I was thinking "fast volume-charts" but that's splitting hairs. I agree with you, of course.
es vs. equally liquid instrument
- Thread starter icebiker
- Start date
I was thinking "fast volume-charts" but that's splitting hairs. I agree with you, of course.
Again I'd like to see this. Unless it's happening at the microsecond level, if I can see a volatility difference between SPY and ES I'm going to arb it out. If it's at the microsecond level or not possible to arb, then it's too small/fleeting to weigh on a decision between trading SPY vs ES and hence irrelevant to this conversation.
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I had forgotten about that one.LOL If SP Y, is so boring like watching paint, dry; I would find better trends, even IBD founder noted, when you snooze, you lose.Something that surprised me about IBD newest book on stocks/ETFs , he called 5 minute charts for 5/+ days day trading.But after all these year he still prefers slowwer 50dma , simple moving average......
I'd really love to hear more from you on this subject since you sound (claim) to be an expert and I'm always open to learn something new. How did you come up with $25 round trip spread cost trading ES? If you buy at the ask and sell at the bid that's 1 tick roundtrip spread cost. It's past 11pm here in my time zone so maybe I'm missing something here... if the bid/ask is 100/101, you buy market @101 then decide to cover @100, it's 1 tick the way I look at it, but I'm open to "alternative facts".
I truly have no knowledge of SPY, but let me ask nonetheless: while it may tick in $0.01 increments, what is a true bid/ask spread (and "tradable" size spread) for that instrument during RTH? Is it really $0.01 spread or more like $0.03-4?
Just asking
You're crossing the spread twice, 1 tick on entry and 1 tick on the exit = 2 ticks = $25 plus fees
Wrong, if you buy at market and sell at market and the inside bid/offer doesn't change u lose 12.50, not 25.00. Assuming inside bid and offer are one tick apart.
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I noticed tick charts, fine, Comagnum, if you like line charts. Prefer candle-charts myself; IBD founder like$ red, white + blue barcharts. ES is more of a rally -valley than SPY, any time frame.PS. When i told you ''i dont believe all that'' ; i meant i dont use tickcharts much/intraday. Believe comes from an old english word meaning; live by.If you like 'em [ tick-charts], fine with me; wisdom is profitable to direct
Please excuse my mentioning that this is something of a "category error", MTT: tick charts don't have to be line charts.
Tick charts can be constructed as line charts, candle charts, bar charts, or whatever else - just as timed charts and constant-volume charts can.
You're not comparing like with like, saying that you "prefer candle charts to tick charts": those aren't two alternatives. They're descriptions of different classification categories. "Tick charts" can be "candle charts".
Yeah, I mean you're right as far as your PnL.
I guess it depends on what you mean by "lose." I want to buy @ 100 but the ask is 101. My market order fills at 101. In my mind, I have already "lost" one tick on the entry.
The inside bid/offer doesn't move and suddenly I want out @ 101 but with a market order, I'm filled @ 100. That's my second tick loss although the PnL will just read a loss of one tick.
Assuming a loss of two ticks per round trip is a good approach if you're backtesting an ES algo, for example. If you have a more sophisticated slippage model then you might not have to be so conservative.
Yes tick charts print as to pace rather than to time. A thousand tick chart can print a regular high low open close or candle type chart every thousand transactions or thousand contracts (two variations.) I like tick charts as they adapt to the action of the market but there is nothing magical about them vis a vis a time chart....personal choice.