VALYNOXSTRATEGY RESEARCH TECHNOLOGY
AlphaPrimeAlphaPrime
Sign inFree 7-day trial
ACADEMY / Markets and trading sessions

Most liquid futures: ES, NQ, CL, GC, ZN, why it matters for backtests

The most liquid futures are ES, NQ, CL, GC and ZN, and liquidity is read from daily volume, open interest and spread width together. Research on the deepest contract of each group, set slippage from the session you will actually trade, and double it once to see what survives.

By · Published · updated · Editorial policy

Contents
  1. What are the most liquid futures contracts?
  2. How is futures liquidity measured: volume, open interest or spread?
  3. Where do ES, NQ, CL, GC and ZN rank and what makes each one deep?
  4. What does low liquidity cost you in spread and slippage?
  5. How does liquidity change by session?
  6. Which contracts should you choose for a backtest?
  7. Frequently asked questions
  8. References

What are the most liquid futures contracts?

The most liquid futures are the E-mini S&P 500 (ES), the E-mini Nasdaq-100 (NQ), WTI crude oil (CL), gold (GC) and the 10-year US Treasury note (ZN). Liquidity is judged by three measures together: daily volume, open interest and the width of the bid-ask spread. A market is liquid only when all three agree.

Liquidity is the ability to buy or sell a contract right now, in the size you want, without moving the price against yourself. A busy fish market and a roadside stall both sell fish, but only the market lets you buy twenty boxes at the posted price and sell them back an hour later for close to what you paid. Deep futures contracts work like the busy market. Thin contracts work like the stall.

The five contracts come from four groups: stock indexes (ES and NQ), energy (CL), metals (GC) and interest rates (ZN). Each is the leader of its own group, not a rival of the others, so a trader who wants oil exposure does not choose between CL and ES. If contract size, margin and tick value are new to you, futures trading basics for systematic traders covers them first. Liquidity also changes through the day, and the free futures market hours tool shows each contract's sessions in your own time zone; the session section below builds on it.

Four asset groups supply the five deepest futures: stock index (ES and NQ on CME), energy (CL on NYMEX), metals (GC on COMEX) and interest rates (ZN on CBOT), each leading its own group One leader per group Five contracts from four groups Stock index ES, NQ Exchange: CME Energy CL Exchange: NYMEX Metals GC Exchange: COMEX Interest rates ZN Exchange: CBOT
Four asset groups supply the five deepest contracts. Each contract leads its own group rather than competing with the others.

How is futures liquidity measured: volume, open interest or spread?

Volume, open interest and spread each measure a different thing, and only a market where all three read well at the same time is liquid. Volume is the number of contracts traded during one day. Open interest is the number of contracts still held open at the end of the day, counted once for each matched buyer and seller. The bid-ask spread is the gap between the best price a buyer will pay and the best price a seller will accept at this moment.

Picture a reservoir. Volume is the water flowing through the pipe during the day. Open interest is the water level left in the tank at night. The spread is how wide the outlet gate is when you want to get out. Flow and level can move in opposite directions: on a day when many traders close positions, volume is high and open interest falls. This happens every quarter in ES and NQ when positions move from the expiring contract to the next one. A backtest on a stitched price series needs to know where that roll happened, and futures trading charts, contracts and continuous series explains how such a series is built.

MeasureWhat it countsWhat it tells youWeak reading
VolumeContracts traded todayHow much activity passes through the market in a dayFew trades, so your order waits or moves the price
Open interestContracts still open tonightHow many holders exist to take the other side of a large orderFew holders, so depth disappears outside busy hours
Bid-ask spreadGap between best bid and best ask nowThe cost of entering or leaving this minuteSeveral ticks wide, paid on every fill
A reservoir picture of liquidity: volume is the flow through the pipe during the day, open interest is the water level left at night, the spread is the narrow gate at the outlet; on a roll day volume is high while the level falls Flow is not level Volume flows; open interest stays Volume traded today Open interest open tonight Spread cost to get out Roll day Volume high Level falls
Volume is a flow through the day and open interest is a stock left at the end of it, so the two can move in opposite directions.

Each measure fails alone. High volume with low open interest means day traders passing contracts among themselves, with few holders left to absorb an order at night. High open interest with low daily volume means positions sit still, so a market order meets few counterparties. A tight spread with low volume is a tight price for one contract only; the second contract moves the price. Of the three, the spread is the one you pay directly, which is why the cost section measures it in ticks.

