Please note that beginning January 1^st, 2008 the Liquidity Databank product will no longer be available through DataExchange.

Liquidity Data Bank (LDB®) provides you with detailed volume and price information, including specific market participant type data (referred to as, Customer Type Indicator or CTI code) for all CBOT futures and options products. LDB provides you with volume at each price as well as aggregate volume for the contract, both are segregated by market participant type and buy (long) versus sell (short). Three different versions of LDB are available: LDB Detail, LDB Summary, and LDB 70% Value Area. You will be able to choose from a list of CBOT futures and options products traded via Open Auction or electronically. Then select the type of LDB product, select the start and end date of your download, choose which contract(s) you would like, and finally designate the file format.
 
Begin by selecting Futures or Options:       
    

LDB Detail provides volume and price information for each price traded in a particular CBOT futures or options product. The volume information provided includes total volume at each price for the entire trading day; total volume at each price for each 15-minute interval during the trading day; total volume per market participant type (referred to as, Customer Type Indicator or CTI code) per price for both the entire day and 15-minute intervals; and total buy (long) versus total sell (short) volume per market participant type per price for both the entire day and 15-minute intervals.   

Download
an example file:

LDB Summary provides volume and price information for each CBOT futures and options product on an aggregate level. The volume information provided includes total traded volume for the entire product and specific contracts; total volume traded by each market participant type (referred to as, Customer Type Indicator or CTI code); the total volume and volume per market participant type traded within the 70% value area as well as the time brackets for the 70% value area; the total volume and volume per market participant type traded at the Opening, High, Low, and Closing prices as well as the time brackets for each price point; and the total volume and volume per market participant type traded during each quartile as well as the time brackets for each quartile.  

Download
an example file:

LDB 70% Value Area provides volume and price information for each CBOT futures and options product. Provided in the LDB 70% Value Area product are the prices which comprise the high and low of the calculated 70% value area as well as the total volume traded within the 70% value area by each market participant type and the time brackets for the 70% value area. The 70% value area is calculated by taking the price which attracted the highest volume for the trading day and calculating the price range around this point in which 70% of the day's trading volume occurred. For an example on how the 70% value area is calculated click here.