E-mini slippage

[murray t turtle]

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

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As an elitetrader suggested ,could use faster market orders & maybe lose.25;
almost always prefer a liimit order.
Usually fast enough for me.

 

[volente_00]

Slippage is just part of doing business in trading. 1000 cars can be done for .25 most of the time by banging the ask.

 

[mcurto]

That hedge fund that clears Barclays Capital is none other than Citadel Group (they clear the same house for bonds at CBOT). I think the biggest locals in ES from what I have heard are the Iceman (Kingstree trader) and the Russian from Gelber. I am talking guys that just straight-up trade as locals or market-makers, often on both sides of the order book and loading it up (especially the Russian, who I heard for a period was trading with himself, especially overnight). They are in no way associated with anything close to rocket-science, whereas Citadel is essentially running a black box probably arbing against the cash.

 

[stock777]

You got me. Other than tape painting, what does trading wth yourself accomplish?

 

[wareco]

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

Its just as easy for you to tell if the market is trending as a "MM". If you don't want to get hit by a truck, then get out of the road.

 

[Buy1Sell2]

Quote from mcurto:

That hedge fund that clears Barclays Capital is none other than Citadel Group (they clear the same house for bonds at CBOT). I think the biggest locals in ES from what I have heard are the Iceman (Kingstree trader) and the Russian from Gelber. I am talking guys that just straight-up trade as locals or market-makers, often on both sides of the order book and loading it up (especially the Russian, who I heard for a period was trading with himself, especially overnight). They are in no way associated with anything close to rocket-science, whereas Citadel is essentially running a black box probably arbing against the cash.

locals in ES?

 

[mcurto]

Locals, guys trading their own account, essentially as scalpers/market makers/crazy all-together. These are the guys that have at least 500 or so at every price level, constantly in and out of the market, bidding/offering, jamming other traders, flipping, stop running, and of course just plain cancelling. They don't trade with charts at all, just purely off of perceived order flow, since they are most of the size in the book, they know at which levels paper is working or can feel when they start to come in. Exact same thing in the 10yr note on eCBOT.

 

[rufus_4000]

Quote from mcurto:

Locals, guys trading their own account, essentially as scalpers/market makers/crazy all-together. These are the guys that have at least 500 or so at every price level, constantly in and out of the market, bidding/offering, jamming other traders, flipping, stop running, and of course just plain cancelling. They don't trade with charts at all, just purely off of perceived order flow, since they are most of the size in the book, they know at which levels paper is working or can feel when they start to come in. Exact same thing in the 10yr note on eCBOT.

And the same thing in indicies and EuroDollars, of course. The whole Globex / eCBOT messaging policy is targeted at automated trading systems generating too much noise. But if an automated trading system accounts for a large enough percentage of the overall daily volume, then the exchange are embracing it, since the ATSes generate large amounts of exchange fees.

 

[1000]

Quote from rufus_4000:

And the same thing in indicies and EuroDollars, of course. The whole Globex / eCBOT messaging policy is targeted at automated trading systems generating too much noise. But if an automated trading system accounts for a large enough percentage of the overall daily volume, then the exchange are embracing it, since the ATSes generate large amounts of exchange fees.

Then they go screw up at the Nymex.

 

[1000]

Gasoline

http://www.krradio.com/MVOnDemand/vid108.php