Does Size Matter?

P

pleckerchris

How many contracts can you trade (as a scalper) before you start moving the price/disrupting order flow? Is 100 a realistic lot size to enter on market order and sell on market order for 10-20 tick scalps at a time? I've traded anywhere from 1 to 10 and was wondering what's the largest anybody else has been?
 
A 100 lot is going to consume 4-5 levels of the book in many cases. Absolutely not tradable the way you describe save for the most liquid times (here I am talking CL).
 
CL (and I suspect Brent as well) are thin markets even if you are trading 20 or 25 contracts. You are not going to be able to scale up as you can in ES. Throw up some tick charts -- say 20 ticks per bar -- and take a look at how little volume it takes to trade right through a price. It can be pretty amazing.
 
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