Question about Index Futures Liquidity

torontoman · Mar 2, 2008

Hi,

People are telling me to trade ES, because YM and ER is not as liquid and therefore have bad fills.

Question: How many contracts that I would trade on the YM and ER for me to be concerned about this?

Thanks in Advance,

Torontoman

nazzdack · Mar 2, 2008

allenhobbs · Mar 2, 2008

50. By the way, never, ever trade a with a market order.

torontoman · Mar 2, 2008

Quote from allenhobbs:

50. By the way, never, ever trade a with a market order.

I trade much less than 50. 8 the most. So what would be wrong with market orders?

Thanks in advance,

Torontoman

suedeuno · Mar 2, 2008

I assume you're talking normal session trading. The YM is very liquid unless you're using huge size. I scalp the YM often with small size, never a problem getting good fills. I have no idea on the ER, never traded it. You should always use limit orders getting in. If it starts to run you could get some slippage with a market order. When they move out of ranges they move quickly.

Quote from torontoman:

Hi,

People are telling me to trade ES, because YM and ER is not as liquid and therefore have bad fills.

Question: How many contracts that I would trade on the YM and ER for me to be concerned about this?

Thanks in Advance,

Torontoman

ProfitTakgFool · Mar 2, 2008

Market orders work well on the ES and NQ but you're probably gonna get stung using them on the YM or ER2. The last time I used a market order on the ER2 I got bit for a full point of slippage. You can easily cough up .50 on the ER2 with a market order but using limits on that contract is difficult because it trades in .10's. It's all around a very hard contract to trade.

Quote from allenhobbs:

50. By the way, never, ever trade a with a market order.

mgabriel01 · Mar 2, 2008

Quote from torontoman:

Hi,

People are telling me to trade ES, because YM and ER is not as liquid and therefore have bad fills.

Question: How many contracts that I would trade on the YM and ER for me to be concerned about this?

Thanks in Advance,

Torontoman

I have been trading YM about 2 months ---I always use limit order and they usually fill right away

I dont trade it after hours because the volume goes way way way down

During trading hours I have seen 4 instances where the market was moving fast with heavy volume and my orders took a minute or 2 to fill

usually fill within seconds

suedeuno · Mar 2, 2008

I think it would also depend on when you execute too. If your trying to jump into momentum and it's running you may not get an instant fill. I usually execute right before the break of a range so I haven't really had limit order fills that were not instant.

allenhobbs · Mar 2, 2008

Quote from torontoman:

I trade much less than 50. 8 the most. So what would be wrong with market orders?

Thanks in advance,

Torontoman

Market orders are okay if you don't care about slippage. In the ES, at the very least, you give up 1 tick (25%) which is a lot in my book. I trade with limts and try to get them in as early as possible to get filled. Often times, I get a fill and the market doesn't have to trade through my limit.

minmike · Mar 3, 2008

Quote from ProfitTakgFool:

Market orders work well on the ES and NQ but you're probably gonna get stung using them on the YM or ER2. The last time I used a market order on the ER2 I got bit for a full point of slippage. You can easily cough up .50 on the ER2 with a market order but using limits on that contract is difficult because it trades in .10's. It's all around a very hard contract to trade.

Soemtime the ER2 is deeper than the NQ. It all depends on trading style. try what you think might work.