The Most Liquid Futures on the European Market?
futures io futures trading



The Most Liquid Futures on the European Market?


Traders Hideout

Created September 28th 2010 by gomad
Updated May 22nd 2011 by Jura
looks_oneFat Tails with 17 posts
looks_twoLocust with 5 posts
looks_3LukeGeniol with 7 posts
looks_4uexkuell with 4 posts
 
trending_up19,514 views
thumb_up32 thanks given
forum22 replies
attach_file0 attachments



Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 100,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

The Most Liquid Futures on the European Market?

  #11 (permalink)
Italy (IT)
 
Trading Experience: Advanced
Platform: ATAS, R|Trader, NT8
Broker/Data: Rithmic
Favorite Futures: CL, Brent, GC, TF
 
LukeGeniol's Avatar
 
Posts: 1,501 since Apr 2010
Thanks: 408 given, 982 received


Haverchuck View Post
Nice link! Much easier than navigating CME, Eurex, and other exchange sites for this info.

I f u want somenthing better Futures - Market Pulse | Prices by Exchange, u can also subscribe for free and customize the quote u want to see.

Take your Pips, go out and Live.
Luke.
Reply With Quote
The following 3 users say Thank You to LukeGeniol for this post:

Can you help answer these questions
from other members on futures io?
More order types or programmable trading
Stocks and ETFs
Multiple working buy/sell order with preset SL and TP - Getting Error
NinjaTrader
Two Recent Moving Average Strategy Articles
Stocks and ETFs
Remek! Market Scanner Pro
NinjaTrader
Depth of market, Simulated trading
Platforms and Indicators
 
Best Threads (Most Thanked)
in the last 7 days on futures io
Recession? Depression? Bailout!
223 thanks
ES futures Spoo-nalysis SP500/SPX
214 thanks
Coronavirus COVID-19
154 thanks
Understanding Footprint Charts / Number bars
78 thanks
New to futures, would like advice
45 thanks
 
  #12 (permalink)
Market Wizard
Berlin, Europe
 
Trading Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,813 since Mar 2010
Thanks: 4,235 given, 26,478 received


LukeGeniol View Post
How did u perfom this ranking? I do not see it in the same way..


(1) There are hundred ways to define the liquidity. This ranking uses contract point value, maximum conceivable price motion (reference period 3 years), open interest and volume.

(2) The ranking can change from month to month.

Reply With Quote
The following 4 users say Thank You to Fat Tails for this post:
 
  #13 (permalink)
Italy (IT)
 
Trading Experience: Advanced
Platform: ATAS, R|Trader, NT8
Broker/Data: Rithmic
Favorite Futures: CL, Brent, GC, TF
 
LukeGeniol's Avatar
 
Posts: 1,501 since Apr 2010
Thanks: 408 given, 982 received



Fat Tails View Post
(1) There are hundred ways to define the liquidity. This ranking uses contract point value, maximum conceivable price motion (reference period 3 years), open interest and volume.

(2) The ranking can change from month to month.

U are really too much technical for me, I don't know even what does mean maximun conceivable price motion .
I simple look at daily and total volume for the 'actual' contract.

Take your Pips, go out and Live.
Luke.
Reply With Quote
 
  #14 (permalink)
Market Wizard
Berlin, Europe
 
Trading Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,813 since Mar 2010
Thanks: 4,235 given, 26,478 received


LukeGeniol View Post
U are really too much technical for me, I don't know even what does mean maximun conceivable price motion .
I simple look at daily and total volume for the 'actual' contract.

Volume (# contracts traded per period)

Volume is a good measure, because income of brokers, market makers and exchanges depends on volume. But then there can be extrem distortions, if there are small contract sizes. The Option Market would then be lead by KOPSI options, because the low contract value leads to high trading volumes.


Contract Size (contract point value * points quoted)

A better measure for liquidity would be Traded Value = Volume * Contract size. With this criterion the large ES contract with a point value of 250 has 5 times the weight compared to the E-Mini with a point value of 50. If you just take volume 1 contract traded of the large ES equals 1 contract of the E-Mini, which does not make sense.


