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.
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.
Choose one of 18 core products across different asset classes available at CME Group.
The tool maintains a rolling two-year history of data.
Select the specific trading hours you want to focus on:
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.
Now that the data has populated in the charts, there are several features you can use to dig deeper into the information provided.
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.
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Analyze bid-offer spreads, book depth and cost to trade statistics for CME Group products.