CME Micro Fees Going Up Already! 10 cents a RT! 2021

[Laissez Faire]

Did anyone actually trade substantial volume of MES per clip?

I traded between 1-15 MES earlier this year, but experienced both slippage and some partial fills on limit orders and even no fill on some occasions. This was however not in a slow moving market. I also made a brief comparison between the two and the conclusion then was that they correlate to the tick most of the time, but there was some spikes now and then on the MES not happening on the ES.

I imagine that getting in and out of 30 + contracts may present some challenges, but I wouldn’t know...

 

[syswizard]

@tiddlywinks :
Thanks much for that.....very cool publication.
So, the CME volume was actually dropping YOY as of Sept 2020.
And both the Indian exchange and the Brazilian exchange moved ahead of the CME....and I see the numbers only reflected futures and options.

 

[bone]

I'm a bit surprised that Goldman is so pedestrian in terms of cleared customer swaps.

 

[tiddlywinks]

Did anyone actually trade substantial volume of MES per clip?

I traded between 1-15 MES earlier this year, but experienced both slippage and some partial fills on limit orders and even no fill on some occasions. This was however not in a slow moving market. I also made a brief comparison between the two and the conclusion then was that they correlate to the tick most of the time, but there was some spikes now and then on the MES not happening on the ES.

I imagine that getting in and out of 30 + contracts may present some challenges, but I wouldn’t know...

Micros have higher slippage than minis across the board.

While micro volumes are very good, each and every tick increment is not as thick as it's mother. It is very common due to limited b/a size at a given tick, for micros to trade through. Considering fungibility, in some ways this thin-ness can be momentary arbitrage opportunities for the primes as well.

 

[They]

You can easily go to 100 contracts MES

Yes, your rate of scale can be faster with MES but with commissions and the slippage you will began to experience it will always be better to be trading 1 mini once you hit 10 micros. 1 mini and 1,2,3,4,5,6,7,8,9 micros, then 2 minis and 1,2,3,4,5,6,7,8,9 micros, then 3 minis

It would be interesting to know the slippage one would get hitting the MES with a 200 lot market order. Talk about feeding an exchange members arb machine.

 

[Overnight]

Yes, your rate of scale can be faster with MES but with commissions and the slippage you will began to experience it will always be better to be trading 1 mini once you hit 10 micros. 1 mini and 1,2,3,4,5,6,7,8,9 micros, then 2 minis and 1,2,3,4,5,6,7,8,9 micros, then 3 minis

It would be interesting to know the slippage one would get hitting the MES with a 200 lot market order. Talk about feeding an exchange members arb machine.

Your cost efficiency on the micro v. mini stops at around 6-7 contracts. If you exceed 6-7 Micros, the mini would be more efficient on commish, last I checked.

 

[virtusa]

Yes, your rate of scale can be faster with MES but with commissions and the slippage you will began to experience it will always be better to be trading 1 mini once you hit 10 micros. 1 mini and 1,2,3,4,5,6,7,8,9 micros, then 2 minis and 1,2,3,4,5,6,7,8,9 micros, then 3 minis

It would be interesting to know the slippage one would get hitting the MES with a 200 lot market order. Talk about feeding an exchange members arb machine.

It is indeed optimal to combine ES and MES. 100 or 200 lot MES should be replaced by 10 or 20 ES. MES should be used to fill the gap between each extra ES contract. That would reduce commissions too without losing the compounding effect.

 

[tiddlywinks]

your rate of scale can be faster with MES

Not including costs, using his margin parameters, the rate of scale will be EXACTLY the same for ES and MES....

"The MES will be able faster to add a new contract. By the time the ES can add 1 contract, the MES will already be at 24 contracts. So 20% bigger trading size for the MES."

"Compare $5000 in ES with margin $5000 and $5000 in MES with margin $500. So you trade the same amount but with 10 times more contracts (and 10 times more expenses) in the MES"


24 MES per his margin parameters would require using 100% of account balance of 12k.
Alternatively, the account balance of 12k and margin parameters would support 2 ES and 4 MES. He clearly did not go that route!

The alternative is not what he posted in words nor in graph form.

Not including costs, the rate of scale is exactly the same between ES and MES using one-tenth margin and one-tenth tick VALUE.

 

[They]

Not including costs, using his margin parameters, the rate of scale will be EXACTLY the same for ES and MES....

"The MES will be able faster to add a new contract. By the time the ES can add 1 contract, the MES will already be at 24 contracts. So 20% bigger trading size for the MES."

"Compare $5000 in ES with margin $5000 and $5000 in MES with margin $500. So you trade the same amount but with 10 times more contracts (and 10 times more expenses) in the MES"


24 MES per his margin parameters would require using 100% of account balance of 12k.
Alternatively, the account balance of 12k and margin parameters would support 2 ES and 4 MES. He clearly did not go that route!

The alternative is not what he posted in words nor in graph form.

Not including costs, the rate of scale is exactly the same between ES and MES using one-tenth margin and one-tenth tick VALUE.

Wouldn't recommend this but if someone where to do it, the scale up IS FASTER using minis and micros together. Same size accounts, assuming $500 and $50 day-trade margins and $5 mini & $1 micro commissions, limit orders...

ES ONLY
Day1 account size $500) 1 ES +2 points = $100 -$5 commission = $95
Day2 account size $595) 1 ES +2 points = $100 -$5 commission = $95
Day3 account size $690) 1 ES +2 points = $100 -$5 commission = $95
Day3 account size $785) 1 ES +2 points = $100 -$5 commission = $95

ES & MES Combo
Day1 account size $500) 1 ES +2 points = $100 -$5 commission = $95
Day2 account size $595) 1 ES & 1 MES +2 points = $110 -$6 commission = $104
Day3 account size $699) 1 ES & 3 MES +2 points = $130 -$8 commission = $122
Day4 account size $821) 1 ES & 6 MES +2 points = $160 -$11 commission = $149

Extrapolate infinitum

 

[Overnight]

Same size accounts, assuming $500 and $50 day-trade margins and $5 mini & $1 micro commissions, ....

No, no NO! Your math assumptions are WRONG. OMG. Your whole study is WRONG! Jesus, man, just TRADE IT, and see how it works! Forget the academia!