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Liquidity outside of regular hours for ES
- Thread starter turingTrading
- Start date
Why so aggressive ? The longest hold times are around 8mins most trades are 3mins and under.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.
20 cars overnight ? I said it was 10, the order to flip from long to short or vice versa would be for 20 to cover the initial 10 contracts held.
In simulation it makes 150 trades a day on average with position size 10 like I said. If i were to assume every single trade would have a slippage of 2 ticks, that would be an instant hit of -150 * 10 * 2 * 12.5 = -37500$ just because of slippage each day. Assuming execution at last executed price, the winrate is around 80% but as you would assume a lot of the simulated trades are for 1-3 ticks.
Anyways, thanks for your input but please try to be less aggressive. It was unwarranted.
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Welcome to ET, the forum where you will develop a thick elephant skin in a very short time.Why so aggressive ?
Definitely not aiming for 50 ticks, it's a machine learning strategy that predicts if price on average in the next 15 mins is higher/lower than last excecuted price.your 20 contracts is very high.
the nearest bid / offer volume would be around 5 contracts.
Not sure what is your trading strategy.
Let's say you are aiming for 50 ticks profit.
20 contracts will give you 20*50*10 = $10 000 profit / night.
similarly your loss could be $3 000 / night.
Accuracy on unseen data is ~72%, but it doesn't determine the magnitude of the price change, it can be 1 tick, it can be 50(unlikely) but you get the gist.
Welcome to ET, the forum where you will develop a thick elephant skin in a very short time.
How does someone get so mad over a forum post. Imagine a real life upset, lad would go mad ...
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.
Position limits can be found here...
https://www.cmegroup.com/market-regulation/position-limits.html
FYI... ES position limit is a 60,000 futures contracts NET POSITION.
And a single order has different limits...
An order for any quantity may be accepted for E-mini outright futures.
- However, orders exceeding a specified number of contracts as indicated below must be entered on the CME Globex system as multiple entries, each of which must not exceed the specified number of contracts.
- E-mini S&P 500: 2,999 for outrights and 5,000 for calendar spreads
Of course, an FCM or broker may impose lesser order limits for retail clients.
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Definitely not aiming for 50 ticks, it's a machine learning strategy that predicts if price on average in the next 15 mins is higher/lower than last excecuted price.
Accuracy on unseen data is ~72%, but it doesn't determine the magnitude of the price change, it can be 1 tick, it can be 50(unlikely) but you get the gist.
is your background computer science or mathematics?
is your background computer science or mathematics?
Computer engineering, why ?
just curious since you use machine learning. I also used machine learning to tradeComputer engineering, why ?