Scalping Euro Futures

Quote from Lobster:

Since the NYMEX has all but annihilated the fun in QM, I'm now considering scalping Globex Euro FX futures. I just did about a dozen roundtrips, and I just about break even after commissions.

Here's what I plan to do (and have been doing, except for one little SNAFU when I was fiddling around with the interface and accidentally set my stop 2 ticks too low; cost me about a hundred bucks... made me look at the cost of Button Trader in a new light hehe).

I look at a 5 min bar chart to determine at which levels (+/-a few ticks) I am interested in going long and at which levels i am interested in going short. I tend to trade ranges rather than breakouts. When I see a breakout on high volume I usually take it as a signal to stay out for the moment.

Whenever the market approaches one of the aforementioned levels of interest, I watch for (mini-)capitulation and submit a limit order if I see an opportunity. If I don't get an immediate execution, I give the order some time to work, depending on general market conditions, usually between 30 seconds and 15 minutes.

Initially my "worst case" stop is sitting at the exchange as a stop limit with trigger at 8 ticks and limit 4 ticks from the trigger. This is supposed to be hit only rarely; it happened once today.

I usually take a profit of about 4 or 5 ticks if everything goes well. If the position starts moving against me, I lower my mental profit target; if, on the other hand, it moves very strongly in my direction, I shoot for more (this has not happened yet).

In any case (except the worst case stop, obviously), I enter my limit order to exit in a similar fashion as the entry, except I am naturally a little more aggressive than with the entry.

As some of you may have guessed, I only do one lot for now. Eventually I would like to scale out (and possibly also in) in two steps.

So what do you guys think?

1. Any input is appreciated. I realize the description of my strategy is vague. That's due to my articulatory ineptitude; it's not an attempt to keep you in the dark. Feel free to ask questions.

2. Should I even bother posting here, in other words, is anyone interested in this kind of journal?

3. Would you like to see a daily list containing every single trade, or will the bottom line do?
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Honestly, you seem like a nice enough guy.....but trying to scalp the Euro FX for a few ticks is a losers game. At best you will break even (like you did today). Trying to scalp a volaitle mkt is jsut plain dumb....you will get stopped out way too many times and in the end will show no profits. I traded at a prop group in Chicago that tried that....doesnt work. 8 good trades wiped out by one. You are competing against computers which are much faster than you. And god forbid you are long when news comes out and they sweep the book down 40 ticks...that will set you abck 10 winning trades or so. My advice...expand your holding time/expected profit.. wait for the right set ups/areas....and trade. Scalping the Euro fx is useless.
 
if you must do this ... and have IB as broker

you can try IDEALPROFX for smaller size trading with spot EURUSD (if this is considered
tax wise different than futures then you might not want to trade in spot fx)

So try 1/2 size EUR FX futures
on CME ... while experimenting on scalping

heck maybe YG ( mini gold ) or ZG ( full size gold ) you could try but make sure you rollover to FEB 06

good luck ...
 
EPrado and SethArb, Thank you for your advice. I realize IB will most likely be making more money than I on this, I am also going to have to find out through trial and error exactly how bad a jump on news can be.

Computers are faster, but that does not mean they are better scalpers, but I certainly respect them and the minds behind them.

Here's today's bottom line:

18 R/T
$187.50 before commissions
$85.98 after commissions

I looked it up, commissions are $5.64 per round trip; let's see if I can edit my post above.
 
Well, well, well ...

Looks like we're trading in slow motion today. I expected as much from a holiday.

I was really lucky a couple of times and had really bad luck a couple of times. I guess they canceled each other out. For your entertainment I will let you know that I sold at 1.1793, which so far is the low for the day. I hardly ever loosen my stops; of the 28 R/T I have done since yesterday, I only considered it once. This was the stop at 1.1794. The funny thing is, I was debating whether to move it to 1.1789, and when I had finally decided to do it, it got stuck as "Light blue" for probably 10 seconds and then executed.

On a less anecdotal note, it seems like 3 ticks might be a more realistic profit target when it's slow like today.

I also think I'm too trigger-happy on my exits in one particular situation: When the market has run 3 or 4 ticks against me, I usually lower my target to around break-even. It seems like I almost always would have been better off with my original profit target instead. This makes me wonder how much more succulent it might be to scale into a position rather than trying to optimize the entry with one single lot. Well, that will have to wait until I am consistently profitable with one lot. While I do believe that the big contract is the way to go, I am not rich and don't feel like risking more than necessary right now.
 
Quote from SethArb:

if you must do this ... and have IB as broker

you can try IDEALPROFX for smaller size trading with spot EURUSD (if this is considered
tax wise different than futures then you might not want to trade in spot fx)

So try 1/2 size EUR FX futures
on CME ... while experimenting on scalping

heck maybe YG ( mini gold ) or ZG ( full size gold ) you could try but make sure you rollover to FEB 06

good luck ...
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Scalping euro futures and euro fx is entirely different when it come to how you are going to get filled and how the liquidity plays out.

A strategy that I have thought of using is buying an option on the big futures in a hopefully a congested market. When the option is profitable take an offsetting position with the future. From there you can trade the small contract against the the big contract. Once you square your big and small contracts you could then sell the option and so on and so forth. I have never done this but it looks like it could be fun in afternoon trading.
 
