US index futures and order flow: S&P 500, Nasdaq, Dow Jones, Russell
US index futures on the CME are the best place in the world to learn and apply order flow: one central order book, huge liquidity almost around the clock and trade-by-trade data. This is the group I work with every day.
Order flow in this group
E-mini and Micro E-mini are the same markets in different sizes. The micros (MES, MNQ, MYM, M2K) are one tenth the value of the E-minis but have less liquidity of their own: large orders and absorption are often easier to see on the E-mini, and the micro follows it through arbitrage.
The best time for order flow is the regular US session (9:30 AM–4:00 PM New York time, 15:30–22:00 in Warsaw), especially the open, the Initial Balance and the last hour with the closing auction. Overnight, the book is thinner.
US macro data (CPI, NFP, Fed decisions) changes liquidity in a fraction of a second: the book disappears before the release, and the first seconds after it are a race between algorithms. I describe it minute by minute in the article on NFP.
Instruments (11)
| Instrument | Symbol | Exchange | Tick value | Order flow |
|---|---|---|---|---|
| E-mini S&P 500 the most liquid index contract in the world | ES | CME | 1 tick (0.25 pt) = $12.50 | Model market |
| Micro E-mini S&P 500 the same market as ES at 1/10 the size | MES | CME | 1 tick (0.25 pt) = $1.25 | Model market |
| E-mini Nasdaq-100 fast and volatile, thinner book than ES | NQ | CME | 1 tick (0.25 pt) = $5 | Model market |
| Micro E-mini Nasdaq-100 | MNQ | CME | 1 tick (0.25 pt) = $0.50 | Model market |
| E-mini Dow ($5) calmer, readable footprint | YM | CME (CBOT) | 1 tick (1 pt) = $5 | Model market |
| Micro E-mini Dow the contract I trade | MYM | CME (CBOT) | 1 tick (1 pt) = $0.50 | Model market |
| E-mini Russell 2000 small caps, less liquidity, sharp moves | RTY | CME | 1 tick (0.10 pt) = $5 | Good |
| Micro E-mini Russell 2000 | M2K | CME | 1 tick (0.10 pt) = $0.50 | Good |
| E-mini S&P MidCap 400 little trading outside the regular session | EMD | CME | 1 tick (0.10 pt) = $10 | Limited |
| Nikkei 225 in USD the Nikkei trades more liquidly in Osaka and Singapore | NKD | CME | 1 tick (5 pts) = $25 | Limited |
| E-mini S&P Select Sector (e.g. XAF, XAE) sector contracts see little trading | X.. | CME | check with the exchange | Limited |
Other groups
- European and Asian indices
- Interest rates and bonds
- 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
Which index contract is best for order flow?
The E-mini S&P 500 (ES) has the most liquidity and the deepest book. The Nasdaq (NQ) moves faster; the Dow (YM) and Russell (RTY) are calmer and thinner.
Does order flow work on micro contracts?
Yes, the data is real, but a micro contract's book is thinner. Many traders read order flow on the E-mini and trade the micro.
Which contract do you trade?
MYM, the Micro E-mini Dow on the CME (CBOT), with YM in the background for context.
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.