Quote from toucanmill:
What is, ballpark, the largest number of ES contracts a single person could enter for quickest execution? I've made it up to 30, but I'd like to try for more. I also realize this is largely dependent upon my brokerage. But if bigger means significantly slower total execution, which is what I fear, then I won't do it. However, I have a plan B question.
Plan B - In lieu of a single, large order for 50 contracts, would a person be better off doing two trades at 25? Hypothetical is perhaps I have an assistant execute their order of 20-25 at the same time - is this more plausible?
All I'm looking for here is honest feedback and appreciate the wisdom and experience.
Thanks!
Put up a OTR (One Tic Range) chart For your convenience. they usually will shown time divisions that correspond to your bar chart. Use P and V for both.
Also watch three streams: DOM 50+ T&S and All T&S.
You will begin to notice the market's capacity as the day goes along. As the market comes into focus, you can see when you have to use partial fills.
I put annotated rays on my volume for the bar chart. The rays are arranged to show relative volume ranges which indicate the PACE of the market and it's current capacity.
For me, timing is a higher priority than price. You can see that a very good percentage of orders never get filled and those people miss their trades at market turns.
In another thread someone is experimenting with tic movement and this shows nicely on the OTR tic chart. The concept of reversion goes away (mentally) fairly rapidly when you run OTR charts. You will see often that there are two tic pairs alternating and one is domimant. Use the volume associated with the dominant side to get your trade size that is possible, especially at the time the dominance reverses as a turn is being made. you can use up to five partial fills in rapid order without fear of price movement.
You can see if odd harmonics (spiking) or even harmonics (saucers) are the primary periodic at play. there are fewer second chances on odd harmonics.
for ES there are fairly reliable data on the pace vs time of day and the corresponding price velocities at those times.