Liquidity in agricultural contracts

C

Cutten

Does anyone know what kind of liquidity is available in the grains & livestock futures?

I'd like to know what kind of size you can get off before you would start to get meaningful slippage (i.e. more than a couple of ticks). What kind of size would start to become a bit tricky to get in and out of? Interested in the following contracts:

Soybeans
Corn
Wheat
Live Cattle
Feeder Cattle
Lean Hogs
Pork Bellies
Lumber (yeah I know this isn't agricultural)

What about liquidity for the spreads?

Also does anyone have a kind of "rule of thumb" for "do-able" size e.g. 1% of daily volume, 0.5% of open interest etc, before slippage starts becoming an issue?
 
Quote from Cutten:

Does anyone know what kind of liquidity is available in the grains & livestock futures?

I'd like to know what kind of size you can get off before you would start to get meaningful slippage (i.e. more than a couple of ticks). What kind of size would start to become a bit tricky to get in and out of? Interested in the following contracts:

Soybeans -(Moves like the NQ)
best for daytrading and swing trading)
Corn -(moves like a snailtortus but has BIG "OI")
Wheat -(Moves like the ES)
_______________
Great liquidity/Great Open Interest


Live Cattle -(Highest OI in the meat complex, o.k. liquidity)
Feeder Cattle -(Trends the best)
Lean Hogs -(Extremely volatile and very choppy)
Pork Bellies -(Rollercoaster Ride from Hell)
THE BEST GET RICH QUICK SCHEME EVER!
______________
You could get rich overnight in Pork Bellies but they are EXTREMELY RISKY!

Lumber (yeah I know this isn't agricultural)
-(Great for position trades and can make you rich!)
What about liquidity for the spreads?

Also does anyone have a kind of "rule of thumb" for "do-able" size e.g. 1% of daily volume, 0.5% of open interest etc, before slippage starts becoming an issue?
More...

Hey Cutten

I believe it's either Stocks & Commodities or Futures Magazine that puts out a one page report on the Commodity Futures that answeres "ALL" of the above questions.

From my personal experience the Grains are the best of the commodities as far as slippage goes. I don't remember ever getting slipped on a Soybean futures trade. Also you can use Limit orders to prevent slippage. Liquidity is also great in the Grain pits. 100 thousand Open interest on any given day.

I believe it was Larry Williams who said that you should look for at least 5000 contracts daily volume traded in order to have good liquidity in commodities.

The meats will have much less than that but as far as Open Interest goes "Live Cattle" by far is more heavily traded in the meat complex. Stay away from Pork Bellies unless you REALLY know what you are doing. Pork Bellies is akin to the early days of the NQ futures back when NQ had a 200 point daily range and could go up or down 100 points in the matter of minutes for no apparent reason.

Hope this helps.

T-REX

p.s. check out the Scalping 101 journal today. should be very interesting.
 
I don't know about cattle, but in beans and corn, you can often do 1,000+ with no more than a tick or two slippage, and hundreds are no problems at all, generally the same fill as a ten-lot, assuming you have a good pit broker (which is WORLDS more important in the ags than anything else).
Jessie
 
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