E-mini slippage

[Alexandre]

Quote from jim c:

I dont really think this true. I work for a MM firm and trade strictly es futures. (and some yms) I am mainly hedging option trades and speculating a little. I think it could look that way if thats what you wanted to see. There is a lot of spoofing ect...but it is what it is. The liquidity is there no doubt. I have pumped 500 minis in to the offer and the mkt just sets there like..."is that all ya got". there are alot of conspiracy theories out there..i even try and spoof myself sometimes (sometimes it works...sometimes i get em stuffed down my throat..hehe). I dont really think that there are pure es market makers out there. just my 2 cents. jim

this is no conspiracy theory, it's better, faster and technologically superior trading implemented by some high frequency trading hedge funds.

 

[Alexandre]

Quote from 40Deuce:

you keep referring to "market maker" in ES . . . do you mean this in a figurative sense?

i do not believe there are many "real" market makers in es

yes, in a figurative sense, these are more high frequency trading hedge funds

 

[Alexandre]

Quote from jim c:

if youve got 100 to buy..throw 100 on the bid and get ready to bang out the offer if it starts to go. this sounds easier than it is of course. It seems like if ther are 250 or 300 left on the offer and you come in and scoop 100 of em you can sometimes get the market to go bid with you. im sure alot of people are trying to do this but with 100 or 200 es sometimes you can give it a little push. jim

true, even easier to do on the FDAX after hours

 

[illiquid]

Quote from Alexandre:

no, I'm saying that the market maker will cancel his order if the market is trending (on whatever scale) and your limit order will get filled against the trend (if you have a sell limit at 1295.5, market is 1295.25-1295.50 and you get filled, chances are market will move 1295.50 bid - 1295.75 offer).

That's what I meant with my post, but not here to put words in your mouth.

 

[Alexandre]

Quote from illiquid:

That's what I meant with my post, but not here to put words in your mouth.

sorry I didn't get it. thanks

 

[romik]

Quote from Alexandre:

in your case, slippage is for sure 0.25 point, but in my example it maybe 0.25 point but not always. You are right, I'm not causing waves with 100 lots, we are just discussing another type of slippage for limit orders (not the specific subject of the poll).

Just some members asked me why I felt my limit orders were always the last to be executed.

0.25 point on 100 lots is $1250.

come on now, trading 100 lots the value of 1 tick should not be substantial to the value of trading capital. I am sure $1250 is around 0.1-0.2% of your trading capital.

EDIT: I believe I misundestood you

 

[stock777]

Everyone thinks thier orders are the last to be executed.

Must be true.

 

[40Deuce]

Alexander-
you need to conduct some cntr party analysis before you start chiming in like you know whats going on in ES . . . esp. with the hedgies

depending on what you quantify as "high frequency" . . . the only hedgie that is playing close to a figurative "market making" role is a fund (ironically, based in Chicago) that comes thru Barclays Capital

if you know/ think otherwise, would love to hear your input

Quote from Alexandre:

yes, in a figurative sense, these are more high frequency trading hedge funds

 

[Alexandre]

Quote from 40Deuce:

Alexander-
you need to conduct some cntr party analysis before you start chiming in like you know whats going on in ES . . . esp. with the hedgies

depending on what you quantify as "high frequency" . . . the only hedgie that is playing close to a figurative "market making" role is a fund (ironically, based in Chicago) that comes thru Barclays Capital

if you know/ think otherwise, would love to hear your input

fair enough, I'm not saying I know who is doing what, I'm just try to infer what people with superior access to technology could do and benefit from other people's negative edge and possibly influence it.

There must be arbitrage relationships one can exploit with the ES, especially when combining that with the SP and cash trading. Not sure anybody does it though.

It's difficult to know what hedge funds are precisely doing with the ES. I would be surprised if funds like Rentech, De Shaw, BGI or Ikos didn't get involved, but how?

Maybe you can shed some light on who the big players are in the ES?

 

[1000]

Quote from Alexandre:

no butt kicked, up more than 100% in 5 months on a 6 figure account so no worry.

How long have you been trading for?

100% up in the last 5mts would suggest 1 point per day for 100 days?

Are you trading 1 point a day, daytrading or swinging?