Emini (ES) bid/offer behavior

A

axeman

I've never traded the Emini's and have some questions
about the behavior from ES traders.

Im paper trading right now.... curious about some
real life probabilities.

Suppose the the bid/offer is 1020.50 x 1020.75

If I enter a bid at 1020.50, and watch several prints
go by at that price, is there a decent chance I would
also have been hit at that price?

Or does the time stamped queue tend to be fairly long,
therefore making it very unlikely that I will get that
price before it ticks up?

Do you typically hit the offer when going long
when you scalp these?

Axeman
 
Depending on time of day, it's usually a couple hundred contracts deep. I wouldn't count yourself filled unless it prints a tick under your limit price.

-J
 
Axeman:

Forget about that the one tick that makes up the spread. Don't count on capturing it. Don't put in orders hoping that you will capture it. Just take out the bid or ask. Trying to capture that tick is an arbitrage game. There are rooms full of people who have direct connections with automated systems all designed to capture that tick. Don't try to compete with them. Trading from Iceland with 20 hops and ping time of half a second on a 56K connection, how are you going to compete? Just thank the arbs for providing the liquidity and hit the bid or ask. Waiting for price to trade through so you can get a fill can cost you big. It isn't worth it.

As a directional trader if you want to be long, then buy. If you want to be short, then sell. Don't dink around with an order under or over the market and hope you can get an extra tick. That's a game of indecision where one tick is the difference between a decision or a lost opportunity. If you want to place a trade, make up your mind and place the trade. Don't let the market dictate when you take a trade or exit a trade based on whether it ticks through or not. Missing getting filled can cost you lots more than a tick picked up here and there.
 
AXEMAN: Tripak just gave you fantastic advice. This is a VERY VERY fast paced action and you will do much better eliminating "cutie" execution moves
 
Just buy or sell, there is no confusion. If you have done your homework a 1/4 of a point wont matter, as it is the slippage anyway....
 
Ok.... so what do you think is the average scalping gain range
for ES? 50 cents <---> 1.50 points?? Anyone?

axeman

Originally posted by kjkenny45
Just buy or sell, there is no confusion. If you have done your homework a 1/4 of a point wont matter, as it is the slippage anyway....
More...
 
Originally posted by axeman
Ok.... so what do you think is the average scalping gain range
for ES? 50 cents <---> 1.50 points?? Anyone?

axeman
More...

It depends on your trade style. You can jot down some numbers to get a feel for what your likely outcomes would be. For instance if you have an average win of .5 and an average loss of .25 and a 50% win rate you have a positive outcome. However if you have a .5 avg win and a .75 average loss you have to win 60% of the time to just break even (not including commish). Remember that in general, the lower avg win the larger % that commissions become of your net. I try to keep commissions down to 30% of gross profits.

My experience is that you need to be doing 1-2 point gains to make out but there may be some who have mastered the micro scalp who could offer their wisdom.
 
One question. Do you think the minimum tick in the emini should be reduced to 0.1 so that it would trade more like the big S&P contract?

The smaller tick sizes would make scalping less attractive. I mean every time the market pauses swarms of scalpers are all over the bid/ask and sometimes is takes quite a kick to get the market moving again.

Also in the bottoming phases it would be easier to slip an order in ahead of a slowly rising market.

At 0.1 the minimum tick would be worth $5. Now it is 0.25 and is worth $12.50.
 
Originally posted by PuffyGums
One question. Do you think the minimum tick in the emini should be reduced to 0.1 so that it would trade more like the big S&P contract?

The smaller tick sizes would make scalping less attractive. I mean every time the market pauses swarms of scalpers are all over the bid/ask and sometimes is takes quite a kick to get the market moving again.

Also in the bottoming phases it would be easier to slip an order in ahead of a slowly rising market.

At 0.1 the minimum tick would be worth $5. Now it is 0.25 and is worth $12.50.
More...

Doing so would probably eliminate a lot of the arb's profit and thus decrease overall liquidity. I don't see how reduced liquidity would be good for directional traders. One of the main reasons the game is as good as it is now is that there is high liquidity and arbs lining up 5 levels deep with size. It would just make it more expensive to place trades imo.
 
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