Quote from CALLumbus:
gmst, CL is very liquid (I mean, its oil, lol), but for very shortterm scalping 10 contracts is sometimes already to much.
6E (EUR/USD futures) would be an option, but I think sooner or later I will make the transition to EUREX futures. You can move serious size in FESX and FGBL, and the exchange fees are very low.
Yes, that was the information I was looking at. Let me make a simple assumption here - 10 contracts CL = 10 contracts 6E (which is close to 1 million Euro spot). You can trade 5 million Euro spot and many many times 10 million (100 contracts) Euro spot at 1 pip bid-ask, without slippage. But CL can't take that kind of size. So, Euro spot is much better suited for quick scalping than CL.
Just trying to thinking/reason out aloud. Not recommending you anything here
