Is there anyone here who has a consistently profitable automated trading system?

[Overnight]

Oh, we're really trading them, but as I said in my message above, if that's the case, then we're already moving the price, but spread across 40-60 strategy instances placing the same order, we didn't realize it. Which will be a huge epiphany for us.

And you've been doing this for how long? Good grief man, know the instruments you trade, haha.

And here's a pro-tip. If you look at the T&S, you'll see your piddly 60-lot orders, while adding liquidity, aren't moving the market one iota. 60-lots gets sucked up in an instant and the charts will not blink. Think of the Hungry-Hungry Hippos game. You're just a little white ball in a sea of hippos.

 

[toucan]

The ES is $50 per point x the SP index, so if SP is 4400, the ES represents $220,000.

10 micros make up 1 mini.

sorry... i was wrong and you are right about 10 micros make up 1 mini... however, when you bring up an emini, it shows the actual number of contracts offerred and trades.
thanks

toucan

 

[toucan]

Oh, we're really trading them, but as I said in my message above, if that's the case, then we're already moving the price, but spread across 40-60 strategy instances placing the same order, we didn't realize it. Which will be a huge epiphany for us.

i didn't know retail traders had access to the full sized contract.. thought only emini and micros were traded now.

thanks
toucan

 

[rb7]

Oh, we're really trading them, but as I said in my message above, if that's the case, then we're already moving the price, but spread across 40-60 strategy instances placing the same order, we didn't realize it. Which will be a huge epiphany for us.

OMG, how can you trade the ES without knowing this basic thing???
Knowing the product that you're trading is like basic 101...

 

[chris.page]

you'll see your piddly 60-lot orders, while adding liquidity, aren't moving the market one iota.

LOL "piddly", aren't you the spicy one... I'm glad to hear we're not moving the market. Even being wrong on my (mis)understanding of the Bid/Ask Size (I do come from a stock trading background before starting futures last year), all I really care about related to this topic is whether or not us placing simultaneous market orders for ~600 contracts does or does not move the market. I have assumed, based just on my (mis)understanding of the Bid/Ask Size, that the answer is no.

As we have assumed up to this point that we're nowhere near moving the price one tick when placing 500-600 contract market orders (broken up but relatively simultaneously), when you are feeling less curmudgeonly, I'd love your "pro-tip" on the best practice to calculate/estimate what size market order WOULD move the price. It has not been on our radar up until now, but it may need to be. Thanks in advance.

 

[chris.page]

OMG, how can you trade the ES without knowing this basic thing???
Knowing the product that you're trading is like basic 101...

I guess I'll be saying this 50 different ways, but at our volume orderbook depth had not been on our radar because it hasn't needed to be. That being said, coming from a stock world where Size is in 100 share lots, I assumed Futures was displayed the same. Happy to admit I've been wrong on that, but doesn't change our trading results or strategy by even one line of code.

 

[virtusa]

OMG, how can you trade the ES without knowing this basic thing???
Knowing the product that you're trading is like basic 101...

If new members register on ET, we need a short time to understand in which category they really play. For me he just joined the category of the majority. I don't envy him.

 

[chris.page]

I guess I'm missing something. At the risk of stating the comically obvious (for anyone that's ever traded), Bid/Ask Size (quantities of contracts/shares sitting on the orderbook at the Bid and Ask prices) represent lots of 100. In the following screenshot just now:

View attachment 321056

The size "64 x 23" (which changes pretty much every second) represents 6400 contracts listed at the current Bid price, and 2300 contracts listed on the orderbook at the current Ask price. And with the current CME initial margin requirements, a $25M order is about 2000 contracts.

As S&P E-Mini contracts are one of the most heavily traded instruments on the planet, seeing 3000-6000 contracts available at any second at the current Bid/Ask price is normal. I have no idea what data you're looking at that says any different.

@NoahA I owe you a ginormous apology, you were 100% correct, and I was 100% wrong. It doesn't change anything we're doing on our end, But it DOES put on our radar we need to have a much better understanding of E-Mini depth/liquidity. So thank you for that, and apologies once again.

 

[NoahA]

I guess I'll be saying this 50 different ways, but at our volume orderbook depth had not been on our radar because it hasn't needed to be. That being said, coming from a stock world where Size is in 100 share lots, I assumed Futures was displayed the same. Happy to admit I've been wrong on that, but doesn't change our trading results or strategy by even one line of code.

Yes, for futures, you don't multiply by 100, and I think my chart shows this is the case since the volume on those 1 second bars is a couple of hundred contracts traded, and yet, price moves a few ticks.

You're welcome to bring me on board as a consultant! I'm really good at finding problems and since I've been failing at this trading thing for so long, you almost need a contrarian on the team... LOL

As for moving the market, I think it depends on the definition. You absolutely can move the market 1 or 2 ticks with an order of 50 or 100 contracts, depending on the time of day, but this likely does not move the direction. The way I see it is that if most traders want to buy, but if you get in their way and they can't get their price, they might not continue to buy and hence push the price up. So at what point does someone with their orders interfere with where the market was headed? On a small enough time scale, I'm sure you can make a difference, but on a day where we rally for hours, I doubt a few hundred contracts that front run buying algos from major firms would disappear and not buy themselves.

 

[NoahA]

@NoahA I owe you a ginormous apology, you were 100% correct, and I was 100% wrong. It doesn't change anything we're doing on our end, But it DOES put on our radar we need to have a much better understanding of E-Mini depth/liquidity. So thank you for that, and apologies once again.

No need to apologize. You weren't in anyway rude, you just stated your understanding which makes total sense. I've been at this futures trading business for so long that I've learned a million different things and nuances, down to studying micro structure, but I just haven't found a profitable way to trade it yet! LOL

Glad I was able to help.