Where do ES, NQ, CL, GC and ZN rank and what makes each one deep?

Each of the five stays deep because it serves two groups at once: hedgers who must trade and speculators who want to. A hedger is a business or fund that holds the underlying asset and uses the contract to fix a price. A speculator takes the other side for profit. The hedger's need does not go away in a quiet month, so the speculator always finds a counterparty, and the speculator's activity keeps the spread tight for the hedger. Monthly volume rankings move around, so this section quotes no volume figures; the exchange publishes daily and monthly volume reports where current numbers can be checked.

ContractExchangeWhat it tracksWho hedges with itWhy it must be tradedWho speculates with itDeepest session
ESCMES&P 500 indexFund and pension managersStock portfolio exposure changes every dayTrend followers, intraday tradersUS regular hours (Chicago time)
NQCMENasdaq-100 indexManagers of technology-heavy portfoliosSame exposure need, concentrated in large growth stocksIntraday and momentum tradersUS regular hours (Chicago time)
CLNYMEXWTI crude oilProducers, refiners, airlinesPhysical oil is pumped, refined and burned on a scheduleMacro and spread tradersUS regular hours (Chicago time)
GCCOMEXGoldMiners, refiners, jewellers, bullion dealersMetal inventory must be priced while it sits in a vaultMacro traders, trend followersUS regular hours (Chicago time)
ZNCBOTUS 10-year Treasury noteBanks, insurers, bond fundsBond portfolio duration moves whenever rates moveMacro and relative-value tradersUS regular hours (Chicago time)
Why each contract stays deep: fund managers hedge stock exposure with ES, tech funds hedge tech exposure with NQ, oil producers hedge physical oil with CL, miners and dealers hedge metal inventory with GC, banks and insurers hedge bond duration with ZN; speculators take the other side and all five are deepest in US regular hours Hedgers must trade them Speculators take the other side Who hedges What they hedge ES Fund managers Stock exposure NQ Tech funds Tech exposure CL Oil producers Physical oil GC Miners, dealers Metal inventory ZN Banks, insurers Bond duration All five: deepest in US regular hours
What each contract tracks, who must trade it and who wants to trade it explains why it stays liquid year after year.

All four exchanges belong to CME Group and all five contracts trade electronically on its Globex platform, so the rules for sessions and breaks follow one pattern. Depth is still not permanent. Kirilenko, Kyle, Samadi and Tuzun (2017) studied the E-mini S&P 500 order book on 6 May 2010 and showed how quickly resting orders thinned while the price fell within minutes, in the deepest stock index contract there is. A fixed slippage number in a backtest describes a normal day; the last section adds a worse case on purpose.

What does low liquidity cost you in spread and slippage?

A thin contract costs more ticks on every fill, and because slippage is paid on the entry and again on the exit, a few extra ticks per side can turn a positive average trade negative. Slippage is the difference between the price your rule signalled and the price you actually received. Part of it is the spread, because a market order buys at the ask and sells at the bid. Part of it is the price moving before your order arrives or while it works through the order book.

In US stocks, Hendershott, Jones and Menkveld (2011) found that the rise of algorithmic trading narrowed quoted spreads. Electronic futures markets saw a similar move: the deepest contracts spend most of the regular session quoted one tick wide, while a thin contract quotes several ticks wide. That gap is paid twice per trade. To turn ticks into dollars for your own contract, the free futures contract calculator gives the tick value and the profit or loss of a trade.

Hypothetical example

Take a contract whose tick is worth $5, like NQ, where the minimum move of 0.25 index points equals $5.00. Suppose a strategy's gross average trade, before any cost, is $30. With one tick of slippage per side, the round trip costs $10 and $20 of the trade remains. With two ticks per side, the round trip costs $20 and $10 remains. With four ticks per side, as a thin contract or a thin hour might cause, the round trip costs $40 and the trade nets −$10. Commission comes on top of each line.

