Comparison of ES, NQ, YM & ER2

[nononsense]

Hi,

According to IB's web site, simulated marketorders would be placed at 0.3% better than the best bid or offer.

For small orders, say 5 or less contracts ES or NQ, the sizes of the bid and ask are usually much higher. One might expect the execution price for small orders to be at either bid/ask or maximum one tick beyond.

Is this generally the case? As such simulated orders are placed as limit orders at about $3.00 limits (eg. ES), what is the likelihood of getting filled at the limit with a 12 tick slippage? Did anybody experience this, except for special situations like spikes?

 

[Boomer]

what are the differences in trading these 2? why the emini over the sp500? can traders trade the sp500 profitably?

 

[chinook]

Quote from Boomer:

what are the differences in trading these 2? why the emini over the sp500? can traders trade the sp500 profitably?

sp500 is only traded in the pit. So most likely, your orders will have higher slippage than e-mini orders.

Chinook

 

[ElectricSavant]

You do not get the bid and the ask reported back on your trading platform with open outcry.......just the last trade.

So if you are intraday scalping or require any sort of precision the ES is the recommended instrument.

There have been studies done...and even with the increased commission the Es brings.....the extra ticks you make will more than offset that cost with multiple contract trading.

Michael B.

 

[Boomer]

thanks for the responses. for all of you who trade es primarily, what is your size? (contract #) what size do you think can be traded without experiencing slipage and other factors from larger size?

 

[ElectricSavant]

15-25 contracts will start netting you partials on ES

Michael B.

 

[stock777]

Quote from ElectricSavant:

15-25 contracts will start netting you partials on ES

Michael B.

Only if you are chasing a move. The inside is routinely over 200 contracts , as high as 1000+ depending on time of day, so if you have a level you want to buy/sell that's not really a problem. 25 contracts is nothing.

 

[Ken_DTU]

how about timing issues for e-minis? in seeing the charts, it seems that, like tier1 lead stocks or ETFs, one would need to either do quick scalps on large size, eg sub 15 minutes on 10+ contracts, or, longer term intraday trend trades, fewer contracts, for multi-hour holds, during morning or lunch session...


any insights, re timing for emini round trips, what time/size combination works best for you?


thx much,

ken

 

[bobcathy1]

ER2 has several problems to take into consideration.

Sometimes it trades less than 2,000 contracts a day.
You will wait quite a while for fills because it is thinly traded.
Slippage is at least half a point, $50 a contract.
Getting in and out quickly is impossible.

I trade this on a 15 min chart against a 60 min chart.
I use a trend following method.

 

[ElectricSavant]

Have you tried a tick chart?.....how many avg ticks would there be in 15 min? on the er2. Then your trend following entry and exit moments might be enhanced...just a thought


Michael B