Volatility ( maximum price move over a period)

As a trader you do not only want to hold a large position, but to make money - or to lose money - you need volatility. If you define the maximum price move in a specified period as a measure for volatility, then this will impact liquidity. This criterion certainly exceeds the standard definition for liquidity, but is useful for a trader in practical terms. Do you really want to trade EuroDollar Futures - you will fall asleep before you can close your position - or do you prefer to CL with its high volatility. If you take into account volatility, this shifts the focus from liquidity to trading opportunities.


Open Interest (# contracts open)

A measure of depth, how many contracts are currently being held by traders.


To include all four elements you can use the product

Contract volume * Contract Size * Maximum Price Move * Open Interest

as a measure for opportunity or liquidity for a contract. The last two points are optional, but to exclude value and simply count the volume (# contracts traded) does not make sense.


Last edited by Fat Tails; September 28th, 2010 at 05:19 PM.
Reply With Quote
The following 3 users say Thank You to Fat Tails for this post:
 
  #15 (permalink)
OC, California, USA
 
Trading Experience: Advanced
Platform: IB/TWS, NinjaTrader, thin
Favorite Futures: stocks, options, futures, VIX
 
shodson's Avatar
 
Posts: 1,928 since Jun 2009
Thanks: 509 given, 3,557 received

KOSPI

I once heard Dan Gramza say that the KOSPI (Korea Composite Stock Price Index) futures was the most liquid futures instrument of all. I haven't been able to confirm that, but I don't know why he would lie about that either. Anybody ever looked at the KOSPI?

Follow me on Twitter Reply With Quote
 
  #16 (permalink)
Market Wizard
Berlin, Europe
 
Trading Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,813 since Mar 2010
Thanks: 4,235 given, 26,478 received


shodson View Post
I once heard Dan Gramza say that the KOSPI (Korea Composite Stock Price Index) futures was the most liquid futures instrument of all. I haven't been able to confirm that, but I don't know why he would lie about that either. Anybody ever looked at the KOSPI?

Today's trading volume of the Kospi 200 Dec futures was 173,412 contracts with a contract value of Won 500,000. The trading volume of ESZ0 was 1,992,089 contracts with a contract value of USD 50. FESX traded 1,500,712 contracts with a contract value of € 10.

If you calculate the value of today's traded volume, you get


ESZ0

1141.75 * 50 * 1,992,089 = USD 113.72 billion


Kospi 200 Dec Contract

242.20 * 500,000 * 173,412 = Won 21,000 billlion = USD 18.27 billion


FESX Dec Contract

2768 * 10 * 1,500,712 = € 41.539 billion = USD 55.94 billion


Maybe Dan Gramza referred to the number of options traded on the KOSPI 200. The Kospi 200 options have a very small nominal value, and therefore you need a bunch of them to make or lose money.

Reply With Quote
The following user says Thank You to Fat Tails for this post:
 
  #17 (permalink)
Italy (IT)
 
Trading Experience: Advanced
Platform: ATAS, R|Trader, NT8
Broker/Data: Rithmic
Favorite Futures: CL, Brent, GC, TF
 
LukeGeniol's Avatar
 
Posts: 1,501 since Apr 2010
Thanks: 408 given, 982 received


Fat Tails View Post
.....................................................................
Volatility ( maximum price move over a period)

As a trader you do not only want to hold a large position, but to make money - or to lose money - you need volatility. If you define the maximum price move in a specified period as a measure for volatility, then this will impact liquidity. This criterion certainly exceeds the standard definition for liquidity, but is useful for a trader in practical terms. Do you really want to trade EuroDollar Futures - you will fall asleep before you can close your position - or do you prefer to CL with its high volatility. If you take into account volatility, this shifts the focus from liquidity to trading opportunities.
..........................................................................
.

I have considered implicitly the price moviment infact I mentioned FGBL FESX and FGBL and not Euribor, cos here we generally speak about day trading, otherwise why not considering trading EuroDollar or Euribor? Think are the better instruments for spread trading.
I would like to include in the choise of instruments to trade the orders filling, this in relation also to trading style, cos if u get ES that is one the most liquid instrument (see your prev post) and put a limit order u will wait a lot before it is filled, if u consider 6E or CL the order filling will be really more faster.

