Maximum number of contracts?

[lcash]

Just for information, what would be the highest number of ES contracts you could efficiently trade on a day trade basis? How did you arrive at that number and what are the pitfalls of trading large numbers of contracts for short term swings of say 2 to 3 points per trade?

Lcash

 

[NetTecture]

That pretty totally depends on your strategy. If you trade in liquid times (market open, not off hours) you can normally move 50-100 contracts with no / little slippage, especially if using a computer to handle the trade execution programmatically (i.e. not go in market with all, but possibly try to slide into the position, running less contracts if you can not get all in).

YOu may get 1-2 ticks slip on a stop out, but whether this is relevant depends on your strategy. 2 ticks profit with 4 ticks risk - you are dead. 4 points profit with 2 points risk - you can possibly live with slippage and work around it.

As such, the question can not really be answered.

 

[lcash]

Quote from NetTecture:

That pretty totally depends on your strategy. If you trade in liquid times (market open, not off hours) you can normally move 50-100 contracts with no / little slippage, especially if using a computer to handle the trade execution programmatically (i.e. not go in market with all, but possibly try to slide into the position, running less contracts if you can not get all in).

YOu may get 1-2 ticks slip on a stop out, but whether this is relevant depends on your strategy. 2 ticks profit with 4 ticks risk - you are dead. 4 points profit with 2 points risk - you can possibly live with slippage and work around it.

As such, the question can not really be answered.

Thanks for the response.

Lcash