Nasdaq e-mini data

Thanks for sharing your perspective. I am only a student who reads academic papers and have never been on an exchange floor...

Still, why do you think there is more price discovery in the e-minis if the information that the e-mini locals use comes from open outcry anyway?

Strikingly, it looks like when price volatility increases, the price discovery lead of the e-minis grows. Most papers I have looked at say the open outcry market works better in times of high volatility. What do you think? Thanks...
 
I think information flow is created by price discovery and is directly proportional to the number of trades executed, so I'm not surprised that the mini generally leads.

Part of the reason that they may lead could be due to the fact that it is electronically traded. Don't get me wrong, I started with open outcry and I belive it works, but I've traded electronically for the past seven years and I prefer it.

With pit traded contracts, the relative efficiency for a trading practioner is directly related to the skill level of his/her floor execution team. With the minis direct access to price levels the playing field - except Nintendo wizards probably have an edge!

Or it could be as simple as the mini traders reading the hand signals used to communicate from phone to pit! LOL

Cheers,
 
But if the mini traders on the floor can see customer orders coming in, they have an edge over you, don't you think? The playing field is not level here. They will win, on average, and guys like you will lose, on average. I guess you are better than average because of your experience...

To me it seems like in the electronic system your limit orders are vulnerable to being 'picked off' by a trader with better information. For example, as a floor trader if you would see a large sell order coming in, you could probably avoid being hit with the order. In the electronic system you will probably have no chance to cancel your order. Why do you still prefer the electronic system?
 
Well, I don't leave stop orders in the market. People have been "picking off" orders for years. That's part of the game, I suppose. There's an advantage to being on the floor - you see and hear what the big guys are up to, can gauge the flow of orders, "feel" the market. That kind of access can give you an edge, if you can detect it.

I don't know who has the best handle on the market - I was only offering a few observations - others might have another opinion.

The minute you belive you've got the market figured out, it usually comes back around to bite you. The most important thing is to keep an open mind...
 
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