Looking to trade ES/CL data for M6E (Ninja compatible)

Iwilldoit · Feb 9, 2016

Hi there,

I have 9 years of Ninja data for the ES & CL continous contracts, which I paid good money for.

I require a couple of years (or more) of M6E continous contracts. I forgot to download these contracts, when I had the feed! (yeah stupid me)

Please PM me if you can help.
@Wallace @Marco Picos @RadarGuy
@DarthSidious

Iwilldoit · Feb 10, 2016

So if I cant afford to buy M6E data, I can simply backtest using the 6E? @DarthSidious

M.ST. · Feb 10, 2016

Are you aware of the fact that the volume of M6E is ridiculously low?

Iwilldoit · Feb 11, 2016

yeah but people can still get filled? ( I know there is slippage, and I am not a scalper) I trade the trend for a couple mins

M.ST. · Feb 11, 2016

I don't know if you get filled at the price you expect.

I'm just telling you the facts.

Some measures on 1 minute bars of M6E since 2009:

24% of time there is a volume of just 1 contract.
77% of time the volume is lower or equal to just 10 contracts.
97% of time the volume is lower or equal to 50 contracts.

Also there are 40% less trade prices compared to the EUROFX mini future.

46% of time the bar high is equal to bar low.

Iwilldoit · Feb 11, 2016

M.ST. said:
I don't know if you get filled at the price you expect.

I'm just telling you the facts.

Some measures on 1 minute bars of M6E since 2009:

24% of time there is a volume of just 1 contract.
77% of time the volume is lower or equal to just 10 contracts.
97% of time the volume is lower or equal to 50 contracts.

Also there are 40% less trade prices compared to the EUROFX mini future.

46% of time the bar high is equal to bar low.

How did you arrive at these statistics?

M.ST. · Feb 11, 2016

Iwilldoit said:
How did you arrive at these statistics?

Using historical data and exploring it via formulas.

M.ST. · Feb 11, 2016

M.ST. said:
Also there are 40% less trade prices compared to the EUROFX mini future.

Actually what was meant above was historical 1-min bars.

Iwilldoit · Feb 11, 2016

What is the average slippage on the M6E??

M.ST. · Feb 11, 2016

Iwilldoit said:
What is the average slippage on the M6E??

M.ST. said:
Actually what was meant above was historical 1-min bars.