ES fill price anomaly question
- Thread starter zx12
- Start date
In your earlier post you were talking about "last" hitting a number. The thing that you need to understand is that "last" is the last contract trade price. It is not the current bid and ask. Your orders will be filled based on the current bid and ask and not the last price.
For example if the "last" shows a value of 1050.00, the bid could be 1050.00 and ask 1050.25. If the "last" shows a value of 1050.00, the bid could be also be 1049.75 and ask 1050.00.
Your trade will be executed on the bid or ask price, not the "last" price. In your example, if you have a sell limit order at 1050.00; the bid would have to hit 1050.00 for your order to be executed, assuming that the market is trading under 1050.00 at the time your order was placed. If the bid is at 1050.00, the ask would be at 1050.25, and the last may be at 1050.00 or 1050.25. As long as the bid is at 1050.00 and the ask is 1050.25, the "last" will fluctuate between 1050.00 and 1050.25.
For example if the "last" shows a value of 1050.00, the bid could be 1050.00 and ask 1050.25. If the "last" shows a value of 1050.00, the bid could be also be 1049.75 and ask 1050.00.
Your trade will be executed on the bid or ask price, not the "last" price. In your example, if you have a sell limit order at 1050.00; the bid would have to hit 1050.00 for your order to be executed, assuming that the market is trading under 1050.00 at the time your order was placed. If the bid is at 1050.00, the ask would be at 1050.25, and the last may be at 1050.00 or 1050.25. As long as the bid is at 1050.00 and the ask is 1050.25, the "last" will fluctuate between 1050.00 and 1050.25.
Quote from zx12:
ok, posters, you caught my bad!! I am sorry, the example should have been a SELL at 1050.00 not a buy! I feel so dumb!! But I am use to it by now!!
OK, so the example is. ES, is trading below 1050.00 I put in a sell at 1050.00, I will not get filled unless current price hits 1050.25 ever!! I mean my order will stay out there unfilled forever until & if price rises to 1050.25, current price could be trading at 1050.00 forever. So in effect, I am down 1 tick immediately!!
Very sorry about the confusion & thanks for the patience, guys!!
BTW, not the first time I said buy when I meant sell!!
Thanks Tomahawk for the replies. I am not worried so much about the 1 tick. Rather than the anomaly exists, the 'trade through', & I thought there was a term for it. Woodies explanation was very good also, thanks Woody. Let's look at it this way, if the high of day on the ES is 1050.00, I could not short/sell it at this price, and get a fill. The HOD would have to move to 1050.25 for me to get filled at 1050.00 short!?
Actually, that probably would have been a better way for me to word it, from the beginning.
Actually, that probably would have been a better way for me to word it, from the beginning.
HOD ask => 1050.25 with no trade there makes 1050.00 bid sell high trade / print of day. ask can flash 50.25 but have no long trades print. still not selling true high of day.
I use IB also and get that a lot. I will miss trades because even though the last traded price is at 1050, it can sit there for 5-10 seconds(feels like a minute) and then reverse without filling me.
Most trades will go past the 1050 after I get filled, although occasionally it will be the highest price for that period. Even if I`ve had the order in for a long time, say over 20 minutes, it seems I`m still near the end of the line. I don`t know if it`s large lots that get filled first, IB routing software or the exchange. Have had similar experience with options where the price moves away from you as soon as you place the order. When you hear about flash trading you do tend to get a bit paranoid.
I don`t scalp single points but go for at least 4 NQ so I`ve learned to take the market price if it gets near or reverses after sitting at 1050 but not filling. It`s not worth the frustration which can affect you on other trades.
Why you people even trade garbage like the ES is beyond me. The ratio of slippage costs to daily range is atrocious on this piece of crap. Try FDAX, CL, 6B, TF, or NQ... hell, most things are better than this piece of garbage. Unless you really need the huge liquidity (and most people don't), you are doing something really dumb by trying to trade an instrument like this instead of stuff that gives you a much better risk/reward ratio. You wouldn't even be asking this type of question if you traded something better like the contracts I mentioned.
I am relatively new and trade a single NQ contract because I like the $5 tick and lose less on the trades that go against me.
Obviously I am a million miles away from needing the super liquidity of ES but assumed that the liquidity would result in less slippage not more. I frequently enter on a stop and am generally pleased with the fills. What am I missing that makes ES such a "piece of crap".
Obviously I am a million miles away from needing the super liquidity of ES but assumed that the liquidity would result in less slippage not more. I frequently enter on a stop and am generally pleased with the fills. What am I missing that makes ES such a "piece of crap".
I can't believe no one mentioned .... the orders are in a price / time queue. When you place your order you are at the back of the queue. So if you keep changing your order you will probably need a trade-through to get filled. If you place your order hours ahead of time and let it sit there, you will be ahead of all the johnny-come-lately's and might have better luck.
In fact there are bots that try to game the queue to gain an edge against the spread.
In fact there are bots that try to game the queue to gain an edge against the spread.
What you are missing is the same thing that a vast majority of traders on this site seem to also miss (amazingly), and that is without a shred of doubt the single most important factor that determines your potential to make profit on a trading instrument as a directional trader.