Slippage per sideRound tripNet of $30 gross trade
1 tick$10$20
2 ticks$20$10
4 ticks$40−$10
Hypothetical example with a 5 dollar tick: round-trip slippage of 1, 2 and 4 ticks per side costs 10, 20 and 40 dollars against a 30 dollar gross average trade, leaving 20, 10 and minus 10 dollars Four ticks wipe out $30 Assumption: tick $5 Hypothetical example Per side Round trip Gross $30 Net 1 tick $10 +$20 2 ticks $20 +$10 4 ticks $40 −$10 Slippage is paid twice per trade. So: compare it with the average trade.
Slippage is paid twice per trade, so a few extra ticks per fill wipe out a small average trade.

How does liquidity change by session?

The same contract is thick during its home exchange's regular hours and thin in the overnight stretch, so a backtest that charges one tick of slippage on every fill understates the cost of trades taken at night. ES and NQ trade on CME Globex from Sunday 5:00 p.m. to Friday 4:00 p.m. Chicago time, with a daily maintenance break from 4:00 to 5:00 p.m. and a trading halt from 3:15 to 3:30 p.m. The deepest stretch is the US cash equity session, 8:30 a.m. to 3:00 p.m. Chicago time, when the stocks inside the index trade too and index hedgers are active. The thinnest hours are late evening and overnight Chicago time, outside both the US and the European trading days. Exchanges can change these times, so the contract page of the exchange is the place to confirm them before a run.

A 24-hour timeline in Chicago time for a CME stock index future: thick liquidity from 8:30 to the 15:15 pause, thin liquidity overnight, and a daily break from 16:00 to 17:00; bands are qualitative and the exchange can change session times Depth changes by the hour CME stock index future, Chicago time Qualitative bands Times can change Thick Thin Thin Break 16–17 0:00 8:30 15:15 24:00 Flat slippage breaks in thin hours. So: charge more for overnight fills.
One contract has thick and thin hours inside the same 24-hour day. The thin hours are where a flat slippage assumption breaks. Bands are qualitative, times follow the CME contract page and can change.

CL and GC follow the same shape with the thick band in the US morning, when European and US desks overlap. ZN is thickest around US economic releases at 7:30 a.m. Chicago time and through the US bond trading day. The pitfalls of the thin hours, from wider spreads to bars built on a handful of trades, are covered in after-hours trading explained for backtesting. In a backtest, three choices handle the difference:

  1. Split the trade list by session. Compare the average trade of fills taken in regular hours with fills taken overnight. If the overnight group is close to zero before extra slippage, it will be negative after it.
  2. Charge more slippage for overnight fills. If your backtesting tool supports one figure per session, set the overnight figure at two to four times the regular-hours figure. If it supports one figure only, set it from the session where most of your fills land.
  3. Restrict entries to the thick hours. A time filter that only enters during the regular session is the simplest fix and is easy to carry into live trading.

Which contracts should you choose for a backtest?

Start research on the deepest contract of the group you want to trade, set slippage from the session you will actually trade, and keep thinner contracts for later. A deep contract gives the backtest the smallest gap between the signalled price and the fill, so what remains after costs is mostly the rule itself. A thin contract mixes the rule with an execution cost that is hard to estimate, and a result on it means less either way.

  1. Pick the deepest contract of the group. ES for US stock indexes, CL for energy, GC for metals, ZN for rates.
  2. Check its session hours and note which hours you will trade. Use the exchange contract page and the hours tool linked above.
  3. Set slippage per side from that session. One tick per side is a common start for the thick hours of a deep contract, more for overnight.
  4. Rerun with double the slippage and keep only what survives. Then try the thinner contracts in the same group, looping back to step one.
Four ordered checks before a backtest: pick the deepest contract of the group, note the hours you will trade, set slippage per session, then double it and keep only what survives; the loop then returns to step one for thinner contracts Four checks before a run Do them in this order 1 2 3 4 Pick the deepest contract Note the hours you trade Set slippage per session Double it, keep survivors Then loop back for thinner contracts. So: test the deepest contract first.
Choosing a contract for research is a short ordered check, done before the first run.

The run below from AlphaPrime (Valynox) shows what a realistic cost setting looks like on a deep market. It tested ES daily bars from 2019-01-02 to 2025-06-30, long and short, one contract, with $20 commission and $25 slippage charged on every trade. The rule used Volume as its only entry and exit, with no stop, target or filter. That rule is a stand-in for the liquidity idea; the run does not test liquidity itself. It is the one candidate the search kept out of about a thousand it tried, chosen for its return against its drawdown, and picking the kept one after the fact flatters it. Read it as one survivor of a search, not as a forecast, and not as money the Volume rule earned or that a reader can expect.

