Insights from Lob Data on Intraday Liquidity Measures

Using LOB data, relationships among liquidity measures relevant to intraday trading—bid depth, ask depth, bid-ask spread, and the exchange/xetra liquidity or XLM measure—are investigated for five widely traded futures markets operated by the CME Group—corn, soybeans, copper, U.S. treasury bonds, and E-mini S&P 500. Correlations consistent with dimensions of liquidity proposed in the literature vary across markets but are time invariant. Factor analysis confirms the multidimensionality of liquidity and indicates that the XLM measure encompasses the other dimensions reflected by liquidity measures considered here