SP vs. ES Contract

rida07 · Nov 18, 2008

would you be better off trading 1 SP contract as opposed to 5 e-minis from a commission standpoint?

Are there any disadvantages to trading SP? (understanding that it does not trade after-hours like the ES contract does).

For example do you get instantaneous fills with the SP contract like the ES? Are stop-losses handled differently in the pit than electronically?

Thanks

TraderZones · Nov 18, 2008

Quote from rida07:

would you be better off trading 1 SP contract as opposed to 5 e-minis from a commission standpoint?

Are there any disadvantages to trading SP? (understanding that it does not trade after-hours like the ES contract does).

For example do you get instantaneous fills with the SP contract like the ES? Are stop-losses handled differently in the pit than electronically?

Thanks

One advantage of big S&P, is smaller intervals (0.1 instread of 0.25). But small is MUCH more liquid.

Trader KGB · Nov 18, 2008

ES is much more liquid b/c the CME continues the ridiculous policy of closing SP electronic trade during RTH.

Thankfully ICE didn't continue that nonsense when they took over the RUT/ER.

rida07 · Nov 18, 2008

Quote from Trader KGB:

ES is much more liquid b/c the CME continues the ridiculous policy of closing SP electronic trade during RTH.

Thankfully ICE didn't continue that nonsense when they took over the RUT/ER.

So does closing of SP electronic trade make the fills slower than with the ES?

I am thinking for someone who trades 5 or 10 e-minis should not have liquidity issues with 1 or 2 SP contracts but with very sizable savings in commissions.

Am I missing anything?

VoodooMMI · Nov 18, 2008

Quote from rida07:

So does closing of SP electronic trade make the fills slower than with the ES?

I am thinking for someone who trades 5 or 10 e-minis should not have liquidity issues with 1 or 2 SP contracts but with very sizable savings in commissions.

Am I missing anything?

Since SP is pit traded, there is a delay from when you enter the order to when it's executed. This could result in a lot of slippage. Also, if you try to cancel a working order, the same delay can result in a "too late to cancel" fill instead of a "you are out".

gnome · Nov 18, 2008

Quote from rida07:

would you be better off trading 1 SP contract as opposed to 5 e-minis from a commission standpoint?

Are there any disadvantages to trading SP? (understanding that it does not trade after-hours like the ES contract does).

For example do you get instantaneous fills with the SP contract like the ES? Are stop-losses handled differently in the pit than electronically?

Thanks

The primary reason the ES trades about 10x the dollar volume of the pit contract is overall lower costs.

While the commission on 5 ES is higher than 1 pit contract, the time delay (and perhaps other things) of the pit contract often leads to worse fills.

The actual cost for a trade is "commission + slippage"... and the ES is consistently lower about that.

rida07 · Nov 18, 2008

Quote from gnome:

The primary reason the ES trades about 10x the dollar volume of the pit contract is overall lower costs.

While the commission on 5 ES is higher than 1 pit contract, the time delay (and perhaps other things) of the pit contract often leads to worse fills.

The actual cost for a trade is "commission + slippage"... and the ES is consistently lower about that.

Thanks for the reply, very helpful. Just one last question - does the slippage still exist in SP night trading when it switches to electronic trading after 5pm?

gnome · Nov 18, 2008

Quote from rida07:

Thanks for the reply, very helpful. Just one last question - does the slippage still exist in SP night trading when it switches to electronic trading after 5pm?

1. There is no such thing. The pit contract does not trade at night. The Globex traded ES trades basically 23 hours and 15 minutes per day except weekends and holidays.

2. There is always the potential for some slippage depending upon your order. If your platform has DOM, you should be able to tell what it's likely to be, if any.

jd7419 · Nov 18, 2008

Quote from gnome:

1. There is no such thing. The pit contract does not trade at night. The Globex traded ES trades basically 23 hours and 15 minutes per day except weekends and holidays.

2. There is always the potential for some slippage depending upon your order. If your platform has DOM, you should be able to tell what it's likely to be, if any.

Yes the big contract trades at night. Check the cme site I have traded the big contract many times at night.

gnome · Nov 18, 2008

Quote from jd7419:

Yes the big contract trades at night. Check the cme site I have traded the big contract many times at night.

Oh? Well I stand corrected. When I used to trade the big contract, it didn't trade at night. Really thin? 1-sies and 2-sies? There really are people in the pit overnight, or has it gone electronic too?