The Depth of Market Request
The purpose of the dom request is to provide a specific real-time market data for a quote, for example the bid or ask of a specific price level position for a certain instrument.
The dom request format
dom(SYMBOL, QUOTE_FIELD, POSITION)
dom(SYMBOL, QUOTE_FIELD, VOLUME_TRADES, POSITION)
The SYMBOL parameter is the instrument symbol used in QST for different types of products (futures, options, spreads).
Note
For futures, you can use either the standard symbol, e.g. EGCV20, or the corresponding perpetual symbol, e.g. EGC1- .
Likewise, for future spreads, the standard symbol can be used, e.g. ZCZ20:H21[SP], or the corresponding perpetual symbol, e.g. ZC1-:2-[SP] .
While for option instruments, you can either use the actual symbol of the option, e.g. EWZ20C3400 (E-mini S&P End of Month options), or using the underlying symbol instead, e.g. ESZ20{EW}C3400 .
bd – Bid
ak - Ask
az – Ask Size
bz – Bid Size
volume - Volume
trades - Trades
Note
You can only request one specific piece of information per dom request, e.g. you can request a bid price or an ask price but not both in the same dom request and only from a specific price level position.
Examples of dom request
Requesting the bid price at price level 3 from the ESZ20 (CME E-mini S&P) future:
=RTD("qst.rtd","","dom(ESZ20,bd,3)")
Requesting the bid size at price level 6 from the ECLZ20:F21[SP] (NYMEX Light Sweet Crude Oil) future spread:
=RTD("qst.rtd","","dom(ECLZ20:F21[SP],bz,6)")
Requesting the ask size at price level 0 from the 6EZ20{EPM}C11650 (CME EUR/USD Premium) European option:
=RTD("qst.rtd","","dom(6EZ20{EPM}C11650,az,0)")
Requesting the volume at the ask level 9 from the second trading month of the ECL (NYMEX Light Sweet Crude Oil) future:
=RTD("qst.rtd","","dom(ECL2-,ak,volume,9)")