Pre-trade futures liquidity as an execution filter

A rank of how readily a book can trade

The historical workflow forms a futures liquidity rank by multiplying contract point value, a three-year maximum price motion, open interest, and a volume adjustment that typically sits between 1 and 4. Relative contract liquidity is a descending rank of how readily an entire futures book can be transacted after scaling for equal-dollar size, outstanding contracts, and a volume adjustment.

Relative liquidity can be shown as a descending comparison in which denser activity marks indicate an easier book to buy and sell, and one or no marks indicate little activity.

Equal-dollar size, open interest, and volume

An equal-dollar contract count can be computed as tick dollar value times the three-year maximum price excursion so different futures share a common profit-scale unit. It states how many contracts of one market must be used so its multi-year price excursion matches another market on a common dollar scale.

Open interest is the stock of outstanding contracts used as a size input when judging how easily a futures book can be traded. The same relative-liquidity score can be restated as equal-dollar contract count times total open interest times a volume factor.

The volume factor is the greater of 1 and an exponential transform of volume against a 5,000-unit baseline. It is a multiplier floored at one that scales the liquidity rank when reported volume sits far from a fixed baseline.

Companion columns stay comparative

Effective percent margin is posted margin dollars divided by the three-year dollar range of the contract and then scaled to a percent, allowing margin outlay to be compared across markets. It expresses capital locked per unit of historical range.

Each column in the screen is a proportional measure and is meaningful only when compared with other entries in that same column.

In cash equities, period volume as a percentage of shares outstanding can be treated as a turnover-rate proxy for trading liquidity.