New Symbol for ER2?

Here's some time and sales data from eSignal on TFZ8:

These are transactions from this afternoon, Sept 16, 2008:

080916, 151658, 705.7, 4
080916, 151725, 706.1, 2
080916, 151805, 707.4, 1
080916, 151811, 707.5, 4
080916, 151811, 707.5, 1
080916, 151839, 707.6, 2

4 contracts traded at 15:16:48
27 secs of no transactions
2 contracts traded at 15:17:25
40 secs of no transactions
1 contract traded at 15:18:05
6 secs of no transactions
5 contracts traded at 15:18:11
28 secs of no transactions
2 contracts traded at 15:18:39

Total of 14 contracts traded in 1 min 41 secs with huge time gaps between 3 of the 6 transactions.

Between 15:16:58 and 15:18:39 on Sept 16, 2004, the CME's ER2 had 304 transactions, 574 contracts traded and the largest gap between transactions was 4 secs but I only saw one of those and several 2 and 3 sec gaps. The rest were 1 sec apart and had no slippage in price greater than 1 tick.

One last check. Look at the EMD, a very lightly traded e-mini for years in comparison to the ER2.

Between 15:16:58 and 15:18:39 on Sept 16, 2008, the EMD had 181 transactions, 220 contracts traded and the largest gap between transactions was 7 secs, but mostly a steady stream of 1 and 2 contracts being traded in 1 sec intervals.

Rawfist, you don't see a problem because you haven't been doing your homework. You haven't been constantly watching the ticks go by on the TFZ8 since the Thursday rollover because it's not been your exclusive job to trade the ER2 for 4 years.

But, don't listen to me. I don't know squat, right? Just ignore this warning and go and put YOUR money on the line trading the TFZ8. I'd like to be there when you place your trade and watch your face turn white as you stare at the last price not move for 30-45 secs with not even 1 trader coming in to move the market for you and, when he does, it's 6 ticks to the negative of your entry on only 1 contract.
 
Quote from SteveH:

Here's some time and sales data from eSignal on TFZ8:

These are transactions from this afternoon, Sept 16, 2008:

080916, 151658, 705.7, 4
080916, 151725, 706.1, 2
080916, 151805, 707.4, 1
080916, 151811, 707.5, 4
080916, 151811, 707.5, 1
080916, 151839, 707.6, 2

4 contracts traded at 15:16:48
27 secs of no transactions
2 contracts traded at 15:17:25
40 secs of no transactions
1 contract traded at 15:18:05
6 secs of no transactions
5 contracts traded at 15:18:11
28 secs of no transactions
2 contracts traded at 15:18:39

Total of 14 contracts traded in 1 min 41 secs with huge time gaps between 3 of the 6 transactions.

Between 15:16:58 and 15:18:39 on Sept 16, 2004, the CME's ER2 had 304 transactions, 574 contracts traded and the largest gap between transactions was 4 secs but I only saw one of those and several 2 and 3 sec gaps. The rest were 1 sec apart and had no slippage in price greater than 1 tick.

One last check. Look at the EMD, a very lightly traded e-mini for years in comparison to the ER2.

Between 15:16:58 and 15:18:39 on Sept 16, 2008, the EMD had 181 transactions, 220 contracts traded and the largest gap between transactions was 7 secs, but mostly a steady stream of 1 and 2 contracts being traded in 1 sec intervals.

Rawfist, you don't see a problem because you haven't been doing your homework. You haven't been constantly watching the ticks go by on the TFZ8 since the Thursday rollover because it's not been your exclusive job to trade the ER2 for 4 years.

But, don't listen to me. I don't know squat, right? Just ignore this warning and go and put YOUR money on the line trading the TFZ8. I'd like to be there when you place your trade and watch your face turn white as you stare at the last price not move for 30-45 secs with not even 1 trader coming in to move the market for you and, when he does, it's 6 ticks to the negative of your entry on only 1 contract.
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E-nosignal has admitted to having issues w/ TF data and you're basing your homework on this? I'm assuming your times abv are est. If so, TF traded 4845 contracts in the 1516-1518 range based on DTN data. I'm not sold on ICE, but this transition is going better then most expected.
 
