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Liquidity Analyzer®
provides buy, sell and net volume totals for each trader
classification (CTI) by price down to the 15-minute time
period.
As with all volume data in Liquidity Analyzer®, volume is
classified by non-spread or spread volume and available by
contract month. Volume is updated every
15-minutes throughout the trading session.
In the example below, a tabular view of the
volume is shown for each 15-minute time frame. Volume has
been summarized by combining volume for the nearest 3 contract
months. Also, non-spread and
spread volumes have been combined. In the lower grid,
volume at each price traded (from 8:30am to 9:45am) is shown on
1/19/2005 (selected). |
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