Chicago Live - depth of market ?

dowfish · Sep 11, 2003

Newbie has become profitable and doing well with $5 DOW.

Using CBOT streaming quotes and free "Chicago Live" and "Superdow" programs - depth of market display:

1. is there a way to tell when a trade has been consumated ?

2. is there a way to tell lot size traded ?

Help pages are of course useless.

This is new to me, appreciate any help to better understand how to interpret "depth of market'" regardless of any equivalent program !

Thanx,
dowfish

Cheese · Sep 11, 2003

Am also a newbie on this particular BB (Elitetrader).

Would be very interested in any assessments/comments on the liquidity and speed of execution for trading the $5 Dow, say between 1, 5 and 100 lots of this contract in one hit?

Girlpower · Sep 11, 2003

Quote from Cheese:

Am also a newbie on this particular BB (Elitetrader).

Would be very interested in any assessments/comments on the liquidity and speed of execution for trading the $5 Dow, say between 1, 5 and 100 lots of this contract in one hit?

1 no problem - (obviously)
5 still easy enough but split (partial) fills from time to time.

100 - there is rarely that much size available at any level and you would be needing to sweep 2 or 3 ticks to get in/out on most trades and would leave yourself open to having your stop taken out. I'm sure many would go hunting for your stop seeing that kind of volume going through on that instrument..

speed of execution - not as fast on ACE as it is on Globex (ES NQ) but quick enough...

Best

Natalie

Cheese · Sep 11, 2003

Girlpower, thank you for your help.

I read on a UK BB from someone who had acted as an assistant to a trader who apparently could do hits of 100 $5 Dows at a time; it seemed that there was sufficient liquidity. But my interest is in staking .. I have a 'statistical/time axis modelling strategy' which works very accurately on low staking using online trading facilities.

If there is the market depth then staking can be continuously increased up to the limit of easy liquidity. Do you see problems in hits of 10, 20 .. up to say 50 or 60 contracts at a time?

It is always best to ask experienced DOW players such as yourself.

Girlpower · Sep 11, 2003

Quote from Cheese:

Girlpower, thank you for your help.

I read on a UK BB from someone who had acted as an assistant to a trader who apparently could do hits of 100 $5 Dows at a time; it seemed that there was sufficient liquidity. But my interest is in staking .. I have a 'statistical/time axis modelling strategy' which works very accurately on low staking using online trading facilities.

If there is the market depth then staking can be continuously increased up to the limit of easy liquidity. Do you see problems in hits of 10, 20 .. up to say 50 or 60 contracts at a time?

It is always best to ask experienced DOW players such as yourself.

How liquid you consider YM to be is going to deped on type of trades you are trying to do and the time of day etc. It is a question with far too much variable in it to simply answer.

I suggest you pull up an R/T feed with depth and study it r/t for a couple of weeks with whatever strategies you wish to use in mind. You will then get your answers for each strategy...

Best
Natalie

nitro · Sep 11, 2003

I never understood questions like these.

Here is what I do:

0) watch the B/A and how many go off at each for a while.
1) move mouse over to execution window.
2) bid/offer/trade, 1, then 5, then 100 contracts.
3) take note of what happens and go to step 0 or 1.

nitro

Quote from Cheese:

Am also a newbie on this particular BB (Elitetrader).

Would be very interested in any assessments/comments on the liquidity and speed of execution for trading the $5 Dow, say between 1, 5 and 100 lots of this contract in one hit?

Cheese · Sep 12, 2003

Girlpower and Nitro, I really appreciate the advice you have given.

Now that I use a strategy (admittedly complex) that works .. I am proceeding along the lines of doubling my staking whenever I reach each next doubling of my trading capital .. always rigidly keeping the same pro rata risk. So trading 1 lot became trading 2 lots and that becomes 4 lots. It then begins to hit home that market liquidity would become the next big concern if I wanted to carry on like that.

Nitro, I notice that your slogan says ..BUT ABOVE ALL, YOU GOTTA DO SIZE!

nitro · Sep 12, 2003

Quote from Cheese:

...Nitro, I notice that your slogan says ..BUT ABOVE ALL, YOU GOTTA DO SIZE!

Yeah,

It is a reminder to myself to get some MAJOR COJONES one day.

nitro

Girlpower · Sep 12, 2003

Quote from Cheese:

Girlpower and Nitro, I really appreciate the advice you have given.

Now that I use a strategy (admittedly complex) that works .. I am proceeding along the lines of doubling my staking whenever I reach each next doubling of my trading capital .. always rigidly keeping the same pro rata risk. So trading 1 lot became trading 2 lots and that becomes 4 lots. It then begins to hit home that market liquidity would become the next big concern if I wanted to carry on like that.

Nitro, I notice that your slogan says ..BUT ABOVE ALL, YOU GOTTA DO SIZE!

If you are hitting liquidity problems reduce some size and diversify?

Best

Natalie

Cheese · Sep 15, 2003

"0) watch the B/A and how many go off at each for a while.
1) move mouse over to execution window.
2) bid/offer/trade, 1, then 5, then 100 contracts.
3) take note of what happens and go to step 0 or 1."
Nitro

Humbly added a bit homework on the mini Dow to "watch the B/A and how many go off at each for a while". Yes, immediately illuminating!

Most trades appear to be small but with a regular occurrence of larger sizes .. it seems that 50-100+ sizes often get split with half of the size at a point higher price.

So it does seem there is often sufficient liquidity. Why is that on trading BB's the alleged poor liquidity of the mini-Dow gets slated against, say, the liquidity and depth of the S&P 500 mini?