Big Players "Treading Lightly"?

[bone]

Do you think you can buy 5k lots on the e-mini sp in 5-10 minutes?

You could buy 5K lots in ES in ten seconds if you are best bid and SPY is ticking down. Just about all of the big traders ICEBERG orders to fill size which is the smart way to go about it.

If stocks on the NYSE are ticking down a 5K lot in the ES is not going to stop that. All of the popular futures trading platforms that are used by big traders and firms have ICEBERG order functionality for good reason. TT, CQG, IB...

Even on the floor in the pit twenty years ago the floor brokers would scale buy or sell for the big firms and funds. And they would also do big blocks with each other and big locals for that matter.

 

[comagnum]

The Feds economic projections on June 10th is when the book depth took a dive. You can be the judge on what that means.

ES, June 2019

ES, June 2020

 

[NoahA]

I personally don't see what effect the bid depth has on the market. As Hafez pointed out, the volume is still there. These days, you simply don't need to have resting orders. Once price gets to where you want to buy, bam, your algo will take whatever is there in a micro second. Then you wait another micro second to see if it refills, and then you take more if you want.

I have noticed that right before major news, like FOMC, the depth does drop drastically, but once again, with algos able to place or remove trades in micro seconds, its almost unnecessary.

Would anyone really think that price is going up or the market is strong if you see a total of 10K contracts on the BID across the 10 levels if the ASK levels only add up to 5k? Or put another way, if all of a sudden you see many BIDs pulled, would you be inclined to short? The market can turn on a dime without anything in the order book outside of the NBBO. Sometimes you see a flush of all 10 levels taken out at once, but this too has no predictive value because often times price reverses anyway as opposed to continues.

These are games for the algos, in my opinion, but the depth of the order book in no way affects the true state of the market.

 

[Nighthawk]

You could buy 5K lots in ES in ten seconds if you are best bid and SPY is ticking down. Just about all of the big traders ICEBERG orders to fill size which is the smart way to go about it.

Of course ICEBERGS are one way to execute orders in size. There are many others.

It all starts with some good, old groundwork - simple questions must be answered like:

- What´s the maximum quanitiy you can place in one single order per instrument traded?

Accordingly, CME´s Globex product reference sheet needs to be scrutinized:

https://www.cmegroup.com/confluence/display/EPICSANDBOX/GCC+Product+Resources

For ES, maximum quantity is 3000 per ticket.....

So, any ET out here executing 3000 contracts in one clip?

If yes, reach out to me We could exchange some experience in doing so

 

[Nighthawk]

The Feds economic projections on June 10th is when the book depth took a dive. You can be the judge on what that means

This meant that Citadel, Virtu, FlowTraders, Sun Trading, DRk, IMC, GSA Capital, Hudson River, Jump and Optiver switched off their colocation servers?

 

[p0box4]

It means there are LOTS of (new?) small players driving prices now... you know, the "Robin Hood" effect ('cept they have to pay fees and commish to trade futures, you know.)

No, higher liquidity always results in less depth in the books/smaller size trades. Traders take smaller sized trades for the same risk:reward. This has nothing to do with "real money shunning the markets".

Those days where the order book showed 1000s of contracts on each tick where also days in which the ES had maybe a 5-10 point range for the entire session.

Let me give you an example, if you are looking at a potential trade and the max risk you want to take is $10K, when ES is ranging the stop might be 2 points resulting in a 100 contract position. In current markets your stop will need to be wider, maybe up to 10 points resulting in a 20 contract position.

Same risk:reward, different size. This always happens when liquidity increases.

 

[Sekiyo]

Sure.



https://www.cmegroup.com/campaigns/...d-19-supply-demand-and-market-conditions.html

 

[Scataphagos]

No, higher liquidity always results in less depth in the books/smaller size trades. Traders take smaller sized trades for the same risk:reward. This has nothing to do with "real money shunning the markets".

Those days where the order book showed 1000s of contracts on each tick where also days in which the ES had maybe a 5-10 point range for the entire session.

Let me give you an example, if you are looking at a potential trade and the max risk you want to take is $10K, when ES is ranging the stop might be 2 points resulting in a 100 contract position. In current markets your stop will need to be wider, maybe up to 10 points resulting in a 20 contract position.

Same risk:reward, different size. This always happens when liquidity increases.

Disagree.

Sounds like you're assuming a big player is looking for a "target" profit amount. I don't presume that. I don't use targets... they're contrary to "letting your profits run". Nobody should trade with targets. The market will tell you when it's time to get off of a winner instead of you arbitrarily having a goal for the trade.

If a big player who might otherwise trade a 2k lot now trades a 200 or a 50 lot, he's "shunning" the market because the market depth won't support his desired size trade. Trading 1/10 his usual size doesn't do much for his overall capital... just has him "trading for the sake of trading".

 

[EsKiller]

Do any of you daytrade ES everyday ? (not a condescening question just curious)

I do and I can tell the sentiment change in this market. late march - early June besides the fact that it went straight up..... price moved a specific way in which its clearly not moving now. I really can't explain it. I guess if you watch price bars move 3-6 hours a day you will understand what I'm talking about.

That being said, the institutional effect is clearing occuring now. April marked the beginning of the 'big players' quarter. They booked 30-50% profits on ES so there's obvious distribution now. Once july starts (new quarter for them), I'm assuming we'll see some more buying pressure once this market gets to a value zone.

 

[Scataphagos]

Do any of you daytrade ES everyday ? (not a condescening question just curious)

I do and I can tell the sentiment change in this market. late march - early June besides the fact that it went straight up..... price moved a specific way in which its clearly not moving now. I really can't explain it. I guess if you watch price bars move 3-6 hours a day you will understand what I'm talking about.

That being said, the institutional effect is clearing occuring now. April marked the beginning of the 'big players' quarter. They booked 30-50% profits on ES so there's obvious distribution now. Once july starts (new quarter for them), I'm assuming we'll see some more buying pressure once this market gets to a value zone.

Yes, I trade every day.

I disagree with almost all of your presumptions.