ES fill price anomaly question
- Thread starter zx12
- Start date
Tomahawk, not concerned about the exact top or bottom. Just wanted to verify the situation really did exist. Just discussing it with some friends, and said with the ES you enter a trade and you are ALWAYS down 1 tick at the start of the trade, whether you go long or short. They said BS, hence the thread.
FB123, thanks for the ES versus CL, TF, etc. very eye opening observations!! Being I never trade more than 5 contracts, I think NQ here I come! But I think maybe you were in not the best of moods when posting?
Thanks again, for the replies guys.
FB123, thanks for the ES versus CL, TF, etc. very eye opening observations!! Being I never trade more than 5 contracts, I think NQ here I come! But I think maybe you were in not the best of moods when posting?
Thanks again, for the replies guys.
wow. someone needs a hug
buy the bid => sell the ask consistently in CL or DAX?
yes, there certainly are mental retards in this thread. at least one
Yes, and you're obviously it. Read my post carefully... I never said that you can or should try to do this consistently, or that you should trade for a single tick. What I said was that in an extreme example, even getting out a single tick higher is going to make you a decent profit on the DAX, which significantly increases your chances of making money over something like ES where you have to let it move 3 ticks in your favor to make the same amount of money. It is a HELL of a lot harder to get the ES to move 3 ticks up than to see DAX or CL move 1 tick up, which means your risk/reward scenario for whatever trade distance you are targeting is a lot better.
Guys, the ES is a sucker's contract. Learn to do some basic math and you'll understand that. On a day where it runs 20 full points and you plan to buy/short and hold all day it's not going to make that much difference whether you trade CL/DAX or ES, but on an average day where it is only trending for a short distance, the other contracts have a very significant risk/reward advantage. This isn't rocket science.
The only reason you should ever be trading this thing is if you have made so much money that you now need the huge liquidity to take your transaction size... but keep in mind that every DAX contract is equivalent to 4-5 ES contracts, so trading a 20-lot on DAX is approximately an 80 to 100 lot on ES when it comes to how much profit/loss you can expect to make.
Quote from zx12:
FB123, thanks for the ES versus CL, TF, etc. very eye opening observations!! Being I never trade more than 5 contracts, I think NQ here I come! But I think maybe you were in not the best of moods when posting?
No problem. I suppose I wasn't in the best of moods, given that this is not the first time I have had to explain this very basic and obvious concept on this site. I also chose to use, shall we say, some "emphasis" to make my point so nobody could miss it. Consider it a public service to all the losing ES traders on this site. If anyone who is losing money in the ES reads what I wrote and continues to try to trade it, then they obviously have the IQ of a retarded gerbil and deserve all the losses that are going to come their way.
ES vs NQ other considerations:
Compare 1% moves for each:
ES 1050 = 10.5 X $50 = $525 range
NQ 1700= 17 X $20 = $340 range
NQ is more volatile and tends to have a larger range but would have to average 1.5 times the ES range for the $ equivalent.
So depending on the strategy, if you`re holding for a longer period, intraday or swing, this ES advantage is relatively larger than the slippage per tick disadvantage.
However, if you are trading the higher intraday volatility of NQ, the lower slippage costs may balance out the $ disadvantage noted at the top.
Scalping for a few points on either seems relatively disadvantageous to me but I would think the overriding factor should be whether a particular system provides the best edge for that particular person, which also depends on personalities, purpose and contract volume among other considerations.
Compare 1% moves for each:
ES 1050 = 10.5 X $50 = $525 range
NQ 1700= 17 X $20 = $340 range
NQ is more volatile and tends to have a larger range but would have to average 1.5 times the ES range for the $ equivalent.
So depending on the strategy, if you`re holding for a longer period, intraday or swing, this ES advantage is relatively larger than the slippage per tick disadvantage.
However, if you are trading the higher intraday volatility of NQ, the lower slippage costs may balance out the $ disadvantage noted at the top.
Scalping for a few points on either seems relatively disadvantageous to me but I would think the overriding factor should be whether a particular system provides the best edge for that particular person, which also depends on personalities, purpose and contract volume among other considerations.
You are so right. So many newbies with small accounts trade the ES due the "trading mentors" mainly trade the ES.
