Futures liquidity filter with equal-dollar size and effective margin

Ordering markets by relative contract liquidity

A futures liquidity rank can be assembled as contract point value multiplied by a three-year maximum price motion, then by openInterest, then by a volumeFactor usually set between 1 and 4 when volume is unusually low or high. The finished rank orders markets from easiest to hardest to buy and sell across all outstanding contracts.

Markets with little trading activity

Contracts that display a single activity mark or none are treated as poor candidates for speculative execution because they show little trading activity.

Equal-dollar contract counts

Cross-market contract counts are equalized by multiplying contract value by the largest price change observed over three years, so every count in that series represents the same dollar amount.

contractsToTradeForEqualDollarSize is the number of contracts of one market required so that its threeYearMaximumPriceExcursion matches that of the other listed markets. threeYearMaximumPriceExcursion is the largest price move observed over a trailing three-year window, converted to dollars with tick or point value.

Assembling relative contract liquidity

relativeContractLiquidity is a descending cross-market rank built from equal-dollar contract count, openInterest, and a volume adjustment, used to judge how easily a market’s outstanding contracts can be bought or sold.

Relative contract liquidity is the equal-dollar contract count multiplied by total openInterest and by a volumeFactor defined as the greater of 1 or an exponential log-volume adjustment that uses 5,000 contracts as the reference and subtracts 2. volumeFactor is a multiplier, typically between one and four, that adjusts the liquidity product when volume is unusually low or high. openInterest is the count of outstanding contracts used as a capacity input in the liquidity product.

Posted margin and effective margin

percentMargin is posted margin expressed as a percentage of contemporaneous contract value. effectivePercentMargin is posted margin in dollars divided by the contract’s three-year dollar price range, then multiplied by one hundred, used to compare how hard collateral works against historical motion.

Posted percent margin and effective percent margin are paired so collateral can be compared across contracts before size is chosen.

How the columns are read

Each constructed column is a proportional figure and is meaningful only when one contract is compared with others in the same column.

For listed shares, period volume divided by shares outstanding is used as a turnover-rate stand-in for trading liquidity. That stand-in is shareTurnover: period volume expressed as a percentage of shares outstanding, used as a liquidity proxy in listed equities.