Take your Pips, go out and Live.
Luke.
Reply With Quote
The following user says Thank You to LukeGeniol for this post:
 
  #18 (permalink)
California
 
Trading Experience: Intermediate
Platform: tradestation and Ninja Trader
Favorite Futures: Crude and Gold
 
Posts: 21 since Mar 2011
Thanks: 35 given, 6 received


Fat Tails View Post
Volume (# contracts traded per period)

Volume is a good measure, because income of brokers, market makers and exchanges depends on volume. But then there can be extrem distortions, if there are small contract sizes. The Option Market would then be lead by KOPSI options, because the low contract value leads to high trading volumes.


Contract Size (contract point value * points quoted)

A better measure for liquidity would be Traded Value = Volume * Contract size. With this criterion the large ES contract with a point value of 250 has 5 times the weight compared to the E-Mini with a point value of 50. If you just take volume 1 contract traded of the large ES equals 1 contract of the E-Mini, which does not make sense.


Volatility ( maximum price move over a period)

As a trader you do not only want to hold a large position, but to make money - or to lose money - you need volatility. If you define the maximum price move in a specified period as a measure for volatility, then this will impact liquidity. This criterion certainly exceeds the standard definition for liquidity, but is useful for a trader in practical terms. Do you really want to trade EuroDollar Futures - you will fall asleep before you can close your position - or do you prefer to CL with its high volatility. If you take into account volatility, this shifts the focus from liquidity to trading opportunities.


Open Interest (# contracts open)

A measure of depth, how many contracts are currently being held by traders.


To include all four elements you can use the product

Contract volume * Contract Size * Maximum Price Move * Open Interest

as a measure for opportunity or liquidity for a contract. The last two points are optional, but to exclude value and simply count the volume (# contracts traded) does not make sense.


Great statistical information in all your threads. I was hoping to get a little insight and build an excel file with the current instruments i look at and the necessary information/data i need to come up with information such as:

Maximum Price Move at a given timw ( what are the times price moves moves most for the given instrument)

Reply With Quote
 
  #19 (permalink)
Market Wizard
Berlin, Europe
 
Trading Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,813 since Mar 2010
Thanks: 4,235 given, 26,478 received


ZZZTrader View Post
Great statistical information in all your threads. I was hoping to get a little insight and build an excel file with the current instruments i look at and the necessary information/data i need to come up with information such as:

Maximum Price Move at a given timw ( what are the times price moves moves most for the given instrument)


If you want to look at the volatility at different times of the day, this thread might help.

https://futures.io/elite-circle/5242-intraday-seasonality-when-trade-when-not-trade.html

Reply With Quote
The following 3 users say Thank You to Fat Tails for this post:
 
  #20 (permalink)
Austin, Texas
 
 
Posts: 6 since Mar 2011
Thanks: 0 given, 1 received


I stick with trading anything on the NYMEX like gold, silver, copper and oil. I've dabbled in the LME. You may want to try that one.

Reply With Quote

Reply



futures io Trading Community Traders Hideout > The Most Liquid Futures on the European Market?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

futures io is celebrating 10-years w/ over $18,000 in prizes!

Right now
 

$250 Amazon Gift Cards with our "Thanks Contest" challenge!

Right now
 

Social Media Predictive Data for Traders w/Joe Gits @ SMA [and Lime Brokerage]

Apr 9
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Robber forces victim to drink liquid soap...and other strange aspects of a robbery RM99 Off-Topic 0 April 6th, 2011 02:29 AM
Real time futures market prices in Excel martifc Traders Hideout 13 December 30th, 2010 03:59 PM
historical tick by tick market for many European mea109 Traders Hideout 2 December 7th, 2009 10:00 AM


All times are GMT -4. The time now is 08:23 AM. (this page content is cached, log in for real-time version)

Copyright © 2020 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts