Implied orders (implied in and implied out)
Implied orders are prices the exchange derives by combining orders across related books. Implied in: two outright orders create a price in the spread book. Implied out: a spread order and an outright order in one leg create a price in the other leg's outright book. They let liquidity in one market fill orders in another.
Senzoukria · Glossary · Updated September 2026
Definition
CME describes an implied order as an order the platform identifies in a spread market from orders in the outright markets (implied in), or in an outright market from a combination of a spread order and an outright order in one leg (implied out). Implication needs at least two orders in related markets, and implied bids do not trade against implied offers. The engine matches such combinations so that no participant is filled on one leg but not the other.
Worked example
Take a December contract (Z) and a March contract (H), with the spread quoted as Z minus H.
- Implied in: a resting Z bid at 5,000.00 and a resting H offer at 5,050.25. Someone selling the spread (sell Z, buy H) could fill both, so the combination acts as a spread bid at 5,000.00 − 5,050.25 = -50.25.
- Implied out: a resting spread bid at -50.00 (buy Z, sell H) and a resting H bid at 5,049.00. The H legs offset, leaving a buyer of Z, so the combination acts as a Z bid at -50.00 + 5,049.00 = 4,999.00.
Why it matters for depth readers
Part of the size on an outright ladder can be implied from other books. It can appear or vanish because an order moved in the spread market or in the other leg, not because anyone touched the outright. A level that disappears with no trade may be a pulled order, or the side effect of a change elsewhere. Exchange data feeds publish implied prices separately from direct orders; whether a vendor merges them into the depth it delivers, or leaves them out, is a property of that feed.
- Implied depth is real in the sense that it can be traded against.
- Its presence depends on two other books staying put.
- It is most relevant around rolls, when spread books are busiest.
In Senzoukria
The DOM ladder and the heatmap draw the price levels and sizes the connected feed delivers. They do not tag any part of a level as implied, so the application cannot tell you whether a given size came from a direct or an implied order. When that distinction matters, check how your data provider constructs its book.
Common mistakes
- Reading a vanished implied level as spoofing in the outright market.
- Assuming every feed includes implied prices in its depth.
- Forgetting that the implied price updates when either contributing order changes.
Related
In the same section
- Implied volatility
- Implementation shortfall
- In-sample vs out-of-sample
- Immediate-or-cancel order
- Inactivity rule
- Imbalance ratio
- Index arbitrage
- Imbalance
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Frequently asked questions
- Can I trade against an implied bid?
- Yes. An implied price is executable: if you hit it, the engine fills the combination of orders that created it. What you cannot see from the outright ladder is which orders stand behind it.
- Do implied bids and offers trade with each other?
- No. CME's rules state that implied bids do not trade against implied offers; implied liquidity trades against direct orders. This is also why implied bids and offers can sit at the same or even inverted prices.