I had only a 1 tick slip out of 20 trades today on TF. That is no big deal especially with a market moving this big. Trading just as well as it did at CME. Anyone who was slipped for more needs a better feed and/or lower latency connection. Had to love the action today.
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New Symbol for ER2?
- Thread starter OldTrader
- Start date
faith4more,
what are you using to trade ?
my connection is quite fast, and I'm trading through Tradestation which is also quite fast.
I discovered that part of my slippage issues are due to a setting I have on my automated trading system in TS - if the limit exit is hit but my order isn't filled within 1 second, it turns it into a market order.
This worked perfectly well with ER2, but not with TF due to how gappy the fills are. So what is happening, is that I have 3 contracts on a limit order to exit a position, when that price is hit, 1 contract is filled at my limit, but not the other 2, so a second later, my automation turns those remaining 2 contracts into market orders, which make it gap down several ticks.
With ER2 even when this happened, and it wasn't frequent since it had no issues filling 3 contracts all at once, it wouldn't gap down 4 to 5 ticks when the limit order got turned into a market order.
Next week I will turn off the setting that turns limits into market orders if the price is reached without a fill, but then I run the danger of not getting filled.
Also my entries are stop market, meaning, when the stop price is hit, a market order is sent. Both trades today slipped by 2 ticks each, where with er2 I might have a 1 tick slip every 10 trades.
Since my trading platform is the same, and my connection is the same, i doubt this is a latency issue. I've been trading this for 2 years now with no hitch, so this is surely an ICE/TF problem.
what are you using to trade ?
my connection is quite fast, and I'm trading through Tradestation which is also quite fast.
I discovered that part of my slippage issues are due to a setting I have on my automated trading system in TS - if the limit exit is hit but my order isn't filled within 1 second, it turns it into a market order.
This worked perfectly well with ER2, but not with TF due to how gappy the fills are. So what is happening, is that I have 3 contracts on a limit order to exit a position, when that price is hit, 1 contract is filled at my limit, but not the other 2, so a second later, my automation turns those remaining 2 contracts into market orders, which make it gap down several ticks.
With ER2 even when this happened, and it wasn't frequent since it had no issues filling 3 contracts all at once, it wouldn't gap down 4 to 5 ticks when the limit order got turned into a market order.
Next week I will turn off the setting that turns limits into market orders if the price is reached without a fill, but then I run the danger of not getting filled.
Also my entries are stop market, meaning, when the stop price is hit, a market order is sent. Both trades today slipped by 2 ticks each, where with er2 I might have a 1 tick slip every 10 trades.
Since my trading platform is the same, and my connection is the same, i doubt this is a latency issue. I've been trading this for 2 years now with no hitch, so this is surely an ICE/TF problem.
I have a zenfire feed. Also these are some very fast big market moves. I was actually amazed at the speed today. I have found zenfire to be very efficient in this kind of market other feeds I've had were fast and did well most of the time but every once in a while you get markets like this and they would lag. Honestly when the ER2 moved to ICE I expected alot of lag but just did not see today or yesterday.
Elpep,
I have better slippage on the new TF than old ER. I don't get it for you maybe your broker's feed or platform you are using. I am getting all profit orders filled. For market limits stops, I have been filled on stop price 90% of the time, 1 slip for negative 4 tics, 2 positive 2 tic slips, 3 positive 1 tic slips, and today believe it or not a positive stop slip for 6 tics, thus making it only a 1 tic loser. I suggest talking to your broker.
I have better slippage on the new TF than old ER. I don't get it for you maybe your broker's feed or platform you are using. I am getting all profit orders filled. For market limits stops, I have been filled on stop price 90% of the time, 1 slip for negative 4 tics, 2 positive 2 tic slips, 3 positive 1 tic slips, and today believe it or not a positive stop slip for 6 tics, thus making it only a 1 tic loser. I suggest talking to your broker.
How many of your trades in the past were done in a 35-40+ vix environment? Very, very, very few would be my guess. The slippage is a function of extreme(fast) market conditions, not of the contract itself.
Quote from elpepelucho:
faith4more,
what are you using to trade ?
my connection is quite fast, and I'm trading through Tradestation which is also quite fast.
I discovered that part of my slippage issues are due to a setting I have on my automated trading system in TS - if the limit exit is hit but my order isn't filled within 1 second, it turns it into a market order.
This worked perfectly well with ER2, but not with TF due to how gappy the fills are. So what is happening, is that I have 3 contracts on a limit order to exit a position, when that price is hit, 1 contract is filled at my limit, but not the other 2, so a second later, my automation turns those remaining 2 contracts into market orders, which make it gap down several ticks.
