Market Microstructure and Depth of Market for MES Futures
ยท 7 min read
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.