Average spread on S&P 500 mini future?

A

Armin

Hi,
i just want to find out how high the average spread on the S&P 500 mini future is? I'm confused because MT5 and Bookmap handle this via simulated trading differently.

My understanding:
- I buy on ASK and sell on BID
- Average spread ~ 0-2 ticks, but mostly 1 tick => 0,25
=> For each trade (buy and sell) I've to pay the spread with 1 tick.

Simulated Trading
- Bookmap seems not to consider the spread
- MT5 I pay the 1/2 spread in average

What is correct, my understanding or Bookmap or MT5?

A Take Profit (TP) and Stop Loss (SL) are STOP MARKET SELL Orders on a long position. When exactly are the limits triggered? On ASK or BID or PRICE?

Thanks...
 
Armin said:
Hi,
i just want to find out how high the average spread on the S&P 500 mini future is? I'm confused because MT5 and Bookmap handle this via simulated trading differently.

My understanding:
- I buy on ASK and sell on BID
- Average spread ~ 0-2 ticks, but mostly 1 tick => 0,25
=> For each trade (buy and sell) I've to pay the spread with 1 tick.

Simulated Trading
- Bookmap seems not to consider the spread
- MT5 I pay the 1/2 spread in average

What is correct, my understanding or Bookmap or MT5?

A Take Profit (TP) and Stop Loss (SL) are STOP MARKET SELL Orders on a long position. When exactly are the limits triggered? On ASK or BID or PRICE?

Thanks...
More...

It all depends on how you execute your trades. If you buy with market order and the spread is 1 tick, your positions opens with -1 tick, if you buy with a limit order there is no spread to consider, but you aren't guaranteed a fill.

A TP is mostly a limit order, a SL is mostly a market order, unless you use a stop limit, but then again you aren't guaranteed a fill since the market can skip your stop level and then your position wont close.

If you are long you will have a limit order on the ask as a TP and a stop order on the bid as a SL. If you are short it is the other way around.

Then there also is slippage you can experience on market and stop orders, but not on limit orders.

Simulated trading isn't a good environment to learn this from since most simulated trading platforms don't execute these orders as they would be executed in live trading. For example most simulated trading software don't include slippage and limit orders get filled as soon as the price is traded, which isn't realistic.
 
There are plenty of threads discussing the pros and cons of demo/sim trading.
So more to the point of the thread, here are the official rules of the CME and CBOT exchanges.
Note well: -OR- in the definitions.

Also a consideration is where your orders are held... at the exchange, the broker, or on your local trading rig.

And remember... each exchange, perhaps even different instruments on an exchange, can have their own sets of rules. Not just about execution, but which orders and types of orders are acceptable.

From the CBOT rulebook...

STOP ORDER An order which becomes a market order when the price designated on the order (the "Stop Price") is elected as described below. A "Buy Stop" order is placed above the market, and is elected only when the market trades at or above, or is bid at or above, the Stop Price. A "Sell Stop" order is placed below the market, and is elected only when the market trades at or below, or is offered at or below, the Stop Price.

Links to the rulebook definitions...

CBOT: https://www.cmegroup.com/rulebook/files/CBOT_Definitions.pdf
CME: https://www.cmegroup.com/rulebook/files/CME_Definitions.pdf
 
The two programs I feel handle SIM trading as close as possible to LIVE trading ( you dont get filled buying the bid unless enough contracts traded etc.) are:
CQG Q Trader and E-Futures Int'l. Demos are available for both.
 
Thanks DevBru and tiddlywinks!

Below I take out slippage because I think that should randomly cancel out.

@DevBru
"A TP is mostly a limit order"
So you mean its a Stop Limit Order? Thats new for me, but interesting.

"If you are long you will have a limit order on the ask as a TP and a stop order on the bid as a SL"
So you mean the Limit is triggered for the TP at the Ask and for the SL at the Bid?

If so then it's important if the TP is either a Stop Limit or Stop Market Order. For first the TP is filled exactly at the limit price but not sure that it was picked up. For latter its picked up but on the Bid which is mostly deeper then the price.