With ER2 even when this happened, and it wasn't frequent since it had no issues filling 3 contracts all at once, it wouldn't gap down 4 to 5 ticks when the limit order got turned into a market order.
Next week I will turn off the setting that turns limits into market orders if the price is reached without a fill, but then I run the danger of not getting filled.
Also my entries are stop market, meaning, when the stop price is hit, a market order is sent. Both trades today slipped by 2 ticks each, where with er2 I might have a 1 tick slip every 10 trades.
Since my trading platform is the same, and my connection is the same, i doubt this is a latency issue. I've been trading this for 2 years now with no hitch, so this is surely an ICE/TF problem.
elpep also my stop orders go and sit at the exchange the moment my entry order is filled. Sounds like from your post your auto strategy sends the order when the stop price is hit. If that is the case this a dangerous market to not have your stop sitting native at the exchange. I guarantee in this fast market that will cause slippage. Today was the fastest market I have ever seen. It was like trading a gap open or Fed announcement all day long.
thanks for all the feedback everybody, at least your opinions are making me feel better about this.
I was bumming hard since I was starting to suspect that I would have to give up a strategy that took me 2 years to develop just because of a lousy exchange switch.
I plan on keep trading for the next few weeks in hopes of better fills and will post results here periodically in case anybody cares to know about fill action on TF via Tradestation.
I was bumming hard since I was starting to suspect that I would have to give up a strategy that took me 2 years to develop just because of a lousy exchange switch.
I plan on keep trading for the next few weeks in hopes of better fills and will post results here periodically in case anybody cares to know about fill action on TF via Tradestation.
Little off topic...
Now it seems for a ES vs RUT spread, margin is the total of ES margin + RUT margin.
When both were at CME, margin for the spread was significantly lower as they used SPAN.
So "SPAN" only applies if both legs are within the same exchange? This really sucks for ES/RUT spread traders. I think the overnight spread margin was about 1200 for a spread and now about 9000.
I have no business trading the spread anymore. This move to ICE totally sucks for me and others trading the spread.
Now it seems for a ES vs RUT spread, margin is the total of ES margin + RUT margin.
When both were at CME, margin for the spread was significantly lower as they used SPAN.
So "SPAN" only applies if both legs are within the same exchange? This really sucks for ES/RUT spread traders. I think the overnight spread margin was about 1200 for a spread and now about 9000.
I have no business trading the spread anymore. This move to ICE totally sucks for me and others trading the spread.
Common question(s) I get via pm or email:
<i>"Good morning austinp,
Great trading on TF! I was keeping an eye on it all week, and was pleasantly surprised by the strong volume. It seems like a lot of us followed the E-mini Russell to ICE. I personally traded the NQ and CL this week, and worked out well. Then again, it was probably because of the huge range and monster volume we have had on the equity index futures this week!
Couple of questions, if you don't mind my asking:
1) Have you noticed anything strange about the volume or tick charts on TF? I used to trade ER2 on 89 or 144 ticks, but on TF, the chart does not look as smooth, and it seems I do get a lot of big price bars on those settings.
2) The price action on the matrix/dome also seems a little peculiar compared to the old ER2 on Globex. Have you noticed that as well, or is it just me?
3) Were your fills/executions as fast as they were on Globex using Ninja? I have read a few stories about the inferiority of ICE compared to Globex.
Thanks in advance for any comments you may have.
Have a great weekend."</i>
**
We cannot judge everything about TF yet. Once the CME is completely out (now done) AND some time has passed for people to move back in, we will see exactly how the TF behaves versus ER2 of old.
On Mon & Tue I saw all sorts of mayhem in the charts and dome of TF. Wed onward, it smoothed out a lot. By Friday it was trading just like the ER2 did back in 2004 ~ 2005. That was before the cross-symbol arbs began shoving it sideways. The ER2 used to trade smoother than ES by far, and smoother than it has in the past couple of years in the end.
<i>"I have no business trading the spread anymore. This move to ICE totally sucks for me and others trading the spread."</i>
I'm hoping that the intra-exchange spreaders that worked ER2 against ES and NQ (same direction or short one / long the other) will leave the TF alone due to inter-exchange costs involved. If that's the case, then TF will trade purely as an offset to IWM and options.
