Recent content by akurov

I can see that for traders who "move big size" access to depth info is more important. Still, I guess even for a small trader it could be important to check how much liquidity is out there. Do you know by any chance when IB customers started getting the depth information?

Thanks for ideas. Who do you think wins from the high minimum tick in ES? The locals? My impression is they do not focus on scalping in e-minis. Arbitrage and trading on the open outcry order flow are likely to be more profitable for them. I have actually done some work on price discovery in...

From Futures magazine (May 2000): David Downey, executive vice president at Interactive Brokers says customers trading on the CME's Globex system don't receive the same amount of information as local traders because his customers only can see the current bid and offer without seeing the...

Thanks for your replies. ArchAngel: I understand that some price changes don't get entered and therefore do not appear in the time and sales. But for those price changes that are entered, what would be your guess of the time delay due to manual data entry?

I am a student lookint at time and sales data for S&P500 and Nasdaq-100 e-mini and regular contracts. The E-minis appear to lead the regulars by about 15 seconds. But I know that the ticks in the time and sales of the regular contracts are entered manually by a floor clerk and there is probably...

Thank you and have a great day!:)

But if the mini traders on the floor can see customer orders coming in, they have an edge over you, don't you think? The playing field is not level here. They will win, on average, and guys like you will lose, on average. I guess you are better than average because of your experience... To...

Thanks for sharing your perspective. I am only a student who reads academic papers and have never been on an exchange floor... Still, why do you think there is more price discovery in the e-minis if the information that the e-mini locals use comes from open outcry anyway? Strikingly, it...

I see. My data show the e-mini contract is the price leader. Perhaps the arbitrage between the regular and e-mini contract makes sure the regular contract is not far behind. But why the e-mini is the price leader to begin with? Is it because the electronic market is intrinsically more...

You made my day, I can tell you. This was a real puzzle for me. This cooperation story sounds interesting. Can a person (local) trade both the regular contract in the pit and the e-minis in Globex? If yes, one can do arbitrage without help. Also, common sense tells me the arbitrage profits...

dvegadvol, Thanks a bunch. This really helps me understand what's going on. So it means the e-mini locals use their access to the big contract's pit. Does it mean they work right in the big contract's pit? The CME web site describes separate pits for e-mini contracts. Are those e-mini pits...

Thanks for replying. I was also thinking about arbitrage. But the thing is, most of the e-mini trades between locals are for 1 contract.

I am a student looking at audit trail data for Nasdaq-100 full-size and e-mini contacts. The data (obtained from the CFTC) show trader type IDs for both sides of each trade. In the big contract the volume is dominated by locals trading with outside customers, which is normal for futures...