NQ Liquidity

[Gasparov]

I have a question for the bigger accounts on here, have you had any trouble with liquidity on NQ futures? I don't have to worry about it yet, but I am curious to know if anyone who's been trading for a long time has noticed any changes/patterns with fills and how much size is too much to get filled on one trade, over the months or years.

For example, if the level 2 shows just 10, 8, 5, 5, etc. for the next few ticks, and you wanted to get 50 or 100 contracts, have you had any difficulty getting them at that price? I'm sure liquidity is much worse right now but I am wondering both for this past week and in general.

 

[EsKiller]

NQ can't handle 50-100 at a time

 

[Gasparov]

NQ can't handle 50-100 at a time

but it has in the past right? I have seen orders of 100+ contracts before on the Time and Sales feed, just haven't really checked recently. I'm not sure how to get more information on those

 

[CFerret]

Used to trade up to 15-20 at a time back in 2013. There was some slippage like 2-4 ticks. Critical if you day trade for small gains.

 

[EsKiller]

Used to trade up to 15-20 at a time back in 2013. There was some slippage like 2-4 ticks. Critical if you day trade for small gains.

I trade 7-20 lots in ES. When I would occasionally trade NQ, I used to structure my entries. Even when i was going for $50 / contract, I would still structure it so I wouldn't get slippage.

Trading 50-100 in NQ just isn't realistic unless you plan on swing trading and can structure your entries and exits without causing slippage.

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[CFerret]

I trade 7-20 lots in ES. When I would occasionally trade NQ, I used to structure my entries. Even when i was going for $50 / contract, I would still structure it so I wouldn't get slippage.

Trading 50-100 in NQ just isn't realistic unless you plan on swing trading and can structure your entries and exits without causing slippage.

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Agree. I used to trade breakouts and that added to the problem of slippage of course, but anyway, NQ isn't very liquid.

 

[SunTrader]

1.5m contracts traded yesterday. Surely a 50 lot can be filled quickly enough with barely a tick slippage no?

Anyway I stick with ES/YM/RTY, leave the wild child alone.

 

[Gasparov]

1.5m contracts traded yesterday. Surely a 50 lot can be filled quickly enough with barely a tick slippage no?

Anyway I stick with ES/YM/RTY, leave the wild child alone.

That's what I wonder as well. There's so much volume there that it seems it should be possible to get a large order filled if you accept 1-2 ticks slippage.

 

[Same Lazy Element]

That's what I wonder as well. There's so much volume there that it seems it should be possible to get a large order filled if you accept 1-2 ticks slippage.

My prior would be that a lot orders on the touch will be UHF market makers who might pull while you are transmitting the order. So while it's liquid, your fills are not certain.

PS. I recall a study (by QB?) that quantified top of book participation from various players in equity futures, but I don't recall the exact numbers. The gist was that spooz were an outlier where most of the size on the touch is non-HFT but the rest of the futures were very much dominated by fast players.

 

[comagnum]

Slicing the NQ orders under 5-6 cars you have little effect on the market. Here is a break down based on CME data over the last quarter on the relation to size & effect(cost in ticks) on the market.

5 cars 1.3 ticks
10 cars 1.6 ticks
15 cars 1.85 ticks
20 cars 2.1 ticks
30 cars 2.5 ticks
40 cars 2.95 ticks
50 cars 3.3 ticks
75 cars 4 ticks
100 cars 4.6 ticks

Here is the depth of book with median effect on the market in ticks for a 100 cars fill on the ES & NQ over the last quarter during the regular session.

ES (SP500)

NQ (NDX100)

You can look a the CME data at no cost to see trading costs in relation to size and the book depth. This is a great tool & its free to use - just sign up.

https://www.cmegroup.com/tools-information/cme-liquidity-tool.html#cmeLiquidityContainer