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Based on my experience, I have to respectfully disagree with you. Successful traders and investors understand that the goal is risk vs reward, not just the magnitude of the reward. There is no better risk / reward ratio than managing accounts “OPM”, or licensing a trading strategy because there...

Correct, this is an invalid order. We submit a STOP LIMIT order with the STOP price being above the mkt. When the stop is hit, it is immediately replaced with a LIMIT order which should now presumably be at the market.

This question is about how the CME matching engine works. We are currently submitting limit orders and we get filled at our limit price 80% of the time with the remaining 20% of orders being missed (this statistic is based on nearly 1/2 million orders over the last 3 years). To increase our...

I've been running an automated algorithmic futures trading system for 2 years. On average, it trades 6 to 10 different futures markets, a few times per day. I have also found that 85% of all limit orders get filled. HOWEVER, I am not convinced that this method is more profitable than using...

Wait a sec.. I can't short the SPY so that won't work for me.

That's an interesting perspective. I've been trading the big S&P contract for years (many years prior to the e mini). I just hadn't considered that trading a SPY - like stock fund would be economical. The only problem is that there is not the same kind of leverage opportunities when trading the...

According to the 1 tick slippage method of estimating slippage, + commissions and fees, I calculate that it's WAY cheaper to trade the SP pit traded futures contract than the SP emini (# contracts adjusted for equal $ profit). It's interesting that when the exchanges move away from the floor...

Thanks pspr. I am trying to estimate the difference between my back-testing results where I have used the published settlement price, and what I might expect when actually trading. I don't understand why I shouldn't consider 1 tick slippage ($25) for both the entry AND the exit? ie: if the...

I am getting ready to use a system that I have been developing to trade the emini (S&P) for a 1 hour hold period. I am trying to get a better grasp on my expected costs, and I am very surprised to learn that it could be as high as 20% of my expected average profit (+ 20% of my expected average...

Are there any contracts where volumes are better in the pit? Oil? SP? Is there a difference between the bid/ask spread for pit traded contracts vs electronic ?? Thanks for your help. Greg

I used to trade pit Soybeans and Wheat (SU10 and WU10 for example), and now it seems that most of the volume is with the electronic contracts (ZSU10 and ZWU10 for example). Is this correct? If I am trading intraday, should I be looking at the electronic contracts? Thanks, Greg

Hello: I am working on a trading system that trades a basket of uncorrelated futures. The time-frame is day, from open to close. I use the average daily range for each of the futures contracts so I can trade the number of contracts to make risk and profit potential equal between all of...

Hi: I used to use Trade Station (like 10 years ago) and had loads of intra-day data for SP and other contracts, but the disks are all bad now. I looked around to buy data online and was stunned by the prices! Does anyone know where to download either intraday or EOD SP futures data at a...