Module 1F: Futures Foundations · Lesson 7 of 13 · Back to Futures Foundations · Course
What you’ll learn
- why futures volume is “real”
- bid, ask and the spread on futures
- what the order book (DOM) shows
- market vs limit orders on futures
- why slippage happens around news
One market, one set of numbers
Futures trade on a central exchange. Every buy and sell goes through the same order book, so the price and volume you see are the same as everyone else’s. That’s different from spot forex and CFDs, where prices come from your provider and “volume” is often just the number of price updates. It’s why indicators such as VWAP work best on futures.
Bid, ask and the spread
- The bid is the highest price someone is willing to pay right now.
- The ask (or offer) is the lowest price someone is willing to sell at.
- The spread is the gap between them – usually just one tick on liquid contracts like MES and ES during busy hours.
With futures, you pay a commission plus exchange and clearing fees per contract, on top of crossing the spread. There’s no hidden mark-up in the price.
The order book (DOM)
The order book, often shown as a DOM (depth of market) or “price ladder”, lists the resting buy and sell orders at each price near the market. It shows how many contracts are waiting at each level.
Many futures platforms let you place and move orders by clicking on the ladder. It’s quick – which also makes it easy to over-trade or click the wrong side. Practise on a simulator first.
A word of caution: orders in the book can be cancelled at any moment, so a big number on the ladder isn’t a promise that price will stop there.
Market and limit orders
- A market order fills immediately at the best available price. You get filled, but not necessarily at the price you saw.
- A limit order fills only at your price or better. You get your price, but you might not get filled.
- A stop order becomes a market order once price reaches your level. It isn’t guaranteed to fill at your stop price.
Slippage
Slippage is the difference between the price you expected and the price you got. It’s usually small in liquid futures, but it can be large:
- in the seconds around big US data at 13:30 UK,
- at the 14:30 UK US open,
- when the market reopens on Sunday night after weekend news, and
- in thinner overnight hours.
Hypothetical example: you’re short 2 MES with a stop at 6,010.00. A data release jumps the price straight to 6,014.00 and your stop fills there. That’s 16 ticks worse than planned: 16 × $1.25 × 2 = $40 extra loss. Many prop firms restrict trading around major news for this reason – check the firm’s rules.
Volume as a clue
Volume can help you judge whether a move has real participation. A breakout on rising volume is generally taken more seriously than one on thin volume. But volume is a clue, not a signal – it won’t tell you where price goes next.
Key takeaways
- Futures volume and prices come from one central exchange.
- Liquid contracts usually have a one-tick spread; you pay commission and fees per contract.
- The DOM shows resting orders, which can disappear.
- Stop orders aren’t guaranteed fills – slippage is common around news and opens.
Quick check
- What is the bid?
- Which order type guarantees your price but not a fill?
- Name two times when slippage is more likely.
Answers: 1) The highest price a buyer is offering. 2) A limit order. 3) Around major data (13:30 UK), the US open (14:30 UK), the Sunday reopen, and thin overnight hours.
FAQs
Do I need the DOM to trade futures?
No. Plenty of traders use normal charts and order tickets. The DOM is a tool, not a requirement.
Why is my fill different from my demo fill?
Simulators often fill you at the price you click. Live markets don’t, especially in fast conditions.
Disclaimer: This page is general education, not financial, investment or tax advice or a personal recommendation, and it doesn’t take your circumstances into account. Examples are hypothetical, for illustration only, and not an invitation to buy or sell. Learning to trade doesn’t guarantee profits. Past performance is not a reliable guide to future results. Futures, spread bets and CFDs are complex and carry a high risk of losing money quickly because of leverage, and most retail traders lose money. With a real futures account, losses can exceed your deposit. Only trade with money you can afford to lose, and speak to an independent FCA-authorised adviser if you’re unsure. Contract specifications, market hours and margin concepts were checked against CME Group on 18 October 2026 and can change. Read our full risk warning.