Filter unexecutable futures by liquidity, open interest, and margin

A pre-trade screen for listed futures

A futures liquidity filter can rank contracts by combining point value, the largest three-year price excursion, open interest, and a volume adjustment, then scoring activity so thicker books sit above thinner ones. The screen ranks how readily size can be bought or sold and rejects thin markets before an order is placed.

Rank contracts by how readily size trades

The liquidity filter uses activity intensity, historical range, and volume so thin markets are rejected before an order is placed. Contracts with one activity mark or none are treated as harder to enter and exit and therefore less suitable for speculative tickets.

Put every listed market on one dollar scale

The equal-dollar contract count is tick dollar value multiplied by the three-year maximum price excursion. That step places every listed market on one potential-dollar scale before liquidity is compared, so ranks are not distorted by contract size.

Let open interest decide whether the ticket fits

Relative contract liquidity is that equal-dollar contract count times total open interest times a volume factor, so open-interest analysis sits at the center of the execution rank. The sizing check multiplies the equal-dollar contract count by outstanding open interest so the book, not just recent prints, decides whether the ticket is absorbable.

Adjust the rank for trading activity

The volume factor is the greater of 1 and the exponential of the natural log of volume divided by the natural log of 5,000, minus 2. The scalar lifts busy markets and penalizes quiet ones against a 5,000-contract baseline.

Read posted margin against the three-year range

Posted percent margin and effective percent margin must be read together. Effective percent margin is margin dollars divided by the three-year dollar range of the contract, then scaled to a percentage. Commission analysis compares face margin against that range-adjusted figure so implementation cost is judged from dollars at risk, not the posted percentage alone.

Face margin can understate implementation cost. Eurodollar, two-year notes, and 30-day fed funds showed 0.1, 0.1, and 0 percent posted margin but 81.9, 26.7, and 85.6 percent effective margin, and needed 507, 183, and 873 contracts on the equal-dollar scale.

Compare rows, not isolated figures

Figures in any one comparison column are proportional and only meaningful against other rows in that column, because every contract is already scaled to a common dollar-profit unit.

An equity analog for activity

Equity trading activity can serve as a liquidity proxy when period volume is expressed as a percentage of shares outstanding. That share-turnover rate is the turnover of the float.