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Net volume
totals are available for each trader group (CTI1,2,3 and
4). Net volume is calculated by taking gross buy volume minus
sell volume. For example, if the commercials (CTI2) sell
100 contracts to market makers (CTI1) then CTI2 has net sold 100
contracts, CTI1 has net bought 100 contracts.
Net volume is classified as non-spread or
spread volume. Liquidity Analyzer® gives you the ability to
summarize volume by each CTI group, volume type, and by contract
month. Data can be presented in a tabular (spreadsheet
view) or graphically as a bar chart.
For example, below is bar chart of a
moving sum of CTI4 net volume (non-spread) over 5 days for
the Mar/2005 contract for 10 year US T-Notes. Below the
bar chart is a price chart for the same contract month.
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