Mentors are only thinking of how ES is better for them as they trade big lots. They forget that their focus on ES may well put their students at a serious disadvantage.
NQ is a better vehicle for those who trade only a few contracts. It is less jumpy than YM as NQ has about twice the volume of YM. jmho.
This is what is often quoted about various contracts - basically, just "trade whatever suits you", as though somehow they all have their advantages and disadvantages.
Newsflash: There ARE no advantages to the ES over FDAX or CL or TF apart from the higher volume which most people don't need... ABSOLUTELY, POSITIVELY, NONE.
One of the most important things about a contract is how far it has to move to put you in a profit/breakeven position. I can't believe that I have to explain something so basic to some people, but here goes:
Suppose you take a short trade on the ES at 1045. That is your entry price, at the market, so the current bid/ask spread is 1045.00 to 1045.25. In order for you to make ANY MONEY AT ALL on this trade by getting out at the market, it has to move down to a a quoted price of 1044.25 to 1044.50. If you wait for it to get there and then buy back at the market, you will make one tick plus a very small amount of profit, after commissions. I am using market order calculations here because these are the only types of orders that will GUARANTEE that you will be able to get in and out. Limit orders do not guarantee you a fill, so you have to compare apples to apples here.
Now, let's say that you actually had some brains, and instead of being a complete idiot as most people on this site seem to be, you decided to trade FDAX instead of ES at exactly the same point in time. The two indices are perfectly correlated intra-day, so it is essentially the same damn trade.
The DAX was at 5593.5 to 5594.5 (assuming a two tick spread) at exactly the same point on Friday as our brain-dead ES trade. (A lot of times it is only one tick, and you can also choose to enter in between the bid and the ask, so the equation is even better... but let's just take the worst case scenario.)
Let's say you got in short at the market there, so you have a position at 5593.5. As the ES moves down to 1044.25 to 1044.50, the DAX moves down to 5589.5 to 5590.5 at the same time. Let's say that you get out at the market at the exact same point, covering at 5590.5.
On the ES this move nets you one tick of profit, or $5 per contract plus a bit (let's call it $6 per contract after commissions). On the DAX this move nets you 3 full DAX points, or $75 per contract, minus $3 for commissions or $72 per contract.
Now, you stupid fucking morons, if you had the option of trading 5 ES contracts vs. one DAX contract at EXACTLY THE SAME point, which would you choose? 5 ES contracts will net you only $30 for that trade, which is half of what you get with ONE DAX contract, with exactly the same risk/reward profile in terms of how far it moves.
Let's say that it actually gets to our quoted prices. While you brain-dead ES zombies are sitting there in a minor profit position hoping and praying that it continues down and doesn't move back up to put you in a loss position again, I have already moved my stop to breakeven plus a couple of ticks, GUARANTEEING ME A PROFIT. If it goes further, great. If not, I still make money.
With the ES, even if it moves a couple of ticks in your favor you haven't guaranteed yourself a winning trade, but with the DAX (or crude oil, and to some extent with TF), that is not the case. If it moves even a little bit in your favor, you are already safe if you move your stop up. IT'S THE SAME DAMN TRADE. DO YOU STUPID MORONS UNDERSTAND HOW MUCH OF AN ADVANTAGE THIS IS?
Why the fuck I have to explain this simple concept to anybody is a mystery I will never understand. The fact that the ES is the most popularly traded contract for small retail day traders speaks to the incredible mind-boggling STUPIDITY that seems to exist in most of the human race.
There ARE NO ADVANTAGES WHATSOEVER TO TRADING THIS PIECE OF CRAP, and anyone who tells you that you should just "trade whatever suits you" is either lying or completely ignorant. The ES doesn't "suit" anybody. It is an idiot's contract to trade the way that it is set up, plain and simple. The only reason you should be trading it is if you want to participate in an index move and have too much size to be handled by TF or DAX, in which case you have no choice. If you have a choice, AVOID IT AT ALL COSTS because there are much better alternatives. I don't know why I am giving so much free advice to stupid people on this board today, but I suggest that some of you morons who haven't even done 5 minutes of research or critical thought before starting to trade the ES actually take advantage of it.