If the TF trades purer without being bumped sideways by NQ or ES influence, it will make straighter swing moves. That in turn makes reading the chart easier... less noise and whipsaw. Friday's TF charts (I use something like 382 to 500 tick setting speeds) were crisp & clean, past the first few minutes of opening mayhem. My TF short signals took nil heat and the directional push did not whipsaw back & filled like ES trades did.
I switched to trading ER2 back in mid-2004 for exactly those qualities. It used to trade smoother and straigher than ES or NQ by a significant measure. That makes all the difference in two ways: risk/reward ratio and scaling = pyramiding in.
The ER/TF allows use of -1pt to -1.5pt initial stops while offering +4pt to +8pt profit gains all the time... one to several times daily. Even with a +40% win ratio, that type of risk/reward scale makes finishing a day net profitable rather easy.
When price action is directional between consolidation, it allows traders to leverage positions 2x to 4x normal size while keeping max exposure to -1x normal risk at all times. Yesterday set up an extremely high-odds situation in the morning where entering 1x size, trail stop to par and enter another 1x size, trail blended entry stops to par and adding more size made sense.
That type of trade entry / execution is tougher in the ES because it zig-zag backs & fills so persistently. The ER-TF is much more straightline thru its swings... far easier to hunt the $400 ~ $800 per contract trades and actually catch them.
*
I trade both the ES and ER/TF. Each have their strengths and pitfalls. At first look it appears the TF will be everything ER2 was, and probably much more.
<i>"Good morning austinp,
Great trading on TF! I was keeping an eye on it all week, and was pleasantly surprised by the strong volume. It seems like a lot of us followed the E-mini Russell to ICE. I personally traded the NQ and CL this week, and worked out well. Then again, it was probably because of the huge range and monster volume we have had on the equity index futures this week!
Couple of questions, if you don't mind my asking:
1) Have you noticed anything strange about the volume or tick charts on TF? I used to trade ER2 on 89 or 144 ticks, but on TF, the chart does not look as smooth, and it seems I do get a lot of big price bars on those settings.
2) The price action on the matrix/dome also seems a little peculiar compared to the old ER2 on Globex. Have you noticed that as well, or is it just me?
3) Were your fills/executions as fast as they were on Globex using Ninja? I have read a few stories about the inferiority of ICE compared to Globex.
Thanks in advance for any comments you may have.
Have a great weekend."</i>
**
We cannot judge everything about TF yet. Once the CME is completely out (now done) AND some time has passed for people to move back in, we will see exactly how the TF behaves versus ER2 of old.
On Mon & Tue I saw all sorts of mayhem in the charts and dome of TF. Wed onward, it smoothed out a lot. By Friday it was trading just like the ER2 did back in 2004 ~ 2005. That was before the cross-symbol arbs began shoving it sideways. The ER2 used to trade smoother than ES by far, and smoother than it has in the past couple of years in the end.
<i>"I have no business trading the spread anymore. This move to ICE totally sucks for me and others trading the spread."</i>
I'm hoping that the intra-exchange spreaders that worked ER2 against ES and NQ (same direction or short one / long the other) will leave the TF alone due to inter-exchange costs involved. If that's the case, then TF will trade purely as an offset to IWM and options.
If the TF trades purer without being bumped sideways by NQ or ES influence, it will make straighter swing moves. That in turn makes reading the chart easier... less noise and whipsaw. Friday's TF charts (I use something like 382 to 500 tick setting speeds) were crisp & clean, past the first few minutes of opening mayhem. My TF short signals took nil heat and the directional push did not whipsaw back & filled like ES trades did.
I switched to trading ER2 back in mid-2004 for exactly those qualities. It used to trade smoother and straigher than ES or NQ by a significant measure. That makes all the difference in two ways: risk/reward ratio and scaling = pyramiding in.
The ER/TF allows use of -1pt to -1.5pt initial stops while offering +4pt to +8pt profit gains all the time... one to several times daily. Even with a +40% win ratio, that type of risk/reward scale makes finishing a day net profitable rather easy.
When price action is directional between consolidation, it allows traders to leverage positions 2x to 4x normal size while keeping max exposure to -1x normal risk at all times. Yesterday set up an extremely high-odds situation in the morning where entering 1x size, trail stop to par and enter another 1x size, trail blended entry stops to par and adding more size made sense.
That type of trade entry / execution is tougher in the ES because it zig-zag backs & fills so persistently. The ER-TF is much more straightline thru its swings... far easier to hunt the $400 ~ $800 per contract trades and actually catch them.
*
I trade both the ES and ER/TF. Each have their strengths and pitfalls. At first look it appears the TF will be everything ER2 was, and probably much more.