5-Day Liquidity Analysis

Also known as Market Liquidity Analysis.

This is an analysis of trading liquidity, calculated on a 30 minute basis over the last 5 days. The the current trading day is presented at the right of the screen. Each 30 minute period is assigned an upper or lower case letter, with the upper case "A" indicating the period from midnight (0000) to 12:30 am (0030), and the lower case "a" indicating the period from 12:30 am (0030) to 01:00 am (0100). This repeats up to the 24th letter of the alphabet "X" indication 2300 - 2330 and "x" for 2330 - 2400. A horizontal line is reserved for each price range defined by the box. Each time period is then examined, and the letter code is placed on the line if one or more trades occurred at the price range. On a normal day, this will produce something that looks like a normal distribution, or a bell shaped curve, with many letters at the center, tapering down to perhaps one letter at the high and low extremes. As there is no such thing as a normal day in the markets, each day will produce its own pattern.

This chart works only with 30-minute data, and has one parameter for box size, defined in ticks (minimum price change) for commodities. The program will attempt to select a reasonable box size appropriate to the commodity. With a volatile item, there will be times where the box size is too low and the resulting chart will be bigger than the space available and run over the top or under of the bottom of the frame, or the scale produced is so large that no data will appear. In this case, simply select a larger box and reversal size and re-submit the request. The opposite condition is also true, if the item does not have much price activity, you can end up with one or two lines in the middle of the screen. In this case, select a lower box and reversal size.

We recommend that you memorize your favorite Liquidity Analysis charts using "Chart Builder", and include the box size parameters.