joshnathan
Newbie
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Hello All,
I've set myself the small task of looking at a futures index and seeing how liquid it potentially is.
I've listed 5 years worth of data for the data, month of expiration, the open, the high, the close, sett, change, volume traded, eps, efs, open int and pre day vol. So far i've been looking at the following.
Moving 30 day volume traded for specific sets of futures so forward months atm.
I've also looked at the price spread on a given day vs the volume traded.
However i don't know if these will help me look at market liquidity.
Given the data i have what graphs or just data will help me see how liquid a market truly is.
I've set myself the small task of looking at a futures index and seeing how liquid it potentially is.
I've listed 5 years worth of data for the data, month of expiration, the open, the high, the close, sett, change, volume traded, eps, efs, open int and pre day vol. So far i've been looking at the following.
Moving 30 day volume traded for specific sets of futures so forward months atm.
I've also looked at the price spread on a given day vs the volume traded.
However i don't know if these will help me look at market liquidity.
Given the data i have what graphs or just data will help me see how liquid a market truly is.
