Some traders often equate liquidity with trading volume, concluding that only markets with the highest actual number of contracts traded are the most liquid. However, for some contracts, the Chicago Board of Trade has a market maker system in place to promote liquidity. For contracts with a market maker, a trader or firm designated as the market maker then makes two-sided markets (both bids and offers) for a specific quantity.
You just need tick data to figure this out accurately... A few days is probably enough to get a vague idea. Here's an analysis showing the distribution of # of trades versus tradesize on 1 day. http://krausecomputer.com/zn013108.zip
Interesting. I've not been able to find a good reason to trade the YM since I switched over to trading futures. The other 3 SIFs seem to work well... - ER2 - biggest bang for the buck - ES - handles size & in the middle for $$ efficiency - NQ - most TA compliant but worst bang for the buck - YM - originally had CBOT issues - now they're gone (hopefully). When I last checked - bang for buck was in the middle (similar to ES). Fairly low volume and not-great TA compliance left me with no pervasive reason to trade this over the other three.... Why trade YM? R
I just started day trading. Learning from books. And posts here. Several books Ive read mentioned the general trading population on ES is more sophisticated and has more experience than traders on YM So I am starting on 'the bunny hill' to use a skiing analogy
Interesting analysis. 10000-18000 people are probably trading the YM in the entire world AT MOST intraday. Perhaps the number is lower. YM is definitely a little guy contract. Avg trade size distributes heavy to 1 and 2 lots per trade. I analyzed two days (the 28th, and a high vol day, the 30th [FOMC]). Enjoy. Its an Excel Binary file. Has your tick data too. http://krausecomputer.com/ymtick.zip
Whats fascinating is that YM versus ZN (ZN being a much deeper market) is made up of opposite market participants generally. YM are your small speculator, and ZN [witnessed by trade size alone] are likely more professional (bank, financial, and hedging volume). ZN's contract volumes are near 4x as much. Similar amount of total trades across both markets, but a lot more cash flying in ZN.