I am forming a universe of liquid futures/liquid FX forwards. I want a list of all liquid contracts, the key word being liquid. This is for an academic project, but you could imagine liquid being loosely defined as securities that could form the core trading portfolio of a mid-sized systematic trend-following CTA. This question is not meant to be a debate about the liquidity of individual contracts or markets- I'm asking for a systematic, repeatable procedure for determining a list of what I expect to be around 100-300 markets.
I am flexible in terms of how I form this list, provided the method is systematic. For example, one approach might be to rank all generic contracts in Bloomberg by (say) 100-day trailing ADV as of (say) EOY 2019. Unfortunately, I have no idea how to do this, and help desk didn't seem to have a solution. Another issue here is narrowing down the list of securities that I am ranking such that I don't trip the Bloomberg API limits (for those less familiar with Bloomberg, this means I'd be hesitant to query more than 1000 or so securities).
With equities, I would get a list of all stocks from the NYSE/NASDAQ/AMEX. But on the CME website, there seem to be a lot of contracts without listed volume, so this approach seems inappropriate.
Another possible way might be to include the constituents of 1 or more futures indices. For instance, with equities I would use the Russell 3000. However, I haven't found an analogous index for commodity futures. BCOM constituents form a very small and limited list (for instance, they do not include Financials). GSCI is another small list. But a broader list seems hard to find.
A word on data sources: I have access to Bloomberg and limited access to WRDS. My preference is for Bloomberg since the generic contracts are particularly convenient, though obviously I can make a crosswalk if necessary.