: New Highs on Empty Tanks

A failed push is the mirror image. Price pokes to a new high of the day, but the footprint shows the aggression dying: three candles making higher highs print deltas of +400, then +180, then +40. Buyers are still reaching higher prices, but fewer and fewer of them are in a hurry. When the last push makes a new high on a delta of +40, experienced traders get cautious — the move may be running out of urgent buyers. Again: a clue about energy, not a crystal ball. Strong trends can look "tired" for hours and keep going.

Why the Futures DOM Is Real — and Stock Level 2 Is a Patchwork

This is the reason order flow is a futures game. ES, MES, and the other CME contracts each trade on one exchange with one central order book. The DOM you see is the actual book — every resting order in that contract, in one place (platforms typically show the best 10 or so levels on each side).

Stocks are different. A single stock trades on more than a dozen exchanges plus private off-exchange venues (often called dark pools), and a large share of stock volume never appears in any visible book before it trades. Stock Level 2 (the stock-market cousin of the DOM) stitches together quotes from many places — useful, but it is a patchwork that never shows the whole picture.

Same tools, different trust level. In futures, what you see is the real, complete line of waiting orders. In stocks, you are seeing part of the line, through several windows at once.

How a Beginner Should Use This: Watch First, Paper Only

• Start on MES, on a paper account. MES is $5 per point, so lessons are cheap when you eventually practice with size — but at this stage, do not trade off these tools at all. Watch.

• Run watch-only sessions. Pick a level price has respected before. Watch the DOM and footprint there for 30 minutes. In your journal, write what you saw and what you thought would happen next — then grade yourself afterward, honestly.
• Stack clues, never chase one print. A footprint signal means little alone. It means more when it happens at a real level, in the direction of the day's trend, with your risk planned before you act.
• Mind the cost. Footprint and DOM displays usually require a paid data package or platform add-on. Prices change — check what your platform charges before subscribing, and never let a subscription push you into trading more just to "get your money's worth."

Common Mistakes at This Level

• Treating a big resting order as support that "can't break" — it can be cancelled in a blink.
• Buying or selling every delta spike, instead of reading flow only at levels that already matter.
• Mixing up footprint delta with options delta and sizing a trade off the wrong number.
• Staring at the ladder and forgetting your actual plan: entry, stop, and position size from Risk Management A–Z.
• Assuming a stock Level 2 screen shows the whole market the way a futures DOM does.
• Paying for order-flow tools, then overtrading to justify the subscription.

Chapter Summary

• The order book is the list of resting limit orders: bids waiting below price, offers waiting above.
• The DOM (Depth of Market) displays that book as a ladder with prices and contract sizes.
• Every trade has an aggressive side (takes the resting price) and a passive side (was resting). Footprint charts split each candle's trades by price into sold-at-bid × bought-at-offer.
• Delta = bought at the offer − sold at the bid. It scores aggression in a candle; it is not the options Greek delta.
• Absorption is heavy aggression into a level that will not move; a failed push is a new high or low made on shrinking aggression. Both are clues, not guarantees.
• Resting orders can be pulled at any moment. The book shows orders, not intent — and no feed shows the future.
• Futures trade on one central book, so the DOM is complete. Stock Level 2 is fragmented across many venues and is only partial.
• Beginners should watch the DOM and footprint on MES with a paper account, journaling predictions before grading them.

Check Yourself

1. In a DOM ladder, what are the resting orders below the current price called, and what do they represent?
2. A footprint row reads 120 × 210. Which side was more aggressive at that price, and by how many contracts?
3. A candle's rows total 595 contracts sold at the bid and 685 bought at the offer. What is the candle's delta, and what was its total volume?
4. Why can a stack of 320 bid contracts at a price NOT be trusted as support?
5. Why is the futures DOM a complete picture of the book, while stock Level 2 is not?

Show answers

Answers: 1) Bids — resting limit orders to buy at that price or lower, waiting in line. 2) Buyers at the offer: 210 bought vs. 120 sold, a difference of 90 contracts. 3) Delta = 685 − 595 = +90 (aggressive buyers pushed harder); total volume = 595 + 685 = 1,280 contracts. 4) Resting orders can be cancelled before they ever trade, and even real size can be overwhelmed — the book shows orders, never intent or the future. 5) Each futures contract trades on one exchange with one central order book, so the DOM shows the whole line of orders; stocks trade across many exchanges and off-exchange venues, so Level 2 only ever shows fragments.