Liquidity outside of regular hours for ES

[HobbyTrading]

Thank you for the reply !

In your experience, getting filled at the last executed price for 20 contracts shouldn't be a problem ? Looking the at the volume data, there are some times (around 1am-4am) where the minute volume is <20. I reckon my hypothetical 20 contracts limit order would be left unfilled or partially filled at best ?

Instead of submitting one order line with quantity 20 you could consider to submit four order lines of 5 contracts each.
I do hope that you have included some slippage (e.g. 0.25 point) into your model and not assume that all your orders will be filled at the last trade price.

 

[Scataphagos]

slippage of 1 tick on each trade would destroy my model.

Sounds like you need a new model.

 

[Overnight]

Sounds like you need a new model.

I didn't want to be the one to say it. But you said it so succinctly.

If 1 tick slippage destroys a model, then 2 tick slippage would destroy your universe. 3 tick slippage would destroy all thought.

Seriously, don't try to make your model that perfect that 1 tick kills it. Allow for a tick here and there of slippage?

 

[Scataphagos]

I didn't want to be the one to say it. But you said it so succinctly.

If 1 tick slippage destroys a model, then 2 tick slippage would destroy your universe. 3 tick slippage would destroy all thought.

Seriously, don't try to make your model that perfect that 1 tick kills it. Allow for a tick here and there of slippage?

The ES is noisy enough that I don't believe it can be scalped successfully by retail screen jockies like us.

 

[Overnight]

The ES is noisy enough that I don't believe it can be scalped successfully by retail screen jockies like us.

Indeed. I don't trade the crappy ES with a saturated ladder full of bids and offers, I trade NQ. It's like the whiskey of the old west. Not some fancy sarsaparilla.

 

[turingTrading]

Sounds like you need a new model.

The average hold time is between 3-8 mins. That's why 1 tick plays kinda of a big role. It still makes a profit when back tested with 1 tick slippage but the win rate drops to a little over 50%

 

[manonfire]

Yeah I keep seeing posts from real traders, 50 cars and up, complaining about liquidity in he es, slippage, fills etc. Good lord, anyone employing any kind of strategy that might be affect affected by liquidity is not asking that question here like it is their first week with a piker account.

 

[trustedsource]

this entire thread is bullshit. 3 to 8 minutes in es the 1 tick or even a full point shouldnt make a difference. 10 cars 20 cars overnight and he cant look at a chart and see what liquidity is or watch the dom for a week straight at night or take a moving average. i mean this is ridiculous. ur only getting filled if it trades thru. if not then your direction is wrong if to open. why do you think es us choppy? because everyone phuking scalps it! duh. its scalped by hft by prop firms. holy crap 2 ticks is 25 dollars! thats 8 x fees. people scalp it retail and algo n hft. u dont get filled because ur at the back of the line always. 10 lots in es..lmao 20 lots at night unhedged and a fing tick will kill your strat. go play with children.

 

[trustedsource]

this entire thread is bullshit. 3 to 8 minutes in es the 1 tick or even a full point shouldnt make a difference. 10 cars 20 cars overnight and he cant look at a chart and see what liquidity is or watch the dom for a week straight at night or take a moving average. i mean this is ridiculous. ur only getting filled if it trades thru. if not then your direction is wrong if to open. why do you think es us choppy? because everyone phuking scalps it! duh. its scalped by hft by prop firms. holy crap 2 ticks is 25 dollars! thats 8 x fees. people scalp it retail and algo n hft. u dont get filled because ur at the back of the line always. 10 lots in es..lmao 20 lots at night unhedged and a fing tick will kill your strat. go play with children.

oh yeah and it takes a 1 lot in es at the mkt price to move the mkt. this is why there are bids n offers. a 1 lot mkt order crosses the spread to match this crossing of the spread moves the mkt. limit orders limit the mkt. good grief there are sum dum phuks in here. no wonder i kill it..ur competition..nope

 

[schizo]

Hello,

I am currently back-testing an algorithm on the ES and I would like to know how good/bad the liquidity is outside the regular hours when trading 20 contracts. Will LMT orders at the last traded price for example remain unfilled/partially filled more often than not ?

Just to avoid the responses "newbie trading 20 contracts", I actually intend to trade 10 contracts at a time however the algorithm works by always being in a position so for example if I close a 10 contract long position, I will sell the 10 contracts that make up the long position and go short 10 contracts as well (so 20 contracts in total).

During regular hours, I assume it's a breeze to get filled at the last executed price but I am very concerned about after/pre hours.

The back tests shows good results on regular hours but the results are even better outside those hours.

Thank you for any help is appreciated !!

I recently found out that CFTC/CME imposes a position limit on ES to 10 contracts for the Globex. Hence, I don't believe you can submit 20 contracts. For the day session, it's 50 contracts.