@tiddlywinks
"...trades at or above, or is bid at or above..."
I don't exactly understand, does this mean the TP is filled or only picked up at the limit?

"Also a consideration is where your orders are held... at the exchange, the broker, or on your local trading rig."
Do I get all this information from the broker?


My initial thought is does the spread have an impact on my TP and SL?

Example:
TP = +10
SL = -1

Without slippage (which is random) would these orders be filled exactly at the limit on average?

Thanks...
 
CannonTrading_Ilan said:
The two programs I feel handle SIM trading as close as possible to LIVE trading ( you dont get filled buying the bid unless enough contracts traded etc.) are:
CQG Q Trader and E-Futures Int'l. Demos are available for both.
More...

Hi CannonTrading_Ilan,
but then I'm wondering why in many cases in Bookmap the TP is filled for a Long Position at the Ask and for Short at the Bid? The only explanation would be that a TP is a Stop Limit Order?
 
Armin said:
Thanks DevBru and tiddlywinks!

Below I take out slippage because I think that should randomly cancel out.

@DevBru
"A TP is mostly a limit order"
So you mean its a Stop Limit Order? Thats new for me, but interesting.

"If you are long you will have a limit order on the ask as a TP and a stop order on the bid as a SL"
So you mean the Limit is triggered for the TP at the Ask and for the SL at the Bid?

If so then it's important if the TP is either a Stop Limit or Stop Market Order. For first the TP is filled exactly at the limit price but not sure that it was picked up. For latter its picked up but on the Bid which is mostly deeper then the price.
More...

1. No, a take profit is a regular limit order, an order you place on the ask, above your entry if you are long to take your profit at a certain price point. A stop limit order is a stop order at a price on the bid below your entry, that becomes a limit order once your stop price is reached, but doesn't guarantee a fill, price can continue to trade lower without your stop getting filled. A stop market order is a stop order at a price on the bid below your entry that is guaranteed a fill, however it isn't guaranteed to be filled at the price you placed it at since it can experience slippage.

2. Yes, if you are long your TP will be on the ask and the SL will be on the bid. The TP isn't a stop limit or a stop market order. If you place a stop limit or a stop market order above current market price it will open a long position instead of closing your long position.

A stop market order above the current market price acts a buy order, not a sell order.
 
Armin said:
Example:
TP = +10
SL = -1

Without slippage (which is random) would these orders be filled exactly at the limit on average?

Thanks...
More...

Your TP is a limit order so it will be always filled at the price you set it at, technically it could fill at a better price but that rarely happens, that would mean positive slippage, don't worry about that, you will very rarely experience it and it isn't a bad thing.

The SL depends:

1. If it is a stop limit order it will be placed as a limit order but if price has already gone below your stop level before the limit hits the orderbook your stop will not be triggered and your position will not be closed.

2. If it is a stop market order it can experience slippage, depending on which instrument you are trading, such as NQ these day's, you are very likely to get slippage, if you trade ZN for example it is very unlikely to get slippage.
 
Armin said:
@tiddlywinks
"...trades at or above, or is bid at or above..."
I don't exactly understand, does this mean the TP is filled or only picked up at the limit?

"Also a consideration is where your orders are held... at the exchange, the broker, or on your local trading rig."
Do I get all this information from the broker?
More...


Regarding the "or"... It's a question for the exchange directly. The definition allows both an actual print of the price OR a displayed bid/ask of the price (with no actual print) to be a trigger! The latter is generally thought of as a "touch"... as in a (M)arket (I)f (T)ouched order.

As for where your orders are held... First, it depends on the exchange where the instrument is traded, and whether or not the exchange considers the order type a native order or not. Secondly, the combinations of trading platform and/or data feed and/or broker/FCM may or may not allow "server-side" orders. If server side is not allowed (or available) for specific types of allowed order types, then the order will most likely be "client-side", meaning it resides on YOUR trading computer, subject to all the hazards of YOUR trading infrastructure and environment.

Your broker SHOULD be able to answer when server-side or client side orders are used for your specific setup.
 
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