How much size can you put on?

D

drukes1234

On the Russell for instance, how many contracts on average can you put on at any given time without moving the market over let's say 1 or 2 ticks.


I know there is no cut and dry answer but if I can get a little more clarity here that would be great.

I'm thinking maybe 50 contracts before it moves a tick or so.... can you put on 100?


Thanks
 
Here's a quick guideline:

JUN06 Russell 2000 volume on 4/28/06:

V: 117,000

There are 6.5 hours in a trading day for this instrument. That means that there are 78, 5min intervals.

Divide the volume by 78 to find out how many contracts trade per 5 min interval.

117,000 / 78 = 1500 contracts every five mins.

Since we know that the first 2.5 hours and last 1.5 hours trade more per 5 mins than the middle of the day, you can add 15 to 20% to that number for those time periods while subtracting 15 to 20% from the "midday" hours.

That means that 1800 (1500 =20%) contracts trade per 5 min interval.

So how many can you trade reasonably without upsetting the market? Hypotheically speaking, if you stay around 3 - 5% of the 5 min interval you should do fine. Same would go if you calculated the one min interval.

1800 * .03/.05 = 50 - 90 contracts.
 
Thank you for the great response -- so I'm assuming that if you are trading in a 1 minute interval you could probably trade roughly 20 contracts



Maybe the forex market is the place to go in and just put on crazy size -- I'm assuming there is no amount an individual retail trader can put on to even put a dent in the FX market on ANY interval.

I'm very quick with my positions, I put on my full size ALL at once and hold the position for usually about 5 minutes so that is why I am asking these questions regarding how much size I can put on to a position IMMEDIATELY, I don't scale in.
 
So you do not go to War. Your either right or your wrong and move on. You are dangerous. :)


Quote from drukes1234:

Thank you for the great response -- so I'm assuming that if you are trading in a 1 minute interval you could probably trade roughly 20 contracts



Maybe the forex market is the place to go in and just put on crazy size -- I'm assuming there is no amount an individual retail trader can put on to even put a dent in the FX market on ANY interval.

I'm very quick with my positions, I put on my full size ALL at once and hold the position for usually about 5 minutes so that is why I am asking these questions regarding how much size I can put on to a position IMMEDIATELY, I don't scale in.
More...
 
Unless I'm overlooking something, that response from MrsSavant has nothing to do with the topic and makes no sense -- anyone that can actually answer the question like the first response would really be greatly appreciated, thanks again.
 
well in your words..."crazy size" required a "crazy response"

Perhaps the timing would have something to do with it, regardless of the "can" others have tried to place you in. Your DOM is rather revealing as to the environment your putting on your "crazy size" in.

What's wrong? you afraid a Lady can talk "trade" with you?

Quote from drukes1234:

Unless I'm overlooking something, that response from MrsSavant has nothing to do with the topic and makes no sense -- anyone that can actually answer the question like the first response would really be greatly appreciated, thanks again.
More...
 
Quote from drukes1234:

Thank you for the great response -- so I'm assuming that if you are trading in a 1 minute interval you could probably trade roughly 20 contracts
More...


That sounds about right. Emini (ES) would be the place to be for scalping in size. 100 to 500 contracts presents little problem.



Maybe the forex market is the place to go in and just put on crazy size -- I'm assuming there is no amount an individual retail trader can put on to even put a dent in the FX market on ANY interval.

I'm very quick with my positions, I put on my full size ALL at once and hold the position for usually about 5 minutes so that is why I am asking these questions regarding how much size I can put on to a position IMMEDIATELY, I don't scale in.
More...

Depends on which currency pair. The EUR/USD represents 30% of the so called $2 trillion daily transaction. That means $600 billion EUR/USD trades per day. I've seen 1,000,000 (10 lot) to 4,000,000 (40 lot) scalps a few months ago. I've personally done many 10 lots last year. I've since changed my trading methodology to catch break outs. My plan is to do a series of 40 lot trades (many Forex brokers limit the size of a single order to 4o lots in the Eur.usd). If you can get your hands on time and sales data with size you'll see just how liquid this market really is. Not only that, the the consistent volatility of the FOREX market is a scaplers/traders dream.
 
COesFX and the other ECN's in Retail Spot Forex has your line up...Electric does not have Currenex yet, but I think the banks post their quotes up there to. I suppose you could look at E-sig too.

Guys like our thread author could even figure out a sub-routine to read the line up and give him his entry "outside of the can". But tape reading is difficult in the electronic market...go to the pits for that...slower fake outs there.

There are just times to put on "crazy size" and there are times not too. There is simply more information to read into it, than to just average it. but if your "crazy edge" seems to signal you at distinct times, then use that info too, to tell you who is there with you! If you trade price action alone...then you MUST look at the DOM and adjust your size accordingly and forget the averages of 20 or 100 contracts.

Signed,
Ignorent broad in a mans world


 
Quote from MrsSavant:

COesFX and the other ECN's in Retail Spot Forex has your line up...Electric does not have Currenex yet, but I think the banks post their quotes up there to. I suppose you could look at E-sig too.

Guys like our thread author could even figure out a sub-routine to read the line up and give him his entry "outside of the can". But tape reading is difficult in the electronic market...go to the pits for that...slower fake outs there.

There are just times to put on "crazy size" and there are times not too. There is simply more information to read into it, than to just average it. but if your "crazy edge" seems to signal you at distinct times, then use that info too, to tell you who is there with you! If you trade price action alone...then you MUST look at the DOM and adjust your size accordingly and forget the averages of 20 or 100 contracts.

Signed,
Ignorent broad in a mans world
More...

The "averages" work as consistently as the target market is consistent with its volume and volatility. That said, in consistently high volume , high volatiliy markets, the kind of markets which attract short term speculators, the average formulation of volume per interval works reliably. The beauty of an average is that it takes into account certain vagaries which if factored in would lead to near similar results.

In any event, don't sell yourself short. Trading isn't necessarily a man's world. Just think, the highest number of losing traders happen to be men. :)
 
Quote from ddunbar:

Here's a quick guideline:

JUN06 Russell 2000 volume on 4/28/06:

V: 117,000

There are 6.5 hours in a trading day for this instrument. That means that there are 78, 5min intervals.

Divide the volume by 78 to find out how many contracts trade per 5 min interval.

117,000 / 78 = 1500 contracts every five mins.

Since we know that the first 2.5 hours and last 1.5 hours trade more per 5 mins than the middle of the day, you can add 15 to 20% to that number for those time periods while subtracting 15 to 20% from the "midday" hours.

That means that 1800 (1500 =20%) contracts trade per 5 min interval.

So how many can you trade reasonably without upsetting the market? Hypotheically speaking, if you stay around 3 - 5% of the 5 min interval you should do fine. Same would go if you calculated the one min interval.

1800 * .03/.05 = 50 - 90 contracts.
More...

You may be able to go a little farther, in my opinion.

The fit between the thread starter and the market isn't the best. The liquidity is too low for the ap of cap approach he prefers.

Were he to go to the ES, with consideration to a host of tradeoffs, he could work with ease. That said he can vary his blocks according to the T&S or preferrably the DOM.

The DOM "telegraphs" the limit of block size that will not affect the market. It is a variable throughout the day as all do suggest here.

With more due consideration, it may be seen that partial fills are not a problem but more a dynamic of the blocking. It is also possible to recognize that on differing fractals different strategies can be applied concurrently and as isolated ways to make more money in a given market. The reason I suggest this is that this is a way to get more capital into a market that is offering profits. the ROI will vary but the common/shared data analysis can make it worth it.
 
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