Screen futures liquidity with open interest and equal dollar size

A pre-trade liquidity screen

A liquidityFilter is a pre-trade screen that keeps only futures contracts whose activity, open interest, and implementation cost look executable. A futures liquidity ranking can mark each listed contract so that more marks mean more trading activity and one mark or none means little activity.

openInterestAnalysis uses outstanding open futures positions as a size-capacity input when judging whether a contract can be entered and exited.

How the ranking is built

The ranking is produced by multiplying contract point value, a three-year maximum price move, the contract's open interest, and a volumeFactor. That volume adjustment is usually between one and four.

The volumeFactor is the greater of one and the exponential of the natural log of volume divided by the natural log of 5000, minus two. It raises or lowers a liquidity rank when traded volume is unusually low or high.

Equal dollar size

Markets on the list are equalized by stating how many contracts of each futures product must be traded so each line represents the same three-year dollar price range.

contractsToTradeForEqualDollarSize is that equalizing contract count. It is defined as tick dollar value multiplied by the three-year maximum price excursion, so every entry in that column sits on the same dollar footing.

Relative contract liquidity

relativeContractLiquidity is a comparative score of how easily a listed futures product can be bought and sold. It is defined as the equalizing contract count times total open interest times a volume factor.

Margin lock-up and share turnover

effectivePercentMargin is margin value divided by the three-year range of contract dollar value, then multiplied by one hundred, to compare margin lock-up against each market's historical dollar swing.

For listed shares, shareTurnover treats period volume expressed as a percentage of shares outstanding as a turnover-rate proxy for trading liquidity.