Wouldnt be suprised sometimes there is a huge illusion of liquidity sometimes. You gotta remember a rather significant portion of the size you see at the bid and ask are market making type algos and they will react at the slightest change in orders on the book. you put a 10 lot and immediately someone could jump in front.
Maximum lot size to get filled without slippage ?
- Thread starter Commodity_Trader
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Wouldnt be suprised sometimes there is a huge illusion of liquidity sometimes. You gotta remember a rather significant portion of the size you see at the bid and ask are market making type algos and they will react at the slightest change in orders on the book. you put a 10 lot and immediately someone could jump in front.
You're trading 10,000 clips? A bit hard to believe.
How many rolls on this runner?
Wintergasp said:
I trade in clips of 10,000 lots.
I think you made a typo there 10,000 lots. To put things into perspective the largest ES (E-mini S&P 500) trade by far of 2016 was 16,000 lots rocked the market and drew a lot of attention. The second largest trade of 2016 was 7,000 lots. Try looking at the CME block trades for the ES - the largest block trade of the week is 1,800.You may trade 10,000 lots in your dreams maybe.
https://elitetrader.com/et/threads/...trade-of-2016-sent-the-market-soaring.305144/
I trade in clips of 10,000 lots.
I think you made a typo there 10,000 lots. To put things into perspective the largest ES (E-mini S&P 500) trade by far of 2016 was 16,000 lots rocked the market and drew a lot of attention. The second largest trade of 2016 was 7,000 lots. Try looking at the CME block trades for the ES - the largest block trade of the week is 1,800.You may trade 10,000 lots in your dreams maybe.
https://elitetrader.com/et/threads/...trade-of-2016-sent-the-market-soaring.305144/
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Yeah he must be completely fos. He tends to make big claims and then disappears when questioned.
That's weak, I get .12 ticks. And your piker 10k lot size...pfft, u need to trade some real size. On my paper account I can clip in about 50,000 until I start seeing some slippage.
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@Commodity_Trader
You mean a market order of 7000 contracts? Sorry if this wasn't clear. When you get bigger sizes, you have to model your executions, you can't just go market orders. The way I calculate my slippage is I have a reference price generated by the trading logic (e.g. Buy market current price is 100) and then I use an execution algorithm to send a mix of limit and market orders. My slippage is then the difference in average volume-weighted price and the reference price I would have had if I was trading 1 contract at signal. Most of the execution is done on the passive / limit orders side, market orders are for when part of your clip wasn't filled and you still need to complete the order otherwise you didn't execute what the strategy generated.
How much can you execute with market order only? Probably not more than 300 contracts but that's a pointless question because with size, you WILL model your executions.
It's one day of work with tick data, the execution logic is always very simple.
Also FYI block trades that you mention are executed off exchange through OTC desks (e.g. After market closes through a prime broker) so they don't impact the market.
If you put a limit order for 1000 contracts and you get filled by takers, you will be booked with the exchange as many small trades, of whatever size each taker took.
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If you prove somehow you trade 10k lot clip I'll forever ban myself from ET.
Geezer in question say he works for the fund and they use execution algorithm.He looks legit to me,besides the fact that he may possibly have you on ignore you need to look at larger picture here.Look at this this way possibly there is few of them in the group,when they are going to initiate the trade they allocate the number of contracts with what each one of them wants to commit to given signal,that could be total 10K or more.
They allow him to post here,all is good as long as the group makes money.We need to look at cases on one-on-one basis before jumping to conclusions.You won't hear the answers to some questions,there are limitations to this.
I don't like the imposters,believe me.There is one here whose number of likes grows in funny way.When i opened last 20 of his posts and see how many he got and what the tally is always more and it happens every day.Now this is plain childish.I wasn't looking for it,just after observing charts and its complexity for so long and not only that but also trying to understand and get something out of them,there are some observations later that just come automatically.They just "click" without asking for them,like suggestions.
Number of posts and likes grows at equal rate,If only Bernie Madoff read this,i hope they give him access to internet or mobile phone LOL
No,i am not talking about you,i say this just in case someone reads it wrong.
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I found already 3 postings from this poster that you liked???? Not very consequent. Or are you having problems with your labile personality?
Jealousy is a bitch.
This is from one of the postings you liked and it applies to you:
"That explains also the eternal discussion on ET. People with different knowledge and insights discuss and they both are right. But only from their personal point of view. For them personally what they say is true, but people with less (or no) insight can never understand that what for them is impossible might be possible for others."