Should I be trading Emini instead of QQQ ?

OK, OK, I don't want to get stuck on that one point. I feel badly about having posted that information--I didn't even ask my friend's permission before doing that. My mistake. :(

As a retail trader, I have trouble comprehending anything near this size. I just sit in awe. I do know the software is special (not your usual TWS or JTrader stuff) and it's not done through a single account. Beyond that, I'm unfamiliar. I have not personally witnessed a trade get done, so I can't back up my statement. Please accept this as a graceful retraction, as I feel that I don't have anything to prove, especially that I'm never wrong. :eek:

To the question of liquidity, I'd offer this:
Go to something like livecharts and download the 1 minute data into Excel. Take the High and Low of the bar, subtract them, and multiply by two to get the number of price steps or levels that occured in that minute.

Now, a broad assumption could be made (just in the way of example) that the volume in that bar was spread evenly across those price levels. This may be bogus, but at least hear me out....

For each minute, divide the contract volume in that minute by the number of price levels to get some rough estimate of contracts per price level. If you graph that with a moving average, you can eyeball around 150 to 180 contracts per level throughout the day, with lower activity over lunch.

Now, of course, nothing happens evenly, so some price levels may see three times that volume or one third that volume in any given minute.

So, getting back to canadian dude's question about liquidity, hopefully, you can see that the liquidity at any given price level is quite good.
 
Is NQ traded exclusively by Globex? Otherwise, is it traded
totally electronically? I trade QQQ, but when I look at NQ, it
seems a lot more volatile than QQQ. It seems like someone is
running NQ around taking out stops or at least where it looks
like stops would be put by a lot of traders... Or is it just my
imagination? Or is just NQ's nature to run around like a bull
in a china shop?
 
Daven,

I don't think you need to apologize, there are a lot of people in the community trading size and it is not as simple as buying 350 @ XXX.

Is your friend a speculator or a spreader? There are a lot of traders moving huge size in calendar spreads that might surprise a few people. The margin on one of those spreads is somewhere around $30 or $40; doesn't take too much to be long 1,000 of the front month and short a 1,000 of the back month, now does it?
 
Originally posted by version77
Is NQ traded exclusively by Globex? Otherwise, is it traded
totally electronically? I trade QQQ, but when I look at NQ, it
seems a lot more volatile than QQQ. It seems like someone is
running NQ around taking out stops or at least where it looks
like stops would be put by a lot of traders... Or is it just my
imagination? Or is just NQ's nature to run around like a bull
in a china shop?
More...

Yes NQ is only traded on GLOBEX. Your description of NQ's movement is pretty accurate. I personally prefer ES to NQ but then again I've been following the ES for a lot longer.
 
I have seen over 350 nq contracts bid or asked on my screen in the past 2 years.... and I have traded as many as 500 contracts on the ES and NQ.

I never get any slippage because i just use a limit order on the bid.

The easiest way to match maximum number of contracts to correct time frame is simply by pulling up a volume study on a bar or candle chart. I usually make sure the volume on each bar in current time frame is about 5-10 times greater than my volume.

The only time it would be dangerous to use such size is for plays off the 1 min chart, since the volume isn't suited for trading more than 50 contracts.... Once you get to the 5 min chart, you can trade 500 contracts. It gets easier as u go to higher time frames... so i like to trade the 15 minute chart for 500 contracts.
 
Could someone provide more details on how QQQ is traded, especially for large orders? Big institutional players who trade both future and cash markets should be able to trade QQQ just as efficiently as NQ.
 
Originally posted by lundy

I never get any slippage because i just use a limit order on the bid.
More...

Market orders have slippage problems but limit orders have "getting filled" problems. I measure slippage as the difference between the last price when I enter my order and the price I actually get.

When I use market orders I usually get a tick or so of slippage on every trade. When I use limit orders I usually get filled at my price but then once in a while I won't get filled and I have to chase the market and move up my limit or skip the trade. If I skip the trade my slippage is calculated as the profit foregone. (I could have negative slippage if I skip the trade and it would have been a loss.)

I find that the constant trickle of slippage from market orders averages out to about the same as the once-in-awhile big slippage from using limit orders. I've done a lot of experimenting and my current strategy is to use limit orders but quickly move up the price if I'm not getting hit. By quickly moving up the price the market won't get too far away from me and the once-in-awhile slippages won't be too big.

Aaron Schindler
Schindler Trading
 
Originally posted by Aaron


Market orders have slippage problems but limit orders have "getting filled" problems.

Great comment, Aaron. Another important order entry type is stop order, which is used when price breaks out of range. Any experience on other less common types, like market if touched, market on close?
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