2 posts tagged with "Futures"

The Sunday evening futures open at 18:00 ET is one of the most informative windows of the week. It is the first price discovery after two days without electronic trading, and it sets the tone for overnight flow heading into Monday. On March 15, 2026, we captured tick-level trade and bid/ask data for MES using ib-interface and the IBKR TWS API. This post breaks down what the data shows.

The Micro E-mini S&P 500 (MES) contract has become one of the most actively traded instruments on the CME. At one-tenth the size of the standard ES contract, MES opens the door for retail and systematic traders to engage with S&P 500 futures without the capital requirements of ES. But to trade it well -- particularly at tick-level frequencies -- you need a working understanding of market microstructure.

This post walks through the structure of the MES order book, tick-level data characteristics, and a few basic algorithmic approaches you can implement with ib-interface.