Please Rate The Speed Of Each Futures Market (From 1 to 10)

G

Gooby

Hello all,

I know this is the Index Futures forum, but to save time and board space, I'm posting it here. In relation to a futures price ladder, could a few people please rate each of the following futures markets from 1 to 10, with 1 being very slow and 10 being very fast in terms of bid-ask? For example, on a futures price ladder, a very slow futures market (1) will have slow bid-ask changes, whereas a very fast futures market (10) will have multiple bid-ask changes per second. Bonus if you also rate them when their underlying markets are closed for the day (the Dow being closed while its futures market is still open, etc.)

I could explore on my own, but I don't have my own access to the internet right now and I might also be exploring a market in bad or overactive times, etc.

If I'm missing something on the list, please feel free to add it in.

Indexes:
S&P 500
Dow
Mini Dow
E-mini S&P
Dax
Eurex
CME
CBOT
Shanghai Composite
Hang Seng
Nikkei
Singapore Exchange
ICE Exchange
LIFFE/Euronext
FTSE
CAC

Commodities:
Light Sweet Crude
Brent Oil
Natural Gas
White Sugar
Heating Oil
Corn
Wheat
Cotton
Soybeans
Rubber
Palm Oil

Currencies:
Swiss Franc
US Dollar
British Pound
Russian Ruble
Chinese Yuan
Japanese Yen
Euro
Australian Dollar
Canadian Dollar
Indian Rupee

Bonds:
German Bund
US 2-year
US 5-year
US 10-year
US 30-year
 
A few years back I saw someone in an office on their Bloomberg terminal doing something like that for Commodities and Currencies in real-time. I'll assume he could have done such with Futures and Bonds.

Simply, you should call Bloomberg and ask about such and if its something you desperately need...subscribe to Bloomberg. Also, there was a financial magazine that did something similar but only on a monthly basis. I can't remember that magazine. It was something I saw in a waiting room at a financial institution.
 
I hate when people on here come on my threads and derail them with critiques instead of answers, but I gotta interject a bit. I'll make you a deal though because a) I hate that and b) I think the results of this study or my own little twist on it could be useful for analyzing how some stuff I have been playing with performs across different contracts, times, etc. and quoting activity.

Deal:
If you define "fast" in a way that can be objectively measured, I'll do some rudimentary analysis to get you the answers you seek for a subset of your list.
Once finals end (or even later honestly as I'm gonna be out of the country quite a bit), I'll code up your criteria and give you the information which you seek. Also, I only have the data available for CME group's major FIFO products.

Critique:
1. What you have above is not a formula I can apply to get you a parameter.
2. What exactly does "fast in terms of bid ask" mean? And if I can say this politely, my willingness to do this does hinge a bit on your answer.

If fast just means 'what has the most updates on average per some given interval,' that's rather boring, honestly. It's easy to just sit there and increment a counter every time you get an update. I'll get back to you in 20 minutes with meaningful data, however I'm not gonna do that because it's too boring. The results will be that ES, CL, GE,...the usual suspects update the most. There's no way to make meaningful comparisons in my eyes there. You'll need to consider a measure that allows you to compare across products at the very least for your original question to be answered satisfactorily.

Let me know what you think a meaningful and interpretable metric for speed is and we'll go from there. Probably in private messages past a point.
 
What is fast and what is slow.
are you after high liquidity markets.
most of the markets you have above are close to 24 hours.the question is when are you going to trade them.business hours is high liquidity.after hours lower liquidity but can also be fast moving with less volume.
also what time frame
to answer a small part of your question.i have had a look but dont trade at cac40,ftse100,eurostox50 and the dax 30.to me they move similar MAJORITY of the time.
the dax30 moves the fastest then its ftse100 then cac40 then eurostoxx50(during business hours).assuming they are corelating and if we measure from point a to point b.
you have to find the answer yourself.do your research.
 
Last edited:
wrbtrader said:
A few years back I saw someone in an office on their Bloomberg terminal doing something like that for Commodities and Currencies in real-time. I'll assume he could have done such with Futures and Bonds.

Simply, you should call Bloomberg and ask about such and if its something you desperately need...subscribe to Bloomberg. Also, there was a financial magazine that did something similar but only on a monthly basis. I can't remember that magazine. It was something I saw in a waiting room at a financial institution.
More...

"Stocks and Commodities" magazine use to or still does have one page geared to number of contracts for comparison to get same bang for the buck?
 
it's kinda silly question to ask ... for example gold is now very slow but that will speed up when the USA is open for trading ...
 
syswizard said:
The definition of "fast" is strictly TICKS PER MINUTE.
It's not based on volume, it's based on ACTIVITY.
Now some would argue it's based on Volume per Day....but I disagree.
More...
yeah you do have a point.if we compare the ftse 100 and dax 30.like i have stated the majority of the time these two markets will correlate with each other majority of the times.even though the ftse 100 has a much higher volume (i trade the 5 minute chart),but the dax 30 has bigger price moves.such as from point a to point b the ftse 100 will move 25 points while the dax 30 will move 100 points on less volume even though their chart patterns can be very similar.
 
Wow...i never get over newbies asking others to do detailed homework for them. How do you expect to learn if you are not willing to study the charts and determine what is fast or slow TO YOU. If you do not have internet access then simply get some, even at a free wi fi spot or library but trading involves rolling up your sleeves and putting in some work.
 
syswizard said:
The definition of "fast" is strictly TICKS PER MINUTE.
It's not based on volume, it's based on ACTIVITY.
More...
re: per original post: "very fast in terms of bid-ask?"
Now to get this, you need to count the bid and ask ticks, not the sales ticks.
In addition, one might want to filter-out the side-ticks.
 
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