by Thomas Drinka, Ph.D. and Robert L. McNutt
Previously, we considered the manner in which the market utilizes price probes and rotation during the
trading day to promote trade. Depending on the response of other-time-frame traders, these probes result
in one of six possible daily profiles. Similarly, market rotations occur from one day to the next and over
the longer term. The primary purpose of this article is to demonstrate how the Chicago Board of Trade's
daily volume summary—known as the Liquidity Data Bank—and a long-term auction activity chart can
be utilized to analyze rotations that occur day to day and over the longer term.
The Liquidity Data Bank is transmitted several hours after the close and shows the volume of every
contract traded at the exchange. These data are taken from the second Board of Trade Clearing
Corporation reconciliation, which includes 70%-80% of all CBOT cleared transactions.
Figure 1 is a Market Profile, a 30-minute bar chart and the Liquidity Data Bank volume summary of
CBOT September 1987 U.S. Treasury bond futures for August 20, 1987. The volume summary's
horizontal bars are the percent of total daily contract volume conducted at each price traded within the
daily price range of the contract. The dark portion of the horizontal bar is the percent of each total daily
contract volume conducted by commercial clearing members (known as CTI2 in the Profile).
At the time of this writing, the activity of other-time-frame traders at the Chicago Board of Trade usually
ranges between 10% and 60% of total volume. The greater the percentage of total daily contract volume
that commercial clearing members represent, the greater is the potential for them to change the market's