Futures liquidity

[esignal1611]

I am looking for futures liquidity information for the various symbols that eSignal provide.

I looked at IB brokers for margin requirements but could not find how many contracts (daily, monthly) the futures trade or the growth over time. I don't know what constitues "thinly traded contracts" from eSignal's pages.

I am particular interested in the smaller futures i.e. mini's

Thanks.

[JayF]

esignal1611,

Liquidity is a measure of how quickly something can be converted into cash, so the only real measure I know of for liquidity is volume. A "thinly traded contract" is simply just a contract that doesn't trade very much, and thus having a relatively low liquidity. You imply that you are looking for longer term volume growth, and to see that I would suggest a Daily or Weekly chart using a continuation symbol with the volume study on it. (i.e. YM #F, CL #F)

Did that answer your question, or are you looking for something more specific?

[Gavishti]

Like Jay said, it sounds like you are looking for volume numbers. You should be able to find these at the GLOBEX (CME) and eCBOT (CBOT) web sites. My recollection is that they are downloadable files with monthly statistics.

[esignal1611]

Average Range for futures

Thanks for all your help I found some volume information at :-

http://www.cme.com/dta/hist/monthly_volume.html

Does anyone know where I can get the average daily movement (range) of these futures ?

I think this would be helpful in money management .

[ScottJ]

Re: Average Range for futures

Maybe I'm missing the point but wouldn't you just use a daily bar chart or candlestick to see the trading range each day? To go back to past contracts, use #F ( i.e. ES #F).

Originally posted by esignal1611
Does anyone know where I can get the average daily movement (range) of these futures ?

Thanks.

[DuaneG]

Hi eSignal1611,

You may want to take a look at the following thread. Depending on the average that you are wanting to sample, you will most likely want to change the amount of days to average. In the screenshot below, I changed the amount of days averaged to 20.



I set the average amount of days through "Edit Studies"



Hope this helps.

[Bob A.]

I look at both volume ( for liquidity ) and daily range among other things to assess "tradeability" of one futures contract vs. another. To a daily chart, in addition to volume I suggest you add the DailyRangeHist.efs which Chris C. kindly coded up for me last year. You can find it in Specialty Scripts - Miscellaneous. It gives you two adjustable MAs. For example, using 20 day and say 200 day MAs along with a volume MA you will see why so many futures day traders have switched from the ES and NQ to the Euro (6E #F) and the Russell 2K (AB #F).

Regards,
Bob