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gtleblanc
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Joined: July 7th, 2010, 7:41 am

Commodity Future Contract Liquidity

July 9th, 2010, 9:42 am

I am currently trying to write a function from which i can gage specific commodity future contract liquidity. I am currently using a calculation which heavily relies on Open Interest and Trade Volume inputs. I am however struggling to find how to represent this data. Would someone have an idea on how to calculate specific contract liquidity, and how to represent the data in comprehensive format?Regards,G.T le Blanc
 
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Stale
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Joined: November 7th, 2006, 3:20 pm

Commodity Future Contract Liquidity

July 10th, 2010, 9:22 am

Hi,Liquidity as a simple function of open interest, or trade-volumes, could be shown with a scatter-plot for instance, or even bars.Looked at the bid-ask spread? Stale
 
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tags
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Joined: February 21st, 2010, 12:58 pm

Commodity Future Contract Liquidity

July 10th, 2010, 1:40 pm

I would say that Stale made the point.O.I, volumes, bid-ask spreads ... or even the the value of the futures.As regards the storage for all that, a flat-file format satisfies.GTLeblanc, what is your subject under study behind the commodity future contract liquidity ?? édouard
Last edited by tags on July 9th, 2010, 10:00 pm, edited 1 time in total.