Source: AlphaPrime product engine (CPU), run 2026-10-31. ES daily bars, 2019-01-02 to 2025-06-30, long and short, 1 contract, $20 commission and $25 slippage per trade.

NumberResult
Net profit (closed trades)$108,520
Max drawdown$33,032.5
Trades109
Win rate61.47%
Profit factor1.659
Average trade$995.6
Time in market59.08%
The summary screen of the kept candidate. Look at the average trade next to the $20 commission and $25 slippage charged on each of the 109 trades, and at the drawdown next to the net profit; this is one survivor of a search with a stand-in rule, not a forecast.
The summary screen of the kept candidate. Look at the average trade next to the $20 commission and $25 slippage charged on each of the 109 trades, and at the drawdown next to the net profit; this is one survivor of a search with a stand-in rule, not a forecast. ES · daily · 2019-01-02 to 2025-06-30 · CPU engine backtest

The useful reading is the ratio. In this run the average trade of $995.6 sits far above the $45 of commission and slippage charged per trade, which is what a daily-bar rule on a deep contract can afford: few trades, each covering a large move. An intraday rule on the same contract has a far smaller average trade, so the same $25 of slippage takes a much larger share. On a thin contract the slippage figure itself would need to be several times higher before the test says anything. Once the slippage for your session is settled, enter it once in AlphaPrime's backtesting settings so every candidate in a search pays it on each fill, with the order executed on the next bar. The five rule types in futures algo trading strategies and how to backtest each react differently to this cost: breakout rules that enter on stop orders pay the most.

Your next step: open the exchange contract page for the market you trade, write down the hours in which your fills will actually land, and run your current strategy twice, once with the slippage for that session and once with double. The gap between the two average trades tells you how much of the result belongs to the rule and how much to cheap execution.

Frequently asked questions

Which futures have the highest volume?

The E-mini S&P 500 (ES) is usually the highest-volume stock index future, and the E-mini Nasdaq-100 (NQ), WTI crude oil (CL), the 10-year Treasury note (ZN) and gold (GC) are usually among the top contracts in their groups. The order changes from month to month, so check the exchange's published volume reports for current figures rather than a fixed ranking. Volume alone is also not enough; look at open interest and the spread as well.

Is open interest more important than volume?

Neither is more important; they answer different questions. Volume shows how many contracts changed hands today, and open interest shows how many positions remain open tonight. A contract with high volume and low open interest is active but has few holders to absorb a large order outside busy hours, while a contract with high open interest and low volume has holders who rarely trade. A liquid contract scores well on both and has a tight spread.

Are micro futures as liquid as the E-minis?

Micro E-mini contracts, such as the Micro E-mini Nasdaq-100 at $2 times the index, are one-tenth the size of the E-mini and trade on the same exchange and sessions. They have their own volume, open interest and spread, so check those numbers separately rather than assuming they match the E-mini. Because the tick is worth one-tenth as much in dollars, one tick of slippage costs less in dollars but the same share of a trade.

How much slippage should I set for a liquid contract in a backtest?

A common starting point for the regular session of a deep contract like ES is one tick per side, which is two ticks per round trip. Overnight fills deserve more, two to four times that figure, because the spread is wider and fewer orders rest in the book. Whatever you choose, rerun the test with double the slippage; a strategy that only works at the lower figure was relying on cheap execution.

References

  • Kirilenko, A., Kyle, A. S., Samadi, M., & Tuzun, T. (2017). The Flash Crash: High-Frequency Trading in an Electronic Market. The Journal of Finance, 72(3), 967–998.
  • Hendershott, T., Jones, C. M., & Menkveld, A. J. (2011). Does Algorithmic Trading Improve Liquidity? The Journal of Finance, 66(1), 1–33.
  • CME Group. E-mini Nasdaq-100 Futures Contract Specs. https://www.cmegroup.com/markets/equities/nasdaq/e-mini-nasdaq-100.contractSpecs.html
  • CME Group. Micro E-mini Nasdaq-100 Index Futures Contract Specs. https://www.cmegroup.com/markets/equities/nasdaq/micro-e-mini-nasdaq-100.contractSpecs.html