Maximum lot size to get filled without slippage ?

algofy said:
If you prove somehow you trade 10k lot clip I'll forever ban myself from ET.
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@Mtrader @Van_der_Voort_4 @algofy You guys should chill out. It doesn't matter who post here and whether I'm a fraud or not. I'm not selling anything, I'm giving you my 2 cents, you take it or not it won't change my life.

There are many papers that are publicly available on executions / market-making / order book modelling online (try arxiv.org) spend your time reading these instead of debating nonsense, that will make you execute and trade better...
 
Commodity_Trader said:
it was my answer , does any one here have any experience of trading 100 & even more lots of CL for day trading/scalping ?
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It depends on the bid/ask sizes on the ladder at the current time of trading. When there are 100+ on the bid/offer you could clip 100+ with limited slippage and maybe 0 slippage if you play it right. If the ladder is thinner, you won't be able to at market unless you work limit orders at a few prices.
 
wintergasp said:
I'm not selling anything, I'm giving you my 2 cents, you take it or not it won't change my life.
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I think I never ever reacted on any of your postings, so I don't see why you are adressing this to me?
I do exactly the same as you. So I don't see what your point is.
 
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wintergasp said:
There are many papers that are publicly available on executions / market-making / order book modelling online (try arxiv.org) spend your time reading these instead of debating nonsense, that will make you execute and trade better...
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I do like what you say,execution algorithm we not there yet,advice noted thank you.
Still working on code in the strategy and programming side of things

As to my observations in no shape or form i had you in mind,i am an idiot over here,should've been more clear.

best regards
 
he doesn't trade 10K clips in crude....no F'n possible way. Why does it seem like every single person I interact with in trading is a complete fraud. I wonder what other industries have high rates of BS like this one does.
 
algofy said:
he doesn't trade 10K clips in crude....no F'n possible way. Why does it seem like every single person I interact with in trading is a complete fraud. I wonder what other industries have high rates of BS like this one does.
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Dude, think of it at the current asset prices. Assuming Brent futures it's about half a yard in notional terms. It's about a yard of spooz, give or take. Not a daily type of thing, but certainly not unheard of, especially for larger players. I've had days when I had to do 5-6 digit clips of minis on the back of my gamma.

He rightfully points out that if you have to move size, you need to be smart about your execution process and there is a garden variety of algorithmic approaches to it. Once your size is a meaningful fraction of ADV, you need to start thinking of your impact. There are various approaches to managing execution, some of it involves hysteresis in order submission/update process, some of it deals with managing sizing and updates on the follow, some of it deals with being less transparent. Lot's of work and R&D, but the savings are real. Alternatively, you can outsource all that it to a broker-side algo, but my general experience has been that they suck.
 
Talking of clip size, this came up in anther thread - there used to be a vol-arb guy at PIMCO that would trade second month strangles in 10 year notes or bonds (25sh delta on the legs) in clips of 10k. No algo, no tricks - he'd come in, quote 5-6 floor guys and hit them all at once. He'd rotate his brokers so people could not predict his execution patterns.
 
I'd been browsing to see if I could find an 'Average Contracts Volume per Minute' or 'per whatever' for the ES contracts Volume and came across this thread.

The images are from the NinjaTrader 7 ~ 1 sec chart of the ES 12-18 contract from last Friday, Indicator is the bog standard Volume indicator included in the NinjaTrader platforms.

You boys - and the errrrr, would-be sex-change ? perhaps sex-changed person known as wintergasp sure wrote a Lot of things about Volume and Orders that I don't understand, so the image I've posted may not have nothing to do with what you've all been writing about, but what the hell eh ?

vol.jpg
 
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