Open-interest liquidity filter for futures contract selection

A common executable scale

The archive workflow rebuilds every listed future onto one executable scale. Open interest, a three-year dollar range, and a volume adjustment are used to judge which market can be entered and exited. Futures contract selection is the later choice among listed expiries and products after each market has been restated on that common dollar-range and liquidity scale.

A liquidity filter is a pre-trade screen that ranks listed futures by how readily a position can be implemented, using size, range, activity, and open interest rather than a price forecast. Open interest analysis uses outstanding contract inventory as a capacity input so a market is judged by how much size is already on, not only by recent prints.

Equal-dollar contract count

Markets are first equalized by counting how many contracts produce the same dollar profit potential. That equal-dollar contract count uses contract or tick dollar value times the three-year maximum price excursion.

The price-move input is taken from a three-year window of maximum conceivable or observed price travel. That lookback is the three-year dollar range used when converting a contract into comparable dollars.

Relative contract liquidity and the volume factor

A relative futures-liquidity score can be constructed as the product of contract point value, a historically observed maximum price move, open interest, and a volume adjustment. Relative contract liquidity is then the equal-dollar contract count multiplied by total open interest and by a volume factor. The rank is comparative and is meaningful only against other contracts in the same construction.

The volume factor is the greater of 1 and exp(ln(volume) / ln(5000) - 2). It is described as typically falling in a 1-to-4 range when activity is unusually low or high. The multiplier lifts very active markets and floors thin ones so raw open interest is not treated as executable size by itself.

Effective percent margin and thin activity

Effective percent margin is constructed as margin dollars divided by the three-year dollar range of the contract, then multiplied by 100. Posted margin is thereby expressed as a share of the contract's multi-year dollar range, so capital use is compared to realized travel rather than face value alone.

Contracts showing one activity mark or none are treated as having little trading activity and therefore as weaker candidates for speculative execution. For listed shares, period volume as a percentage of shares outstanding is offered as a turnover-rate proxy for trading liquidity.