Most liquid futures contracts

Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
Post Reply
Chelonia
Roundtable Knight
Roundtable Knight
Posts: 497
Joined: Mon Apr 30, 2007 3:37 pm

Most liquid futures contracts

Post by Chelonia » Wed Jun 25, 2008 12:39 pm

Hi,

Does anyone know where to find information on what the most liquid futures contracts are (globally).

Many thanks

sluggo
Roundtable Knight
Roundtable Knight
Posts: 2986
Joined: Fri Jun 11, 2004 2:50 pm

Post by sluggo » Wed Jun 25, 2008 1:11 pm

Maybe you've seen this column, it's a regular feature in every issue of the magazine.

http://www.traders.com/Documentation/FE ... utLiq.html

They define liquidity their way. If you don't like their definition, you can invent your own definition and write a Trading Blox script that calculates liquidity your way. Run it on a bunch of different markets, slurp the results into Excel, and hit the "Sort" button. Voila! A ranked list of futures market liquidity (using your definition), from most liquid, to least.

Another resource for those who have access to CSI Unfair Advantage, is the Database / Market Specifications sheet. Maximize it to full screen and have a look at the column headings over on the far right. Maybe some of that data would be helpful in assessing liquidity. You can click on a column heading and UA will sort the data on that criterion. Could be beneficial.

Finally, search for a thread on this site titled "World's highest volume markets that you don't trade"

Angelo
Roundtable Fellow
Roundtable Fellow
Posts: 90
Joined: Fri Apr 29, 2005 4:31 am
Location: Italy

Post by Angelo » Thu Jun 26, 2008 5:59 am

This piece of information, courtesy of Mark Johnson, seems interesting too:

viewtopic.php?t=5106

Chelonia
Roundtable Knight
Roundtable Knight
Posts: 497
Joined: Mon Apr 30, 2007 3:37 pm

Post by Chelonia » Thu Jul 03, 2008 1:11 pm

Thanks for your information. Over the last year liquidity in many futures markets became a real issue with floors closing down. Where are the days you could just run a 100 lot stop order in cocoa with discretion through the floor guys?! Over the last 6 months we had to take many contracts out of the portfolio due to that. Maybe it´s worth shorting the e exchanges as they will have no business left if they continue like this. One of there rules now is that you can only run stop limit orders with a maximum price difference. That price difference is so minimal that you end up unprotected when it trades through your limit being partially filled or not at all. Doesn´t get easier does it!?

Angelo
Roundtable Fellow
Roundtable Fellow
Posts: 90
Joined: Fri Apr 29, 2005 4:31 am
Location: Italy

Post by Angelo » Fri Jul 04, 2008 4:00 am

If you browse the forum you will find that there's some people (including nickname "Forum management" ) that had the same positive/nostalgic view of the pit trading.

Some years ago, we traded some size on the LIFFE BTP (Italian bond) future, using highly recognized brokers; based on this experience, I don't have any regrets about pit's disappearance.

Having the chance to see the real time trading with an old "black and white" CQG monitor, we soon discovered that the "fast market rules" could easily become a legalized way to steal our money.
I remember instances in which we were sure to get a fill, because market traded well whitin our limit prices, just to discover- maybe ten or twenty minutes later, that we weren't be filled and we were sitting on a sizeable loss.

In these days I had the feelings the pit guys were competing with each other but they all shared a "us" against "them" mentality.

So, I think the nostalgic view of the past is most likely to be shared with people forming the "us" crew (or standing near, more than the average trader) than the "them" ones.

Now, in fast market conditions, I can screw up things just as easily as in the past. But - to the very least - now I always know in real time if my order is filled or not. And - allow me to tell - I know that in Friday's evenings no pit trader is going to drink champagne with my money.

But I agree with you: it doesn't get easier.
But maybe it's just the same in other fields too, e.g. in athletic: it doesn't get easier to run the 100m with the best, does it?

PS Happy fourth of July to all US forum participants.

Dean Hoffman
Roundtable Fellow
Roundtable Fellow
Posts: 87
Joined: Wed Jul 02, 2003 3:04 pm

Post by Dean Hoffman » Sun Jul 06, 2008 1:40 pm

Chelonia

If you sign up for CSI data you get access to their data table which gives you the “Average Total Volume (1 year)â€
Attachments
markets.zip
(876.86 KiB) Downloaded 868 times

Post Reply