Market Depth on Micro ES vs Mini?
- Thread starter CyJackX
- Start date
I had a quick look at the depth.
Over 10 levels.
MES is 250 contracts, ES is 800 (or 8000 MES). So ES is over 30x deeper than MES.
ES is still king. All the other S&P 500 markets added together still dont come close.
Notional daily volume is also around 30 times greater for ES.
Over 10 levels.
MES is 250 contracts, ES is 800 (or 8000 MES). So ES is over 30x deeper than MES.
ES is still king. All the other S&P 500 markets added together still dont come close.
Notional daily volume is also around 30 times greater for ES.
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So if one wanted to trade Micro, or SPY, they should just pay attention to the ES volume?
While the SP500 pit contract is still 5x the value of the ES... the ES has supplanted the pit as the "institutional go-to" because of lower total "costs". Whereas the commission rate of 5 ES is greater than 1 pit contract, the real cost of a trade is "spread + commission + slippage". The virtually instant fill of the ES (reduced slippage) more than offsets its higher commission cost overall vs a pit trade.
The MES, of course, is for those not yet ready to trade the ES. (IOW... if one has enough capital to trade a 10-lot of MES, it would be better to trade a 1-lot of ES. Until then, gain experience trading the MES.)
I think the micro futures contracts are terrific. Gives rookie wannabes with small money a vehicle to learn and prove their mettle. (I'm all for that... having begun my investing career with $25/month bank draft into a mutual fund.)
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MES volume looks like it is highly correlated to ES volume.
But probably better to use ES as it is leading the way.
As mentioned, micros/minis are fungible. They trade the same. The only difference is the multiplier. Arb opportunities are eliminated in seconds or less.
As for volume analysis, due to the difference of participants, not every micro tick has volume participation. This is true with all the micros... price-wise they are jumpier due to "skip-through" or "skip-over" (my terms, not official). In my work, volume analysis on the micros works normal as plenty of liquidity exists... the skip-though however, does affect trade execution requirements of the system/method/trader.
As for volume analysis, due to the difference of participants, not every micro tick has volume participation. This is true with all the micros... price-wise they are jumpier due to "skip-through" or "skip-over" (my terms, not official). In my work, volume analysis on the micros works normal as plenty of liquidity exists... the skip-though however, does affect trade execution requirements of the system/method/trader.
Exactly. If you gonna trade 10 or 20 Mes lots at a time better to go to ES. But if you have a small account and average down then MES is better. Unless you have a big enough account to average down in ES. I don't worry much about comm. but if one is gonna trade some size in MES then best to save on comm and go with ES.
In addition, sometimes I trade MES but take signals of ES.