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Thank you for your comment. Please see the following paper, which provides such an analysis for both the cash and futures markets: “The Liquidity Hierarchy in the US Treasury Cash and Futures Market,” Lee Baker, Lihong McPhail, and Bruce Tuckman. The Journal of Fixed Income Summer 2020, 30 (1) 90-99; DOI: https://doi.org/10.3905/jfi.2020.1.091 https://jfi.pm-research.com/content/30/1/90 https://www.cftc.gov/sites/default/files/2018-11/Liquidity%20Hierarchy%20in%20Tsy%20Mkt%20v4_ada.pdf