Your chances of making money are directly tied to the distance that something moves over a given period of time, and more specifically, the distance that it moves relative to how much it costs you to get in and out.
Let's take two examples:
Example A:
An instrument that trades in a 40 tick range from peak to trough in a single day, which costs you 1 tick to get in for slippage (crossing the market), and another tick in commissions. This is what you get when you have a day where ES moves 10 points, for example. There are only 40 ticks of movement from high to low that day, and it's costing you 2 ticks round trip on every trade, or 5% of the entire daily range just to get in and out!
Example B:
FDAX. During the EXACT SAME PERIOD OF TIME the stupid friggin' contract from hell called ES is moving in a MIND-BOGGLINGLY PATHETIC 40 tick range, the DAX is moving in a 160 tick range. The average spread on the DAX is between 1-2 ticks, and commissions are about .3 ticks to get in in and out, so let's say that total slippage is 2 ticks. That means that it only costs you 2/160 = 1.25% of the daily range to get in and out. That is FOUR TIMES BETTER than the ES.
Do you stupid friggin' morons who trade the ES with a small amount of contracts actually understand what this means? It means that you can employ all kinds of strategies on something like the DAX that you can't do on the ES.
For example, you never have to guess where a trend resumption is going to happen, because you can position it so the market spikes through an entry stop and puts you in an instant profit position as the trend resumes.
It means that you never have to worry about crossing the market to enter a trade, because the spread is very small when compared to how far it moves, EVEN IN CHOPPY TIMES.
It means that commissions, for all intents and purposes DO NOT ENTER THE EQUATION AT ALL because they are EFFECTIVELY CLOSE TO ZERO. You can literally buy and then exit a SINGLE TICK HIGHER, and make a profit of $9.50 PER CONTRACT. (In order to make that on ES, you mental retards would have to watch it move a FULL POINT (4 full ticks!) to make the same amount. During that period of time, the DAX would have moved 8 full points, and would have made you $200 per contract while you were barely making it past break even on the stupid sucker's contract otherwise known as ES.)
It means you never have to enter or exit the market with limit orders (although you still can if you want), and THAT means that you can actually wait for a friggin' market turn before entering instead of having to guess as half of you stupid dimwits have to do right now on ES by placing your orders in the market ahead of time. (Take a look at the problems the guy was having getting filled... those problems do not exist in any way on FDAX or CL. DO YOU UNDERSTAND THE ADVANTAGE IN NOT HAVING TO ENTER AND EXIT ON LIMIT ORDERS? If you don't, you probably shouldn't be trading.)
It basically makes trading a hell of a lot easier, more profitable, and more reliable, and it is in fact the FIRST DAMN THING that every trader should have looked at before even starting to trade. If you didn't look at this and just started trading ES like half the idiots on this site do, guess what - YOU JUST GOT A BIG FAT "F" ON YOUR TRADER REPORT CARD FOR BLATANT STUPIDITY.
This isn't a question of what you "prefer" to trade... it is OBJECTIVELY much easier to trade something that moves in a wider range with lower commissions and less slippage, end of story, no debate.
Today at around 10:00 the ES dropped 6 points from 1048.25 to 1042.25, or 24 ticks. During that exact same period of time, the DAX dropped 40 full points from 5613.5 to 5573.5, or 80 TICKS. Which one do you think it would have been easier to make money on? In addition, the DAX tends to move in a more impulsive trending fashion which makes it easier to read, and there are less games being played.
Basically, the ONLY reason ANYBODY should be trading the idiot's contract otherwise known as the e-mini is if you have so much size that you need the liquidity. In that case, you need that massive volume because you can't get in and out with 500 contracts on CL or FDAX, so you have to put up with the crap way that it trades. (It's harder to do that, but then again if you are trading with 500 contracts, you definitely know what you're doing and certainly don't need my advice.)
On the other hand, if you are only trading a few contracts then you really don't need the liquidity, and you shouldn't be touching this piece of crap.... you should trade a better instrument like the ones I listed.
As for you guys starting out, nothing wrong with NQ, because it has a smaller tick size and that is definitely an advantage.... it's not as good of an instrument as the DAX, but the DAX is a bigger contract, as is CL - so a newer trader should start on something smaller anyways, and NQ is fine for that. But when you do get up to trading a few more contracts and can handle it, do yourself a favor and start investigating what else in the world is out there to trade. TF is not quite as good, but still kicks the living crap out of ES as a trading vehicle.
The sheer volume of idiots that never did this simple slippage-to-range calculation (or even understood how important it is) never ceases to amaze me. If you are still continuing to struggle day after day on the ES, and especially if you are losing money, STOP TRADING IT YOU STUPID FRIGGIN' MORONIC IDIOT. And if you still insist on trading it, STOP TRYING TO SCALP IT. Trying to catch 4 tick moves where the slippage costs are 1-2 ticks is very, very hard to do consistently and there are about 1000 better ways to make money out there.
You're not going to get an award for trying to trade something difficult for no good reason, you'll just prove how DUMB you are. End of lesson.