Alright, this is getting just a little bit too slow for me now. I'll call it a day. I think I'm going to go for a walk on the beach or catch up with the paperwork I have to do in my function as a slave to international bankers.

Here are the numbers:

Today:
11 R/T
$275.00 before commissions
$212.96 after commissions

Total:
29 R/T
$462.50 before commissions
$298.94 after commissions
 
Today I don't feel so good; too much sun and too much toxic food yesterday; it sure was tasty though. I didn't even get up until 10:00 and started out by going long into the selloff, why I don't know; got stopped out three times.

I loosened my stop by 4 ticks on one occasion, but the original stop wasn't even hit. I ended up taking a 3 tick loss on that trade.

Also, I'll have to stop answering the phone while I'm in a position. It doesn't seem worth it.

Today:
15 R/T
$37.50 before commissions
$(47.10) after commissions

Total:
44 R/T
$500.00 before commissions
$251.84 after commissions
 
Lobster, I've enoyed your posts over the years.

Tell me this, do you not feel TWS is a VERY difficult platform to scalp on?
 
Quote from Pabst:

Lobster, I've enoyed your posts over the years.

Tell me this, do you not feel TWS is a VERY difficult platform to scalp on?
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Thank you, Pabst, I feel honored.

To tell you the truth, even at the risk of sounding amateurish, I can't imagine a platform that would provide significant improvement for me at this point. Maybe that has something to do with the fact that I have never really scaled into or out of positions.

Perhaps it's just that I have never seen or even heard of a really good platform. Let me describe to you exactly how I do it at the moment, and if you have any ideas as to what I am missing and completely unaware of, I would very much appreciate any suggestions.

I use the charts that come with TWS. I realize they are terribly and unnecessarily CPU-intensive and slow, but they are convenient. I wrote my own charting application, which was much faster, but that was before IB supported backfill; now I'm just too lazy; and even though I wouldn't mind faster charts, I just don't see how they would improve my entries or exits, so I don't want to invest the time.

I have a Booktrader window open and "armed," and when the time draws near to enter a trade, I keep holding down the Alt key (so that any new order I might create is automatically furnished with a bracket order).

One mouseclick in the Booktrader window creates and transmits to the IB server my entry limit, worst case stop, and target limit order. The stop and target are transmitted by IB to the exchange as soon as the entry order is filled. Once either the stop or the target has been filled, the other order is automatically canceled, and the trade is complete. Initially the stop and target orders are 8 ticks away from the entry point, in opposite directions. But it doesn't stay that way for long. Right after entering the initial order, I click on the target order in the TWS window. This allows me to change the price (and size) of the order by using hotkeys. I use Home and End for price up/down 1 tick, PgUp/PgDn for price up/down 4 ticks, Insert to transmit (the modifications) and Delete to cancel the order (which I never do; if I want to stay in, I just move the price away by 8 or 12 ticks, which takes all of a few tenths of a second and can be reversed just as easily). What's kind of nifty is that booktrader shows the price that's currently displayed for the order in the TWS window, even before the modifications are transmitted. What's not so nifty is that it doesn't show the currently working price at all, just like the TWS line doesn't show it, but at least the TWS line is yellow, whereas the modified order always looks the same in the booktrader window, before and after the modification is actually transmitted. I would almost consider that somewhat of a bug in Booktrader, and it wouldn't surprise me if IB fixed it one of these days.

So anyway, I just keep moving the target order with my hotkeys while staring at the Booktrader window, and whenever I deem it appropriate, I transmit the modifications to the exchange (and I always keep in mind the current working price of my order as I keep modifying, but not necessarily always transmitting it; that's really not all that difficult to do with only one order at a time).

It would probably be nice if I could modify entire groups of orders at the same time, to easily scale out of a position, but I guess I'm not yet at the point where I would even be able to make use of such functionality.

I looked at Buttontrader, and using the mouse could be considered more intuitive and comfortable, but it's also not as reliable, efficient, and fast as hotkeys.

Now that I'm thinking about it, I do have the feeling that there might be an incredibly efficient scalping platform out there, one based entirely on hotkeys. Maybe I should start looking around.
 
Quote from Lobster:

I looked at Buttontrader, and using the mouse could be considered more intuitive and comfortable, but it's also not as reliable, efficient, and fast as hotkeys.

Now that I'm thinking about it, I do have the feeling that there might be an incredibly efficient scalping platform out there, one based entirely on hotkeys. Maybe I should start looking around.
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Hi Lobster,
I like your posts and read them with interest.

Did you know the ButtonTrader has a HotKey-feature already? (maybe you overlooked it)...

It actually has 2 hotKey-systems. one is released to the public, and focuses on the Selection and Launch of Strategies (works much faster with a hotkey than by using the mouse).

The other hotkey-system is not released (I used that myself for scalping some years ago) and can be used just for the things you are describing: moving up and down the Limit-prices of the Target.....now I think of it, it might be an idea to release this part as well. but I have no idea if there is much asking for it, and I have to figure out a way to route the hotkey-action to the correct running-strategy (I have, just as you, using it for only one Target Order, but ButtonTrader developed in the years in a way that many more running-strategies are present).

Let me know (by PM) if you are interested and I'm all ears when you or someone else has a clever solution to route the hotkey to the correct Target-Order when more are present.
 
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