TF futures are much thinner than when that contract traded on the CME. previously, you could easily buy or sell 100 futures at the market and get a reasonable fill. now i'm not so sure. i wouldn't be uncomfortable sending 25 or so to the market. most of the liquidity is probably based on an auto-trader vs more liquid products.
Bid/Ask in TF and YM
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yes...looking at the T&S, i think its real hard to fill anything >7 size, sometimes it moves 3T with just 3-5 size. when i 1st started out, i thought TF would be a great candidate since i can grab quite huge total ticks/month with range trade style, but this comes with the expense of size limitation...
am diverting focus to ES, will try to scalp it for few months. but commission is the real problem, to lower it down below $3/RT, think i'll have to apply for the membership. anyone here trading ES with cme membership?
am diverting focus to ES, will try to scalp it for few months. but commission is the real problem, to lower it down below $3/RT, think i'll have to apply for the membership. anyone here trading ES with cme membership?
for those interested in low comms w/ no negotiating check out lightspeed. even w/ their latest fee increase it's still very low.
http://www.lightspeed.com/
remember if you buy/lease an exchange membership you have to pay SE tax!
http://www.lightspeed.com/
remember if you buy/lease an exchange membership you have to pay SE tax!
I have seen orders slice right thru these fake bids and offers to get executed 3 points away from current bid offer. A lot of what you see is just show, under that 25 may be 2 actual orders that could be filled.
Thats what I was afraid of. I guess for big size you need to gradually build up a position, but like today when we reversed up from the low of the morning I put on about 80% of my position and got filled and thought with the volatility I could get a better price with the rest but it never gave me a chance to put the rest on and I hit my exit a few minutes later. One idea I had to put on bigger size was just use a market limit order but at 2 ticks above the current market. Has anybody ever tried to do this? Or do you still have the same problem of most orders getting pulled and your just two ticks out of the market.
I tried last night (US morning session) putting on larger TF position but slippage is the real problem as what we said, even though few tens were sitting there, they got pull-off before i got executed. Anyway, switch gear to ES now, spent few hours reanalyze the market structure & rewrite a new plan for it (basically port over most things from TF/FDAX exp), and am trading it now. So far so good with the scalping style...
taking out the first 3 bids seems reasonable to me to send 100 futs into the market. it's only .30, or essentially the bid/ask for the ES fut contract.
if you want to be able to trade some size, and .20 or .30 is preventing you, you are doing something wrong.
fyi, my future orders were hedges, so some slippage is expected.
use limit orders. you can probably be filled on 20 pretty easily MOST of the time if you just sit on your limit at or near the current price.
For the SOME of the time when you can't get out of your Russell position at a good price (when the market is running away) - don't use market orders - you are probably going to pay up 0.50 or so to get out of 25 contracts. Use a market order bid on the ES. This is what I would do. If I were in a position say short 25 contracts that was running against me and was afraid to buy at the market (putting in one of those spikes that show up all the time in the russell2k) I would have a "puke ES" button that would neutralize my postion so that I could reexamine it later. I'd set it to 40 ES contracts which I'm sure I could get on the offer no problem. Later, when the market calmed down, I would get out of each side with limit orders.
For the SOME of the time when you can't get out of your Russell position at a good price (when the market is running away) - don't use market orders - you are probably going to pay up 0.50 or so to get out of 25 contracts. Use a market order bid on the ES. This is what I would do. If I were in a position say short 25 contracts that was running against me and was afraid to buy at the market (putting in one of those spikes that show up all the time in the russell2k) I would have a "puke ES" button that would neutralize my postion so that I could reexamine it later. I'd set it to 40 ES contracts which I'm sure I could get on the offer no problem. Later, when the market calmed down, I would get out of each side with limit orders.