Maximum number of YM, NQ and ES cars to drive?
- Thread starter vita
- Start date
During times of good volume, I have seen 1,000 ES cars driven through with zero slippage on limit orders. NQ and YM are much lower, well under 100. Working on a scenario spreadsheet? 
Nichts zu danken.
De nada.
Pozhaluista.
De nada.
Pozhaluista.
Changes by the second... Just pull Level II data into a worksheet.
Below is a snapshot of 5 levels of Es and 6E.
ES Limit orders as large as the average of the last 5 price levels should not move the market. In thousands during peak hours intraday. hundreds to teens off peak.
Most other contracts are teens to 100 max.
ES as of 3:40pm cst
Ask Slip Size Bid Slip
1250.50 0.00 1 1250.25 0.00
1250.50 0.00 2 1250.25 0.00
1250.50 0.00 4 1250.25 0.00
1250.50 0.00 6 1250.25 0.00
1250.63 -0.13 12 1250.25 0.00
1250.67 -0.17 18 1250.25 0.00
1250.71 -0.21 36 1250.25 0.00
1250.73 -0.23 54 1250.25 0.00
1250.78 -0.28 108 1250.25 0.00
1250.86 -0.36 162 1250.22 -0.03
1250.96 -0.46 324 1250.11 -0.14
1251.11 -0.61 486 1250.01 -0.24
1251.37 No Fill 972 1249.62 No Fill
1251.37 -0.87 Max 1249.62 -0.63
Q Max Ask 496 22.63 Q Max Bid 633
Max Slip Spread Q Ask Q Bid
0 0.25 37 72
1 0.50 286 513
2 0.75 567 688
Max 1.28 614 753
6E @ 3:40pm
Size Ask Slip Bid Slip
1 139.70 0.00 139.67 0.00
2 139.71 -0.01 139.67 0.00
4 139.71 -0.01 139.67 0.00
6 139.71 -0.01 139.67 0.00
12 139.72 -0.02 139.67 0.00
18 139.72 -0.02 139.67 0.00
36 139.72 -0.02 139.66 -0.01
54 139.72 -0.02 139.65 -0.02
108 139.74 No Fill 139.63 No Fill
162 139.74 No Fill 139.63 No Fill
324 139.74 No Fill 139.63 No Fill
486 139.74 No Fill 139.63 No Fill
972 139.74 No Fill 139.63 No Fill
Max 139.74 -0.04 139.63 -0.04
22.65 Q Max Ask 77 Q Max Bid 81
Max Slip Spread Q Ask Q Bid
0 0.02 9 8
1 0.03 48 57
2 0.04 83 78
Max 0.06 83 83
Below is a snapshot of 5 levels of Es and 6E.
ES Limit orders as large as the average of the last 5 price levels should not move the market. In thousands during peak hours intraday. hundreds to teens off peak.
Most other contracts are teens to 100 max.
ES as of 3:40pm cst
Ask Slip Size Bid Slip
1250.50 0.00 1 1250.25 0.00
1250.50 0.00 2 1250.25 0.00
1250.50 0.00 4 1250.25 0.00
1250.50 0.00 6 1250.25 0.00
1250.63 -0.13 12 1250.25 0.00
1250.67 -0.17 18 1250.25 0.00
1250.71 -0.21 36 1250.25 0.00
1250.73 -0.23 54 1250.25 0.00
1250.78 -0.28 108 1250.25 0.00
1250.86 -0.36 162 1250.22 -0.03
1250.96 -0.46 324 1250.11 -0.14
1251.11 -0.61 486 1250.01 -0.24
1251.37 No Fill 972 1249.62 No Fill
1251.37 -0.87 Max 1249.62 -0.63
Q Max Ask 496 22.63 Q Max Bid 633
Max Slip Spread Q Ask Q Bid
0 0.25 37 72
1 0.50 286 513
2 0.75 567 688
Max 1.28 614 753
6E @ 3:40pm
Size Ask Slip Bid Slip
1 139.70 0.00 139.67 0.00
2 139.71 -0.01 139.67 0.00
4 139.71 -0.01 139.67 0.00
6 139.71 -0.01 139.67 0.00
12 139.72 -0.02 139.67 0.00
18 139.72 -0.02 139.67 0.00
36 139.72 -0.02 139.66 -0.01
54 139.72 -0.02 139.65 -0.02
108 139.74 No Fill 139.63 No Fill
162 139.74 No Fill 139.63 No Fill
324 139.74 No Fill 139.63 No Fill
486 139.74 No Fill 139.63 No Fill
972 139.74 No Fill 139.63 No Fill
Max 139.74 -0.04 139.63 -0.04
22.65 Q Max Ask 77 Q Max Bid 81
Max Slip Spread Q Ask Q Bid
0 0.02 9 8
1 0.03 48 57
2 0.04 83 78
Max 0.06 83 83
ES on 2008-09-09
Code:
...
15:58:25 1227.00 x 1227.25 3067 x 2454
15:58:25 1227.00 x 1227.25 3057 x 2454
15:58:25 1227.00 x 1227.25 3057 x 2453
15:58:25 1s1227.25 B
15:58:25 1227.00 x 1227.25 3057 x 2452
15:58:25 1227.00 x 1227.25 3057 x 2451
15:58:25 1s1227.25 B
15:58:25 1227.00 x 1227.25 2758 x 2451
15:58:25 1227.00 x 1227.25 758 x 2451
15:58:25 2000s1227.00 S <- !!!!!!!
15:58:25 1227.00 x 1227.25 757 x 2451
15:58:25 1227.00 x 1227.25 757 x 2478
15:58:25 1227.00 x 1227.25 769 x 2478
15:58:25 1227.00 x 1227.25 781 x 2502
15:58:25 1227.00 x 1227.25 843 x 2577
15:58:25 3s1227.00 S
15:58:25 10s1227.00 S
...hahahah...
last night during asian hours..
Some idiot trader... was flashing 980 ES contracts on an off at 1227.75 on the bull side when ES was at 1228.50... to defend the bull position... implying a strong support level... (trying to scare off the bears)... he got taken at once all the way up from 1228.25 .. and down it went...
I couldn't stop laughing.. the idiot probably cost the firm alllllllot of money.. LOL
it was the funniest sh&*^ i've ever seen...
bahahahah
last night during asian hours..
Some idiot trader... was flashing 980 ES contracts on an off at 1227.75 on the bull side when ES was at 1228.50... to defend the bull position... implying a strong support level... (trying to scare off the bears)... he got taken at once all the way up from 1228.25 .. and down it went...
I couldn't stop laughing.. the idiot probably cost the firm alllllllot of money.. LOL
it was the funniest sh&*^ i've ever seen...
bahahahah
it depends on the depth of the book at the time..
ym you can easily do 20 to 30 with a pt or two of slippage.. this I have done
es you could get off 350 to 500 I would guess.. during the morning .. just use a limit ordr and you will get your price.
CL stops will usually be 1 to 2 pts depending on size and bid/ask
ym you can easily do 20 to 30 with a pt or two of slippage.. this I have done
es you could get off 350 to 500 I would guess.. during the morning .. just use a limit ordr and you will get your price.
CL stops will usually be 1 to 2 pts depending on size and bid/ask