Futures Bid Size vs. Ask Size Explained
Learn what futures bid size and ask size mean, how displayed depth affects execution, why book imbalance is not a directional signal, and how MBP differs from MBO.
Direct answer
Futures bid size is the displayed quantity at the best bid; ask size is the displayed quantity at the best ask. They show current book interest, not completed volume or guaranteed liquidity. A larger bid than ask can matter for execution, but it is not a reliable directional signal because orders can be added, canceled, matched, or refreshed.
Bid size and ask size describe displayed quantity
The best bid is the highest displayed buy price. Bid size is the quantity shown at that price. The best ask is the lowest displayed sell price, and ask size is the quantity shown there.
A quote of 5,000.00 bid with size 18 and 5,000.25 ask with size 7 means 18 contracts are displayed to buy at the bid and 7 are displayed to sell at the ask at that instant.
The units still need verification. A platform may show contracts, lots, aggregated venue data, delayed data, or only selected depth.
Futures bid-ask spread and slippage explains the price gap. Size answers a different question: how much displayed quantity sits at each price.
Displayed size is not inventory reserved for your order
Displayed quantity can change before an order reaches the matching engine. Other participants can trade, cancel, modify, add, or refresh orders.
A marketable order smaller than the displayed size can still receive a different result if the book changes first. A larger order can trade across several price levels or leave a remainder.
Queue priority also matters. A resting order behind earlier eligible interest may not fill even when trades occur at its price.
Futures order-book priority explains why a visible quantity is not a personal reservation.
Worked example: a 20-contract buy walks the ask
Assume the visible ask side is:
If the book does not change, a marketable buy for 20 contracts would take 7 at 5,000.25, 9 at 5,000.50, and 4 at 5,000.75.
The weighted average fill is 5,000.4625.
Relative to the original best ask of 5,000.25, the average difference is 0.2125 point, or 0.85 tick when the tick size is 0.25.
With a $50 point multiplier, the extra cash cost versus filling all 20 at the original best ask is 0.2125 × $50 × 20 = $212.50.
This is a static illustration, not a fill forecast. Real depth can change while the order is being processed.
- 5,000.25 for 7 contracts
- 5,000.50 for 9 contracts
- 5,000.75 for 12 contracts
Bid-versus-ask imbalance is not a price forecast
Suppose top size is 18 bid versus 7 ask. The displayed bid is about 2.57 times the ask size.
That snapshot can affect immediate execution context, but it does not prove that price will rise. The bid can be canceled, matched, replaced, or offset by sell interest at other levels.
The same caution applies to a large ask. Size can reflect liquidity provision, hedging, queue position, one temporary order, or many smaller orders.
Treat imbalance as book context. Confirm actual trades and price response rather than turning one size ratio into a directional signal.
MBP and MBO can make depth screens look different
CME describes Market by Price as an aggregated view of total quantity and order count at each displayed price level. Its MBP feed is limited to a stated number of price levels.
Market by Order can show anonymous individual orders, their sizes, and full book depth. It preserves more detail about how total quantity is composed.
A broker or data vendor can present only part of either feed. Two screens can therefore show different depth without either one representing the complete future book at the same moment.
Order book versus Time and Sales explains why resting interest and executed trades are different records.
Use a depth checklist before judging liquidity
- Confirm the exact futures product and contract month - Record the quote timestamp and whether data is real-time or delayed - Verify the unit used for bid and ask size - Check the best price and several nearby depth levels - Compare your order quantity with visible quantity across those levels - Identify whether the display is MBP, MBO, or a vendor-defined view - Record order type, fills, remaining quantity, and weighted average price [!TRYMARK] Futures depth checkpoint At a named time on September 18, record the contract month, best bid and ask, both sizes, three depth levels, feed type, planned quantity, and tick value before estimating an executable average price.
Displayed depth is evidence about the current order book, not a promise that the same quantity will remain available.
Common questions
Is futures bid size the number of contracts I can definitely sell?
No. It is displayed buying interest at that observation. Other orders may trade or cancel before yours arrives, and priority or market controls can change the result.
Why is ask size smaller than my order?
Only that quantity is displayed at the best ask. A larger marketable buy may interact with additional ask levels, partly fill, or face a changed book before matching.
Does a larger bid size mean futures will go up?
No. A size imbalance can disappear without trading and can reflect many motives. It is not enough by itself to predict the next price move.
Why do two platforms show different bid and ask sizes?
They can use different feeds, depth limits, aggregation, permissions, timestamps, or delays. Match the exact contract, feed definition, and time before treating the displays as contradictory.