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CHICAGO, Sept. 25, 2018 /PRNewswire/ -- A powerful new tool to measure futures market liquidity is now available to CME Group market users around the globe. The CME Liquidity Tool allows traders to measure current and historical liquidity of CME Group futures products across asset classes, free of charge. Armed with around-the-clock liquidity data, clients can capitalize on new trading opportunities in increasingly deep and liquid CME Group futures markets across time zones around the globe.
Liquidity is an important measure of participation in any given futures market, because it indicates how easily a market user can enter and exit their positions. The greater the participation, in the form of open buy or sell orders, the more liquid the product is likely to be.
"Liquidity in our CME Group futures markets has grown dramatically over the last five years, particularly during European and Asian trading hours," said Julie Winkler, CME Group Chief Commercial Officer. "Our new CME Liquidity Tool offers market users a cost-effective and efficient way to analyze complex liquidity data of core futures products to inform their trading and hedging strategies."
"Citi plans to use the CME Liquidity Tool as an additional resource to help global clients better understand various products' liquidity profiles throughout the 24-hour trading day," said Stephen Christian, Managing Director, Citi Futures, Clearing and Collateral.
For the first time, the CME Liquidity Tool offers a way to view and export charts measuring market liquidity on a daily, weekly, monthly, quarterly and yearly basis, during periods of varying market volatility across North American, European and Asian trading hours. The tool measures market liquidity based on three key measures of market liquidity and cost:
Bid-ask spread, or the difference between the prices quoted to buy and sell futures;
Book depth, which is the number of contracts in both buy and sell orders at a given price; and
Cost to trade, which is the amount it will cost in ticks equal to the minimum bid-ask spread to buy or sell a specific order size.
Does anybody know how exactly the cost of trade is calculated ?
The FAQ says only: "Cost to trade indicates how much it will cost in ticks to buy or to sell a specific lot size (assuming lots are traded all at once rather than over time), with the cost being the difference between the bid and ask prices. The “cost to trade” does not take into account commissions, exchange fees, interest, etc., or other expenses related to trading."
For example if I check E-mini NASDAQ 100 contract for 2019-02-08 I will get the following values:
As we can see the BidTopQuantity is 6.4 which means our lot should be filled without a filling slippage (5.0 < 6.4) so the only slippage (ie. the cost) should be the spread 1.2928 but the page says SellCost 1.4029.
