Market depth of the ES e-mini futures contract

Quote from heywally:

Hello -

Have asked this question of the CME but they just refer me to their datamine product which is overkill and I don't want to pay for that.

For purposes of risk control, I am trying to find out how far down in price standing bids typically go on the ES futures contract.

In other words, can I be confident that there is usually a standing bid as far down as 20 points (80 ticks) below the market price that would buy my 5 contracts via my stop market order, in the event of a black swan event that would probably close the markets within minutes?

And if not 20 points down, how far down could I feel confident there were standing bids that would leave someone else 'holding the bag' on my 5 contracts?

I can only see 10 ticks down on market depth.

Thanks
More...

Here's 20 levels either side for the ES 09-13 book at 01:13 am EST on 11/07/2013

11/07/2013 01:13:16 EST
ASK:
0 1666,75 363
1 1667 1342
2 1667,25 478
3 1667,5 532
4 1667,75 242
5 1668 964
6 1668,25 391
7 1668,5 299
8 1668,75 274
9 1669 629
10 1668,75 445
11 1668,5 419
12 1668,25 320
13 1668 1132
14 1667,75 243
15 1667,5 566
16 1667,25 509
17 1667 1366
18 1666,75 562
19 1666,5 178


BID:
0 1666,25 77
1 1666 171
2 1665,75 148
3 1665,5 102
4 1665,25 91
6 1665 134
7 1664,75 172
8 1664,5 177
9 1664,25 352
10 1664 294
11 1664,25 278
12 1664,5 168
13 1664,75 98
14 1665 211
15 1665,25 89
16 1665,5 71
17 1665,75 95
18 1666 143
19 1666,25 1
 
Quote from abattia:

Here's 20 levels either side for the ES 09-13 book at 01:13 am EST on 11/07/2013

11/07/2013 01:13:16 EST
ASK:
0 1666,75 363
1 1667 1342
2 1667,25 478
3 1667,5 532
4 1667,75 242
5 1668 964
6 1668,25 391
7 1668,5 299
8 1668,75 274
9 1669 629
10 1668,75 445
11 1668,5 419
12 1668,25 320
13 1668 1132
14 1667,75 243
15 1667,5 566
16 1667,25 509
17 1667 1366
18 1666,75 562
19 1666,5 178


BID:
0 1666,25 77
1 1666 171
2 1665,75 148
3 1665,5 102
4 1665,25 91
6 1665 134
7 1664,75 172
8 1664,5 177
9 1664,25 352
10 1664 294
11 1664,25 278
12 1664,5 168
13 1664,75 98
14 1665 211
15 1665,25 89
16 1665,5 71
17 1665,75 95
18 1666 143
19 1666,25 1
More...

Thanks abattia - I'm mainly interested in what it looks like 20-50 points below the market price; 80-200 ticks. I have a hard time visualizing why anyone would have standing buy orders, especially in size, that far down though I guess they could have stop losses bracketed to them.
 
Quote from abattia:

Here's 20 levels either side for the ES 09-13 book at 01:13 am EST on 11/07/2013

11/07/2013 01:13:16 EST
ASK:
...
8 1668,75 274
9 1669 629
10 1668,75 445
11 1668,5 419
...

BID:
...
8 1664,5 177
9 1664,25 352
10 1664 294
11 1664,25 278
12 1664,5 168
...
More...

This looks wrong.

For the "ask" side, the price should monotonically increase from level N to level N+1. In what you posted, the price starts to go down from level 10.

Similarly, for the "bid" side, the price should monotonically decrease from level N to level N+1. In what you posted, the price starts to go up from level 11.
 
Quote from nonlinear5:

This looks wrong.

For the "ask" side, the price should monotonically increase from level N to level N+1. In what you posted, the price starts to go down from level 10.

Similarly, for the "bid" side, the price should monotonically decrease from level N to level N+1. In what you posted, the price starts to go up from level 11.
More...

Yes, it does look wrong. Thanks!
 
Gentleman, he could have just sorted it based on the price. The idea was to demonstrate depth at each level, the order is not important in this instance.
 
One thing to look into is CME's Velocity Logic. If the market drops too quickly (i.e. because someone took out the entire bid stack), the future will halt for a few seconds to allow people to enter orders and replenish liquidity. On the day of the flash crash, this pause marked the bottom of the selloff and the market rebounded from there.

Afterhours might be trickier. The same logic still applies, but there might be less liquidity and the move could continue to follow through after the market reopens. For example, on 12/21/12, after a failed fiscal cliff vote, ESH3 dropped 15 points in less than a second before the logic kicked in. When futures reopened, they were another 15 points lower -- but again, this marked the bottom.

However, even in these extreme situations, the widest bid/offer spread I saw was 3-4 points. I'm supremely confident that as long as the market is open, there will be a bid for a 5 lot within 20 points.
 
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