Click on the Order Book icon in the cmdtyView for Excel ribbon to quickly view the current list of working orders at various price levels (depth of market or market depth) for a futures contract.
(Note: Market depth data is available only for users permissioned for real time futures data. If the futures exchange is not permissioned for real-time data, only ‘top-o-book’ will display)
Add the Order Book
After clicking on the Order Book icon, use the symbol search by entering in keywords to find the contract or use the symbol tree and search by exchange or category.
Once the contract is found, double click to move it to the right pane of the dialogue. Select multiple contracts by highlighting and then drag and dropping them into the right pane.
Two Views are available for Order Book data: DOM (default) and Market Depth. The DOM view provides a ‘stacked’ view of the order book while the Market Depth view displays the data in a ‘side-by-side’ view. DOM and Market depth views for NYMEX Crude Oil below.
By default, ‘Highlight Size’ (bid and ask quantities), ‘Show Volume at Price’ (VAP) and ‘Highlight Volume at Price’ are all selected for the DOM view (Market Depth view does not support VAP). To remove these from view, uncheck the boxes.
Once all selections are made, click Insert to add the Order Book to the worksheet.
