Open interest analysis · TradersWeek

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Output: Research filter
Input: Order book, spread, volume, auction and trading costs
Horizon: Seconds to the order life cycle
Best use: Choose an executable order and account for implementation cost.

Input: Order book, spread, volume, auction and trading costs.
Output: filter.
Use boundary: Choose an executable order and account for implementation cost.

The graph3

How the method is built, and where it has been read

Depends on

Often reviewed together

Volume-price analysis5 readings

Often reviewed together

Moving average6 readings

Often reviewed together

Put-call ratio7 readings

Read in the archive24 of 46 readings

2007Ethanol futures liquidity lagged the policy boomLiquidity and costs 2010Relative liquidity ranking for futures contract selectionLiquidity and costs 2010A liquidity filter for executable futures contract selectionLiquidity and costs 2010Screening futures by liquidity, open interest, and equal-dollar sizeLiquidity and costs 2010Ranking futures liquidity for executable contract choiceLiquidity and costs 2010Liquidity and open interest screens for futures selectionLiquidity and costs 2010Ranking futures by open interest and equal-dollar liquidityLiquidity and costs 2011Liquidity filter for futures contract selectionLiquidity and costs 2011Futures liquidity rank as an execution filterLiquidity and costs 2011Filtering futures by liquidity, open interest and equal-dollar sizeLiquidity and costs 2011Liquidity and open interest as a screen for futures selectionLiquidity and costs 2011A futures liquidity filter for equal-dollar executionLiquidity and costs 2012Ranking futures liquidity before choosing a contractLiquidity and costs 2013Liquidity-first futures contract selectionLiquidity and costs 2013Equal-dollar liquidity filter for futures contract choiceLiquidity and costs 2013Futures liquidity filters for executable contract selectionLiquidity and costs 2013Filter listed futures by liquidity and open interest firstLiquidity and costs 2013Ranking listed futures by liquidity and equal-dollar sizeLiquidity and costs 2013A pre-trade liquidity filter for futures contract selectionLiquidity and costs 2014Rank futures liquidity before selecting the contractLiquidity and costs 2014Filter futures by equal-dollar liquidity and open interestLiquidity and costs 2015Filter futures contracts by liquidity and open interestLiquidity and costs 2015A two-stage liquidity filter for futures contract selectionLiquidity and costs 2015Screen futures contracts by liquidity and open interestLiquidity and costs

This registry entry describes a research method. It is not investment advice and does not make a performance claim.