CMEGroup Liquidity Data Bank

Discussion in 'Data Sets and Feeds' started by jeb9999, Aug 21, 2009.

  1. Liquidity Data Bank (LDB) - CME Group now offers traders a powerful tool for analyzing volume. This in-depth data source reveals a more precise image of market activity. LDB is an application that summarizes and reports trade data by the Customer Trade Indicator (CTI) code* and is used by trading companies to analyze trading patterns. The CTI specifies whether a trade has been executed by a Member trading for their own account, a Clearing Firm trading for its proprietary account, a Member trading for another member, or all others. This data, currently for CBOT products only, is produced every 30 minutes during regular trading hours and every 15 minutes during Electronic Trading Hours.

    With LDB, you can:

    Understand which traders are driving the volume and at what prices

    Find out what type of customers (CTI 1, 2, 3, and 4) are buying or selling over different time frames

    Discover who is providing liquidity and what prices are trading the highest volume

    Access intraday updates

    Anyone using or looking to use Liquidity Data Bank?
  2. Uhh, hasn't this been around since the 80's?
  3. The Liquidity Data Bank was started in 1984.

    What does that have to do with answering my question?

    Very little mention of the LDB here at ET.
  4. Who would the 4th category "all others" be comprised of? It seems Goldman would be categorized in#2 : members trading for their own account", as would most locals.
    "Clearling firms trading for their own proprietary account" would mean all trades done by the clearing firm for their own sake EXCLUDING all trades executed by their customers?

    What I would be interested in is knowing the what volume is traded by institutional paper versus locals. In an interest rate market, where (what category) would countrywide financial, or Goldman trading on behalf of their customers fit in? It would be useful for me if I could disseminate what volume is attributed to institutional paper and what volume is attributed to locals.
  5. FredBloggs

    FredBloggs Guest

    so what value is LDB?

    if im an employee of a tier 1 bank trading their money, under their membership then im CTI x. however, if i decide to to 'hide' my tracks when liquidating, i may do it via 1 or more other member brokers who will be CTI y. so, how does CTI help decide you decide what im doing?

    as for the 'what are the scalpers doing?', i see that as a different matter - one of time frame, not membership status. whats to stop a large local getting out of his position via 'institutional paper'? - a common practice, especially in options pits where you dont want other participants to be following your position.