Glossary · Microstructure
Depth of market (DOM) is the live order book — a ladder showing every resting buy order (bid) and every resting sell order (offer) at every price level, in real time. It reveals where the size is, where the walls are forming, and how the queue is changing as orders arrive, fill, and pull. Sometimes called Level 2 in equities or the order book in crypto.
The DOM is the rawest microstructure read available. Everything else — charts, footprints, heatmaps — is a visualization or aggregation of what the DOM is showing live.
“The depth of market is a live price ladder showing the resting bid and offer size queued at each price.”
A DOM ladder typically displays as a vertical column. Price runs top-to-bottom in tick increments. For each price level, the ladder shows resting size on the bid side (left or one color) and resting size on the offer side (right or another color). The best bid and best offer (the inside spread) sit at the boundary — everything above is the offer side; everything below is the bid side.
As the market moves, levels shift. As orders arrive or pull, the size numbers update. As trades execute, volume gets recorded at the corresponding tick. Most DOM tools also show executed volume per level alongside the resting size, so you see both “what’s waiting to trade” and “what already traded.”
Most retail platforms show 5-10 levels of depth. Professional tools show many more. Sharpnel ships a deep DOM ladder with imbalance flashes (large prints flash on the row they hit), pull/stack detection, and resting-liquidity references.
Sharpnel Trading — $125/mo
Deep DOM ladder with imbalance flashes (large prints flash on the row they hit), pull/stack detection, GEX wall overlay, and a paper-trading DOM on Pro tier. A native desktop terminal for Windows.
Heatmap-specialist tools — $40-80/mo
Render the DOM as a time × price heatmap rather than a vertical ladder — the depth-as-intensity view that pioneered the heatmap category. Java desktop.
Specialist DOM-ladder desktop apps — ~$550/yr
Specialist ladder tools with reconstructed-tape integration. Windows desktop only. Beloved by old-school tape readers.
Power-user desktop platforms
Several Windows desktop platforms ship traditional DOM ladders with extensive customization. Differ in style and ecosystem more than substance for the core ladder.
Depth of market is the live order book of a market — a ladder showing every resting buy order (bid) and every resting sell order (offer) at every price level, in real time. It tells you how much size is sitting on each side, where the walls are, and how the queue is changing. Sometimes called Level 2 in equities, the order book in crypto, or the DOM ladder in futures.
Level 1 shows only the best bid and best offer — the inside spread. Level 2 (the DOM) shows multiple levels of depth on both sides — typically ten or more levels deep depending on the platform. A Level 1 quote tells you the current price; the DOM tells you the structure around the price, which is what reveals where price is likely to react.
A wall is a single resting order (or stack of orders) that's much larger than typical size at that price level. A 500-contract bid in ES sitting at 5500 when most levels show 30-80 contracts is a wall — it acts as visible support that aggressive sellers have to chew through to push price below 5500. Walls can be real (institutional resting size) or fake (spoofs designed to influence other traders that get pulled before they execute).
A spoof is a large resting order placed to manipulate other traders' read of the book — designed to be canceled (pulled) before it executes. A trader places a 1,000-contract sell offer at 5505 to convince other participants there's heavy resistance, expecting them to short or take profit, then cancels the offer the moment the spoof has done its job. Spoofing is illegal in regulated markets but still common in crypto and other less-regulated venues. DOM tools that flag rapid pull/replace patterns help traders identify suspected spoofs.
All futures-focused trading platforms show some form of DOM ladder. Heatmap-specialist tools overlay the DOM as a time × price intensity map. Power-user desktop platforms show traditional ladder DOMs with extensive customization. Sharpnel Trading ships a deep DOM ladder with pull/stack detection and a depth heatmap in a native desktop terminal for Windows at $125/mo. Most general-purpose charting platforms have a basic DOM but don't match the depth, customization, or specialized features of futures-native tools.
Watch a live DOM ladder with imbalance flashes and a GEX overlay in the Sharpnel terminal. Free Explorer tier on 15-minute delayed data, no credit card.
Today’s free read
The ES/NQ dealer-gamma map — the walls, the flip point, the regime — free every morning, yesterday’s levels graded in the open.
