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Daytrading with SIZE
- Thread starter LelandC
- Start date
Originally posted by Jim Bartley
I thought Globex limited to number of contracts you could trade to alot less than a few hundred. Has this been changed? If you can in fact trade that kind of size, I would wonder why anyone would trade the full size contracts in the pit.
For ES and NQ you can trade up to 250 on a single order and the overall position limits are similar to those for the big contracts (IIRC S&P was 5K cars). The limit used to be 50 but that was lifted a while ago. After it was lifted the liquidity on the minis just took off.
Originally posted by sabena
Tripack,
The last time I asked a broker, he told me
250 limit size on E-mini S&P and NO limit on
E-mini Nasdaq.
I believe the former limit was 30 and not 50
like you mention...
Correct me if I am wrong..
250 contracts at a time applies to all Globex traded products. I've had this conversation on another thread it seems. I think the 50 was the presplit # of contracts and the 30 was the post split # but it was so long ago that I could be wrong and it was always just 30.
As far as average size at bid and ask, my gut tells me that the average is over 100, but I guess it depends on how you are figuring it. How are you figuring the average? Are you taking into account the max # of cars at each price level and averaging it over all price levels? Or are you taking all the posted bids and asks at a particular price level and averaging them for that price level and then adding up those averages across all price levels?
Ok I looked up the post and found the spot on the CME site regarding contract limits. The limits apply to all GLOBEX traded index futures and is 250 contracts:
Previously discussed at:
http://www.elitetrader.com/vb/showthread.php?s=&postid=47647&highlight=250#post47647
CME's Globex Rule 557B: Restrictions on Stock Index Futures Traded on Globex
http://www.cmerulebook.com/cmewg/wg.dll?page&file=c5
Previously discussed at:
http://www.elitetrader.com/vb/showthread.php?s=&postid=47647&highlight=250#post47647
CME's Globex Rule 557B: Restrictions on Stock Index Futures Traded on Globex
http://www.cmerulebook.com/cmewg/wg.dll?page&file=c5
Well, the best bid or offer is a little bit over 100, the average
for the last 10 days was 107.
It depends over which time frame you calculate the average
off course...
I make the average for each price level seperately.
Because the orders are limit orders and people put in limit
orders away from the current market price, it is evident
that the size at the next bid or offer is bigger than at the
best bid or offer.
The ratio of the size at the next best bid or offer divided
by the size at the best bid or offer is about 1.7
I take about 100 samples daily at each price level, so
that's more than enough to make reliable estimations
of the averages.
In the beginning of 2002 the average at the best bid or offer
was around 75.
If we go back to 2001, it used to be around 40.
So we are definetely on the good track !
for the last 10 days was 107.
It depends over which time frame you calculate the average
off course...
I make the average for each price level seperately.
Because the orders are limit orders and people put in limit
orders away from the current market price, it is evident
that the size at the next bid or offer is bigger than at the
best bid or offer.
The ratio of the size at the next best bid or offer divided
by the size at the best bid or offer is about 1.7
I take about 100 samples daily at each price level, so
that's more than enough to make reliable estimations
of the averages.
In the beginning of 2002 the average at the best bid or offer
was around 75.
If we go back to 2001, it used to be around 40.
So we are definetely on the good track !