Andrew Greene claims the character Nicky "Rugrat" Koskoff is based on him.
Mr Greene worked at Stratton Oakmont, the brokerage house founded by Jordan Belfort, played by DiCaprio.
The judge granted Mr Greene's motion to compel a deposition in New York on Thursday, Hollywood Reporter said.
The Wolf of Wall Street, directed by Martin Scorsese, saw DiCaprio play real-life swindling stockbroker Belfort and was based on his memoirs.
Mr Greene is suing producers including Paramount Pictures, Red Granite Pictures, DiCaprio's Appian Way Productions and Sikelia Productions.
The character of Nicky "Rugrat" Koskoff  wore a toupee and was the subject of the movie line "swear to God, I want to choke him to death". He was played by PJ Byrne.
Mr Green said the film changed his nickname from "Wigwam" to "Rugrat," adding it spread untruths about him and that damages to his reputation were worth $15m (£10.5m).
The claims were rejected, but a judge allowed the claimant to assert instead that the filmmakers maliciously libelled him.
Thursday's hearing, chaired by magistrate judge Steven Locke, overruled arguments that DiCaprio's testimony only serves as harassment and coercion.
The defendants had argued Scorsese and screenwriter Terence Winter had already testified, and that the claimants had not stated why they needed DiCaprio to testify as he did not write the screenplay or play the character.
Mr Greene has said he worked at Stratton Oakmont between 1993 and 1996 as the head of the firm's corporate finance department and a member of the board of directors.
He has also said he did not consent to his image, likeness and characterisation being used in The Wolf of Wall Street.
The film was a major box office hit and was nominated for five Oscars, including best picture and best actor for Leonardo DiCaprio in 2014.
A judge has ordered Leonardo DiCaprio to testify in court in the case brought by an ex-stockbroker who alleges The Wolf of Wall Street depicted him as a "depraved" drug-fuelled criminal.