BMLL View from the Feed - Futures examines the market behaviour of key Futures contracts across three major Futures trading venues (CME, Eurex and ICE) over the past six months
Using BMLL’s granular Level 3 Data, explore the micro-structure for a variety of future assets. The metrics used to describe the market state include Liquidity, Volatility, Iceberg order (CME), and more. You can access the full picture of an individual future product, in a six month time span (each bar represents one week) up to the end of the previous month.
To understand how these metrics are generated, please scroll to the foot of the page.
We analyse Futures asset metrics using outright contracts. We've used an algorithm that merges individual contracts into a continuous contract by order activity in order to to maintain consistency and to remove inactive front-month contracts from this report (for details please refer to this article). We compile metrics from various order events to calculate a daily average. By each week's end, these daily figures are combined to produce a weekly value. To determine metric fluctuations, we contrast the latest weekly value with an average derived from the previous six months' weekly values.