Market depth of the ES e-mini futures contract

H

heywally

Hello -

Have asked this question of the CME but they just refer me to their datamine product which is overkill and I don't want to pay for that.

For purposes of risk control, I am trying to find out how far down in price standing bids typically go on the ES futures contract.

In other words, can I be confident that there is usually a standing bid as far down as 20 points (80 ticks) below the market price that would buy my 5 contracts via my stop market order, in the event of a black swan event that would probably close the markets within minutes?

And if not 20 points down, how far down could I feel confident there were standing bids that would leave someone else 'holding the bag' on my 5 contracts?

I can only see 10 ticks down on market depth.

Thanks
 
Quote from RichardRimes:

On the ES options I've had filled orders 100pts ITM and 200 pts OTM...even when there was no bid showing. It is very liquid.
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That's interesting - thanks.

Maybe I'll research the flash crash to see if I can get any detail on whatever buying happened on the various levels on the way down the elevator shaft plunge to the bottom.

I know that if something very bad happened, it would take a few minutes for everyone to investigate and pull their standing buy orders. It would also take at least a few minutes for the markets to shut down entirely.

I guess a stop loss sell market order 20 points down could be expected to get filled without too much slippage.

Putting away my paranoid shoes for a while .....
 
You seem worried about a black-swan event ... far OTM options might be a decent insurance, especially if you are day-trading (just buy a pair of far OTM call/put for each expiry you are trading).

Else, you will always be exposed to limits up/down, and catastrophes such as 9/11.
 
Quote from dom993:

You seem worried about a black-swan event ... far OTM options might be a decent insurance, especially if you are day-trading (just buy a pair of far OTM call/put for each expiry you are trading).

Else, you will always be exposed to limits up/down, and catastrophes such as 9/11.
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Thanks - my main concern, and something that I probably shouldn't be worried about, is the worst case scenario -- fill in your own disaster here -- where the markets close within minutes and when they finally reopen, there are a series of limit down days because even then, there are few buyers.

Anyway, I'm pretty confident that with a stop loss market order 20 points down on the ES , that I would be sold out of my long position with a little slippage, even in a broken elevator plunge down.
 
If you are really risk-averse, you can buy an OTM put (or call if you are worried about dollar devaluation) and have your stop loss order in as well.
 
Quote from jayboy:

If you are really risk-averse, you can buy an OTM put (or call if you are worried about dollar devaluation) and have your stop loss order in as well.
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Good point. Have done only the basics with options but that is pretty basic - will look into it.
 
This instrument is very liquid and speculative. most players works intraday. As usual stop loss is 4-6 ticks. if you want trade the instrument, you should look to other strategies with less timeframe.
 
Quote from heywally:

Hello -

Have asked this question of the CME but they just refer me to their datamine product which is overkill and I don't want to pay for that.

For purposes of risk control, I am trying to find out how far down in price standing bids typically go on the ES futures contract.

In other words, can I be confident that there is usually a standing bid as far down as 20 points (80 ticks) below the market price that would buy my 5 contracts via my stop market order, in the event of a black swan event that would probably close the markets within minutes?

And if not 20 points down, how far down could I feel confident there were standing bids that would leave someone else 'holding the bag' on my 5 contracts?

I can only see 10 ticks down on market depth.

Thanks
More...

It is my opinion that there is nothing to worry here if you have 5-10 contracts. However, it is just an opinion and I haven't tested this.

Few months ago, there was a twitter news saying obama dies in a terrorist attack. ES dropped 15 points or so within a minute or two. Go, find that date and get tick data for that date and analyse the trading for those 2-3 minutes. It will answer your questions.

There is actually another instance which was even more worse. It happened in Dec 2012 or Jan 2013. There was a flash crash, ES went down 40 points in a splash during Globex hours. Get tick data for 2-3 minutes on that day and analyse.

Also, talk to real people on how much slippage they got if they had resting stop orders on those 2 days. For sure, there must be swing traders with 5-10-20 contracts during these events who had resting orders and who must have got slipped and filled. The challenge for you is just to find those guys so that you can talk to them.

This exercise will answer all your question for both Globex and RTH. It will be nice if you can share your findings here on the thread or through PM. :)
 
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