Bond and interest rate futures: the deepest order books in the world
US Treasury and German Bund futures have some of the deepest order books in the world. A paradise for reading liquidity and absorption, but the movement is slow and the tick is large relative to a typical intraday move.
Order flow in this group
In contracts such as the 10-year Treasury (ZN) or the Bund (FGBL), hundreds or thousands of contracts rest at every level of the book. You can clearly see iceberg orders, liquidity refreshing and when a big player is “holding” the price.
US bond prices are quoted in points and 32nds of a point, which is confusing at first. The tick value depends on the contract.
The key moments are US macro data (CPI, NFP), Treasury auctions and Fed statements. That's when liquidity disappears and comes back within seconds.
Instruments (21)
| Instrument | Symbol | Exchange | Tick value | Order flow |
|---|---|---|---|---|
| 10-Year T-Note one of the deepest books in the world | ZN | CME (CBOT) | 1 tick (1/64 pt) = $15.625 | Model market |
| 5-Year T-Note | ZF | CME (CBOT) | 1 tick (1/128 pt) = $7.8125 | Model market |
| 2-Year T-Note very deep book, little movement | ZT | CME (CBOT) | 1 tick (1/256 pt) = $7.8125 | Good |
| 30-Year T-Bond | ZB | CME (CBOT) | 1 tick (1/32 pt) = $31.25 | Model market |
| Ultra 10-Year T-Note | TN | CME (CBOT) | 1 tick (1/64 pt) = $15.625 | Good |
| Ultra T-Bond | UB | CME (CBOT) | 1 tick (1/32 pt) = $31.25 | Good |
| Micro Treasury Yield (2Y, 5Y, 10Y, 30Y) illiquid, quoted in yield | 2YY, 10Y… | CME | check with the exchange | Limited |
| Three-Month SOFR the market for Fed rate expectations | SR3 | CME | check with the exchange | Good |
| 30-Day Fed Funds important as information, less so for intraday trading | ZQ | CME (CBOT) | check with the exchange | Limited |
| Bund (10-year German government bond) the most important bond contract in Europe | FGBL | Eurex | 1 tick (0.01) = €10 | Model market |
| Bobl (5-year German) | FGBM | Eurex | 1 tick (0.01) = €10 | Model market |
| Schatz (2-year German) | FGBS | Eurex | 1 tick (0.005) = €5 | Good |
| Buxl (30-year German) | FGBX | Eurex | 1 tick (0.02) = €20 | Good |
| OAT (French government bonds) | FOAT | Eurex | check with the exchange | Good |
| BTP (Italian government bonds) | FBTP | Eurex | check with the exchange | Good |
| Long Gilt (UK government bonds) | R | ICE Futures Europe | check with the exchange | Good |
| Euribor 3M | I | ICE Futures Europe | check with the exchange | Limited |
| SONIA 3M | SO3 | ICE Futures Europe | check with the exchange | Limited |
| 10-year Japanese government bonds (JGB) | JGB | Osaka Exchange (JPX) | check with the exchange | Limited |
| 10-year Canadian government bonds (CGB) | CGB | Montréal Exchange | check with the exchange | Limited |
| 3- and 10-year Australian government bonds | YT, XT | ASX | check with the exchange | Limited |
Other groups
- US stock indices
- European and Asian indices
- Currencies (currency futures)
- Energy
- Metals
- Agricultural and livestock commodities
- Volatility and exchange-traded crypto
- Poland: Warsaw Stock Exchange
- US stocks and ETFs
- Options
- Where order flow doesn't work
- All instruments
Frequently asked questions
Are bonds suitable for order flow?
Yes, they have a very deep order book and real data. But they move more slowly than indices, so order flow here is more about reading liquidity than a fast footprint.
What is 1/32 in bond futures?
Treasury prices are quoted in points and 32nds of a point. The contracts have a tick of 1/32 or a fraction of it, depending on the bond's maturity.
Educational content, not investment advice. Exchanges sometimes change contract specifications (tick size, multiplier, hours): check the current specification on the exchange website before trading. The rating concerns suitability for order flow analysis, not profitability. Leveraged futures involve a high risk of losing capital.