Emini liquidity

J

J-Trade

Does anyone have any practical experience with trading relatively large size on ES eminis ? Whilst I am learning my way trading single contracts, my goal is to reach 10 lots, equivalent to 2 big ones, but I see in Time & Sales that a lot of trades are single trades only (although the bid & asks are often in the hundreds).

So I am wondering if, when trading 10 lots, the fills are (almost) as fast ? Also, what is a practical limit for eminis (commissions apart), before trading the full contract - with apparently much greater slippage & slower fills - becomes necessary ?
 
You didn't say which e-mini you are trading. The S&P500 usually has ~30-40% higher volume than the Nasdaq100 e-mini and is considered the most liquid electronically traded contract in the US futures market.

I traded 5-15 lot NQ positions in December without significant slippage but haven't traded that size in weeks. I doubt liquidity/slippage would be significant with a ten lot with either but with the spikiness (sp?) of the NQ this month, stop execution is an issue.

With my broker, who uses J-Trader (probably the cheapest btw) stops must be placed as stop limits and the trigger and limit price can be as far apart as you feel comfortable.

My experience with a popular discount broker and their handling of stop orders was not good. The NQ boys like to pull bids/offers and I got top ticked a couple of times when I made the mistake of having a position when minor economic numbers were released.

It seems that their stop-market orders (which are submitted on their end as limit orders) were not executed until the market was several points away from my stop price. I believe I could have gotten better execution sitting with my finger on the trigger with a limit order a couple of points above my mental stop price and no stop order in.

Since the company is known to have a proprietary trading division, I have no reason to believe that they wouldn't have their computers programmed to let them pick up some easy money on occasion.
 
base-hitr

You mentioned that your broker, who uses J-Trader, is "probably the cheapest". May I ask who your broker is and what their commissions are? Thanks a lot.

Haas
 
J-Trade: “So I am wondering if, when trading 10 lots, the fills are (almost) as fast?”

I regularly trade 10 lots and greater. In general, I have few complaints with speed or slippage, particularly in the ES, although many of my trades occur in areas of relatively decent volume. The NQ is a bit of a different matter.

I did not engage in trading over the holidays but volume appears to have remained light into the New Year with the notable exception of the last two days. It remains to be seen if the lower activity will continue and what type of an effect it will have on my trading.

“Also, what is a practical limit for eminis (commissions apart), before trading the full contract…”

I don’t really know what it would be now. I’ve dropped my size for a number of reasons, not the least of which being the reduced hourly ranges.

base-hitr: “Since the company is known to have a proprietary trading division, I have no reason to believe that they wouldn't have their computers programmed to let them pick up some easy money on occasion.”

It’s good to see that I’m not the only one displeased with “a popular discount broker”. What a nightmare it was to trade with them and what a blessing it has been to get away.
 
with regard to size, I think any lot over 30 eminis is sent to the pit to be filled all or none. Im not sure on this, so check the CME website.

I cannot overstate this strongly enough. Demonstrate to yourself that you can trade one lot profitably before scalling up. If you cant make money with on contract, you won't with ten. Do not underestimate this.

Best,

Mike
 
Replies greatly appreciated - thanks.

I have a carefully formatted srategy & will not increase from 1 to 2 contracts until I am consistently averaging +2 pts / day (I am not in a hurry !).
 
Guys,



The limit with E-mini's for the S&P contract is 250 contracts,

determined by the exchange.

The optimal size that gives you the maximum profit

in dollars depends from your trading style.

I have put this in a mathematical formula that can calculate

this optimum size of contracts where your dollar profit reaches

a maximum.

Suppose you trade 1 contract then in 99.99 % of cases

you will have a .25 spread when you increase the number

of contracts the average spread will be higher then .25 so

that you will make less points.

This optimal number of contracts is a function of your

average number of points per trade and the average size

of volume at the bid and offer.

If someone wants to known this optimal size just let me

known !



Regards,
Sabena.
 
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