Filter futures orders by liquidity, open interest, and volume

What the pre-trade screen measures

A liquidity filter is a pre-trade screen that ranks listed markets by how readily a position can be opened and closed. It uses activity, outstanding size, and range-adjusted contract value rather than a directional thesis.

Open interest analysis reads outstanding contract count as a capacity multiplier so a market with more open positions ranks as easier to enter and exit than an otherwise similar listing. Volume confirmation then scales a liquidity rank by recent trading activity so a wide historical range or large contract value cannot produce a high rank when the session is thin.

How the liquidity rank is assembled

A futures liquidity rank can be assembled by multiplying contract point value, a three-year maximum price motion, open interest, and an activity factor usually between 1 and 4.

The same relative contract liquidity score can be written as the equal-dollar contract count times total open interest times a volume factor. Relative contract liquidity is a comparative score of how easily the full set of contracts in one futures market can be bought or sold versus other listed markets in the same table.

The equal-dollar contract count equals tick dollar value times the three-year maximum price excursion, so every entry in that column shares one dollar scale. It states how many contracts of one listing must be traded so that the three-year dollar price excursion matches that of another listing.

Volume confirmation

The volume factor is the greater of 1 and an exponential of the natural log of volume divided by the natural log of 5000, minus 2. Used as volume confirmation, that factor keeps a thin session from inheriting a high rank from contract size or historical range alone.

Margin, range, and the equity analogue

Effective percent margin equals margin dollars divided by the three-year dollar range of the contract, then multiplied by one hundred. It compares capital locked per unit of historical range.

For equities, period volume as a percentage of shares outstanding is presented as a turnover-rate proxy for trading liquidity. That share turnover figure is an equity proxy for how readily a security can be traded, not a substitute for the futures rank.

How to read the columns

Each liquidity column is a proportional comparison only. Sparse activity marks correspond to little trading activity and a lower rank than dense marks.