Professor Craig Furfine has a paper titled “Exchange-traded contracts during a crisis” that uses high frequency GLOBEX data from 9am to 9:30am to look at liquidity across many futures markets. Like the BrokerTec data for Treasuries, the GLOBEX data have information on trades and on the order book. Although my personal interest is on how Eurodollar contracts are affected during the crisis, since my own research involves using those contract to construct a swap curve, the paper is informative on how the Eurodollar and e-mini SP500 futures contract is traded, as well as how research using high frequency data is done.
I wonder why the analysis is done using only data from 9 to 9:30am though – whether it was a data availability issue or something else. I also wonder whether 9 to 9:30am is representative.
Reference: Exchange-traded contracts during a crisis, Craig Furfine