CME Liquidity Tool User Guide

  • 21 Sep 2018
  • By CME Group

The interactive CME Liquidity Tool (available in Google Chrome, Internet Explorer and Firefox) gives you easy access to current and historical liquidity for products offered on CME Group exchanges. The tool leverages market data reconstruction to visually display liquidity measures.

Getting Started

Step one of using the CME Liquidity Tool is to edit the selections based on the data you want to see. Choose a product, a date range and a time zone to find the information you need.

1) Product

Choose one of 18 core products across different asset classes available at CME Group.

2) Date Range

The tool maintains a rolling two-year history of data.

3) Time Zone

Select the specific trading hours you want to focus on:

  • Chicago (7 a.m. to 4 p.m.)
  • London (7 a.m. to 5 p.m.)
  • Singapore (8 a.m. to 8 p.m.)

Types of Analysis

Once you have set the parameters for the data you want to see, you have a choice of the kind of analysis you need: Cost to Trade, Bid-Ask Spread and Book Depth.

If you select Cost to Trade, you will also need to specify the lot size. You can choose up to four different lot sizes, from 5-1,000.

Once you have made these selections, click the View Chart button to generate data.

a) Cost to Trade

Cost to Trade indicates how much it will cost, in ticks, to buy or sell a certain lot size.

b) Bid-Ask

The Bid-Ask Spread shows the difference, in ticks, between the price a buyer is willing to pay and the price a seller is willing to accept.

c) Book Depth

Book Depth indicates the number of buy and sell orders at each price level, displayed as a density chart. The data shows Top of the Book (lowest bid-ask spread) by default.

Using the Tool

Now that the data has populated in the charts, there are several features you can use to dig deeper into the information provided.

  1. Tooltip Hover - Hover your mouse over a point on the chart to see the specific data for that point.
  2. Granularity Selection - Choose the level of granularity you wish to see by day, week, month, quarter or year.
  3. Buy, Sell, Mid-Price and Trend Line (Cost to Trade) - Displayed only for the Cost to Trade analysis, these features allow you to see additional filters or data on the chart.
    • Buy and Sell - Choose to view only the cost to buy, only the cost to sell, or both
    • Trend Lines - See the direction and magnitude of the measures on the chart
    • Mid-Price - See the average of the bid and ask price at the top of the book, displayed on a separate axis of the chart (also available for Bid-Ask Spread and Book Depth analysis).
  4. Top of Book and Other Levels - For the “Bid-Ask Spread” and “Book Depth” analyses the user may also choose the price level to display, from the Top of the Book to the Top 10 Levels.
  5. Download - Download an image of the current chart display, with the timestamp and other details included for easy tracking (only available in Google Chrome).
  6. Contract Specs - View the current product’s contract specifications.

Compare Charts

If you want to see multiple datasets together, you can choose to overlay another analysis over your first selection by using the Compare With feature.

You can also scroll down the page to Add Second Chart, which shows a second analysis below the original selection.

If you use both the Compare With and Add Second Chart functionality, you will be able to view three liquidity measures together.

About CME Group

As the world’s leading derivatives marketplace, CME Group is where the world comes to manage risk. Comprised of four exchanges - CME, CBOT, NYMEX and COMEX - we offer the widest range of global benchmark products across all major asset classes, helping businesses everywhere mitigate the myriad of risks they face in today's uncertain global economy.

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Try the CME Liquidity Tool

Analyze bid-offer spreads, book depth and cost to trade statistics for CME Group products.

View CME Liquidity Tool