Quote from milnarf:

TF december did 330k of which 117k was spreads for a net of
213k. The CME ER september did 150k today. Many of these
people will go over to the TF next week pushing volume back to
200-300k daily. The only problem I see is ICE does not send all volume data to chart vendors timely, thus making tic and volume charts inaccurate. TF December open interest now at 297k, so once they submit the data timely it will be a good contract.
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Where did you come up w/ 150K?

http://www.cme.com/html.wrap/wrappedpages/end_of_day/daily_settlement_prices/er2.html?h=1
 
<i>"Rawfist, you don't see a problem because you haven't been doing your homework. You haven't been constantly watching the ticks go by on the TFZ8 since the Thursday rollover because it's not been your exclusive job to trade the ER2 for 4 years."</i>

I find it hard to believe you are a serious ER2 trader and rely on eSignal charts = data for trading. That whole service has had serious issues for a long time now, imo. Not to disparage them individually, as ICE hasn't reported volume & sales timely to any data vendors. I saw the same thing(s) you did, but it's a mirage. You are assuming the data packets were delivered per CME standards when they are not at this time. Unless / until ICE makes their tick / volume data seamless, I consider the TF untradable for myself. Once that happens, it'll be business as usual.

The S&P 400 will never amount to much. I traded that this morning long near the lows for +5pts on two contracts. Easy lunch money on that play, but you'll never fill size there. TF volume was some 300K+ contracts total according to TradeStation data. MDE is a pimple on the Russell 2000's butt.

Next week and beyond will clear up lots of murky water for the TF. It doesn't help that the overall stock market had three heart attacks and five massive strokes in two sessions of this transition process. Don't read too much into anything yet. Time will tell... it always does.
 
Quote from SteveH:

Traders have left the TFZ8. Last Thurs through this Monday looked promising, but today, it's like there was a mass exodus from this contract....and I'm talking about the December contract AFTER last Thurs rollover from September.

And who can blame them? I mean, the ES is moving right now like the old ER2 contract on a great day.

I have no idea what the ICE was thinking. I have no idea what the Russell owners were thinking. I only know what I see, and a simple 1 min chart of the TFZ8 today says daytraders are kissing the "new ER2" goodbye and, instead, enjoying the fantastic moves on the ES...super liquid, increased volatility, super stable Globex platform...what more could anyone ask?

I'm not trolling here. I exclusively traded the ER2 since 2004. This move to ICE is a complete failure and you had better believe that there are some p'd Russell owners and some ICE officials eating humble pie right now.
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not sure what you mean here.

but look at those numbers:

cme- er2:

SEP08 693.00 714.70 676.20 714.30 713.90 +2180 86K

http://www.cme.com/html.wrap/wrappedpages/end_of_day/daily_settlement_prices/er2.html


ice-tf:

TF SEP08 69000 71460 67610 70810 71390 2180 106677

TF DEC08 69970 71520 67500 70710 71290 2190 256538


https://www.theice.com/marketdata/n...o;jsessionid=F4F93D1FE596D81C4290B5231C4C7401


so we have 256K lots traded for TF Z8 alone.
 
Today I began working the TF contract again. One trade for par, second trade short 94.20 = trailed out 86.20 for +8pts straight down. It did go another +10pts in favor from my exit, but we can;t catch it all.

Russell is currently much smoother with far fewer volatile jerks than ES plagued with for the moment. Trying to hold stops in the ES long or short is impossible unless the entry is perfect ahead of next blast-off. TF entries and follow-thru is much more methodical for obvious reasons right now.

Decent liquidity today, should only improve next week when CME is completely done.
 

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I have been trading the er2 for a couple of years on tradestation with an automated system I programmed.

the entries are stop orders and the exits are limits (sometimes stops when trailing stops hit).

Slippage was negligible on er2 with a trade now and again slipping between 1 and 3 ticks, mostly 1s tho.

I have been looking at TFZ08 trade on level two the last few days and it looks very gappy, with bid/ask jumping all over the place, and fills sometimes gapping up/down up to 4 ticks and more frequently.

I know it's anything but a typical market, and that the rollover has an effect too, but does anyone have any experience with what kind of slippage to expect ?
 
I have been trading TF all week with market limit stops all week and I have not been slipped any tics at all which seems to be a miracle. I even had 2 stops where I got filled a tic and two tics better than my stop limit using Ninja. I thought it was impossible to get a lower fill on stop limits. Anyhow in the old ER, I have been slipped as much as 9 tics on 1 lots before. So in summary my stops in TF have worked great.
 
Quote from SteveH:



Rawfist, you don't see a problem because you haven't been doing your homework. You haven't been constantly watching the ticks go by on the TFZ8 since the Thursday rollover because it's not been your exclusive job to trade the ER2 for 4 years.

But, don't listen to me. I don't know squat, right? Just ignore this warning and go and put YOUR money on the line trading the TFZ8. I'd like to be there when you place your trade and watch your face turn white as you stare at the last price not move for 30-45 secs with not even 1 trader coming in to move the market for you and, when he does, it's 6 ticks to the negative of your entry on only 1 contract.
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The problem is with eSignal reporting not ICE.. you should do your homework you goose
 
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