Increasing my trade size on ES

F

freddo

What problems will I encounter when increasing my lot size beyond 10 on the ES morning session.
ie should I keep the orders to say a max of 19 and then begin to build another order up to 19 etc or is the market moving so fast that it doesnt really matter.
I am trading the 1M charts and my order entries are pretty much being filled immediately ( give or take latency).
same with "take profits"
It is only my stops that are visible.

I will be interested in your comments
 
10 lots is pretty insignificant in the ES volume scheme of things.

are you talking about limit orders or market orders? I'd bet you could safely sink 500-1000+ lots with no slippage during a normal morning session if you are paying up the spread.
 
Quote from Arbitrageur:

10 lots is pretty insignificant in the ES volume scheme of things.

are you talking about limit orders or market orders? I'd bet you could safely sink 500-1000+ lots with no slippage during a normal morning session if you are paying up the spread.
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Limit Orders.
The reason I ask this question is that even with the impressive ES volume the average lot size is generally less than 20.
I am just trying to foresee any problems before I run into them, otherwise it is onwards and upwards
 
Quote from freddo:

Limit Orders.
The reason I ask this question is that even with the impressive ES volume the average lot size is generally less than 20.
I am just trying to foresee any problems before I run into them, otherwise it is onwards and upwards
More...

Obviously the earlier in the book or the more wrong one is, the easier it is to get filled. In other words if you're on the bid and the index drops below fair value to ES, programs will sell you as many as you'd like.

Conversely, if presently you're collecting a fair amount of "edges" or if on 10's you're getting frequent "partials" then you can only expect increasing difficulty getting filled on your total number as your size increases. Common sense, eh? So, only you know how dependant your profitability has been on the market not trading "thru you."
 
Sigh...so there is no grail?

Quote from Pabst:

Obviously the earlier in the book or the more wrong one is, the easier it is to get filled. In other words if you're on the bid and the index drops below fair value to ES, programs will sell you as many as you'd like.

Conversely, if presently you're collecting a fair amount of "edges" or if on 10's you're getting frequent "partials" then you can only expect increasing difficulty getting filled on your total number as your size increases. Common sense, eh? So, only you know how dependant your profitability has been on the market not trading "thru you."
More...
 
Quote from Pabst:

Obviously the earlier in the book or the more wrong one is, the easier it is to get filled. In other words if you're on the bid and the index drops below fair value to ES, programs will sell you as many as you'd like.
More...

Thank you Pabst.
Do you mind explaining how "fair value" is set by the programmes.
Also, what do you mean by "on the bid"
 
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