Chicago Live - depth of market ?

[Girlpower]

Quote from Cheese:

[BMost 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.[/b]

Pretty much echoes what I said earlier about sweeping for a fill on 100...

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?

If you take ES depth on the 5 levels (usually about 2500-4000 cumulative offered or bidfor - can be a lot more though) and divide that by 12 or 13 to get from the .25 tick size to equivalent .1 size, you would end up with something of the order of 250-350 offered/bidfor routinely as the size at each level of the depth on the 0.1 (equivalent of 1 point for YM).

YM doesn't come anything close to this level, so people look at it by comparison as illiquid. Clearly it is not as liquid, but then I suspect there are many fewer players involved too.

ES is a very crowded instrument indeed (with the migration of many former stock traders), which can at times be a good thing, and at other times a bad thing. Sometimes ES is actually held back by the sheer volume of contracts going through, where YM can be more volatile. That too can be either good or bad depending on your viewpoint and what you are seeking with your methods.

best

Natalie

 

[Cheese]

Thank you, Girlpower. Yes, my observations of the sizes on the Dow mini do echo your excellent advice - seems to be that the bigger sizes are routinely split with half the size a point more (if buy) or a point less (if sell). For me I enjoy trading the Dow simply because I've done an awful lot of homework on it and have compiled its various parameters.

I have an open mind and would migrate to or use as well the ES if it was necessary as part of moving up my size.

You explain the greater liquidity of the ES and yet its funny how you have market gurus recommending the mini-Dow as the better instrument. Are there reasons for this?

 

[Girlpower]

Quote from Cheese:

Thank you, Girlpower. Yes, my observations of the sizes on the Dow mini do echo your excellent advice - seems to be that the bigger sizes are routinely split with half the size a point more (if buy) or a point less (if sell). For me I enjoy trading the Dow simply because I've done an awful lot of homework on it and have compiled its various parameters.

I have an open mind and would migrate to or use as well the ES if it was necessary as part of moving up my size.

You explain the greater liquidity of the ES and yet its funny how you have market gurus recommending the mini-Dow as the better instrument. Are there reasons for this?

I was merely explaining the size difference, not trying to influence you towards one or the other. As for the gurus - I never listen to what they say anyway...

They are different markets with different characters. Both valid, both tradeable, but very different as is NQ again from the other 2.

You trade the one you are happiest with and can do best in, then diversify onto the next and so forth.

YM can be a very nice instrument to trade, but it does have a nasty bite sometimes when the size disappears and the stops cascade like dominos. Probably not a good idea to set all your stops on one level either....

good luck!

Natalie

 

[Cheese]

No, Girlpower, I didn't take anything you have said as trying to influence me.

Have constructed my own strategy but this thread has given helpful stuff on the question of larger sizes .. and about liquidity.

Good trading .. and all the best; many thanks.