a little background might help:
I'm managing a private fund for 7 years running (last 3 as manager), where we're only 5 traders including myself. Until last year we were solely focusing on european securities and fx for trading purposes, and only held us equities as longer-term investments. Only two of us are dedicated day- traders (our fx trader on occassion also day-trades but only when she feels the mkt. cries for it, otherwise she's very swing orientated - her main pair is euro/chf which says it all I gather).
Besides trading euro stocks on an intra-day basis, we also trade a couple of euro futs. very actively (schatz, bubl, dax, cac 40, ftse). Then sometime ultimo 2004, we heard about the CME ecm/ 106R program. - i.e. we could now get round-turns for cme mini products for usd 1.40 all inclusive.
As we are eurex members and both at least within the range of what you'd call scalpers (i.e. commission schemes are paramount for our trading-style), that initiative from the CME was key to us, as it actually made it a viable option for us to intra-day trade us index futs.
We held a meeting, and decided to sign up for the membership, and that I was going to undertake the business of testing the waters trading small size for 30 trading days. During that time I traded about 80 % es and 20 % nq. As the first testing period looked promising, we decided to give this a real shot - and after another quarter we settled upon making us index futures a considerable part of our fund-management. As the (continental)pm times suited me well, we decided to make this my absolute main area of daily attention/ where I'd put my hours in (love a whole session with pre- and post-mkt. , but I'm not a 20 hours a day trading kind type.
I continued trading es as my primary instrument and some nq too. Have been doing this until now, and laying all vanity aside, with considerable success. Now, from time to time I made some minor er2 and ym plays for exercise, but never more than 2-5 % of our total us future business.
That is, until a month ago. After analyzing stats I found that I proportionally made about 30 % more trading er2 than es and nq (results for ym was ok too (about + 10 %), but because we don't hold membership at the CBOT it wasn't a real option for now.
So I decided to step up to the plate and increase size and involvement in the er2. I first started trading a max of 10 lots, then 15, and the last fortnite swinging 25 lots as max.
What I'm curious about is of-course other traders experiece with tading size on the er2. As of now, I find that I can still somewhat easily swing 25 lots during the morning and evening session. Very few instances of slippage and when happening it has been within ticks. I have of-course consulted fellow traders and had talks with us brokers, but I'd greatly appreciate your opinion.
So, what's your experience with trading er2 in moderate size like we do now, as well as size ranging from 75-250 lots. Will you often sweep the book then, and how bad can the slippage become in fast markets (especially when it comes to stop-limit orders - as of now I got my limit at 10 ticks but have only experienced a slippage of 3 ticks once, and a couple of one tics. Have I just been plain lucky?
Looking forward to your responses,
ac
I'm managing a private fund for 7 years running (last 3 as manager), where we're only 5 traders including myself. Until last year we were solely focusing on european securities and fx for trading purposes, and only held us equities as longer-term investments. Only two of us are dedicated day- traders (our fx trader on occassion also day-trades but only when she feels the mkt. cries for it, otherwise she's very swing orientated - her main pair is euro/chf which says it all I gather).
Besides trading euro stocks on an intra-day basis, we also trade a couple of euro futs. very actively (schatz, bubl, dax, cac 40, ftse). Then sometime ultimo 2004, we heard about the CME ecm/ 106R program. - i.e. we could now get round-turns for cme mini products for usd 1.40 all inclusive.
As we are eurex members and both at least within the range of what you'd call scalpers (i.e. commission schemes are paramount for our trading-style), that initiative from the CME was key to us, as it actually made it a viable option for us to intra-day trade us index futs.
We held a meeting, and decided to sign up for the membership, and that I was going to undertake the business of testing the waters trading small size for 30 trading days. During that time I traded about 80 % es and 20 % nq. As the first testing period looked promising, we decided to give this a real shot - and after another quarter we settled upon making us index futures a considerable part of our fund-management. As the (continental)pm times suited me well, we decided to make this my absolute main area of daily attention/ where I'd put my hours in (love a whole session with pre- and post-mkt. , but I'm not a 20 hours a day trading kind type.
I continued trading es as my primary instrument and some nq too. Have been doing this until now, and laying all vanity aside, with considerable success. Now, from time to time I made some minor er2 and ym plays for exercise, but never more than 2-5 % of our total us future business.
That is, until a month ago. After analyzing stats I found that I proportionally made about 30 % more trading er2 than es and nq (results for ym was ok too (about + 10 %), but because we don't hold membership at the CBOT it wasn't a real option for now.
So I decided to step up to the plate and increase size and involvement in the er2. I first started trading a max of 10 lots, then 15, and the last fortnite swinging 25 lots as max.
What I'm curious about is of-course other traders experiece with tading size on the er2. As of now, I find that I can still somewhat easily swing 25 lots during the morning and evening session. Very few instances of slippage and when happening it has been within ticks. I have of-course consulted fellow traders and had talks with us brokers, but I'd greatly appreciate your opinion.
So, what's your experience with trading er2 in moderate size like we do now, as well as size ranging from 75-250 lots. Will you often sweep the book then, and how bad can the slippage become in fast markets (especially when it comes to stop-limit orders - as of now I got my limit at 10 ticks but have only experienced a slippage of 3 ticks once, and a couple of one tics. Have I just been plain lucky?
Looking forward to your responses,
ac
