The new Micro E-minis vs. Regular E-minis - pricing

IAS_LLC · Feb 29, 2020

syswizard said:
Yes, but we are talking about 2 separate order books. To make the two separate contracts identical requires a way to keep both order books in-sync. This takes arbitrage....someone needs to be selling when one contract's price gets above another and vise-versa.

Someone is...that's what happens in effecient markets.

syswizard · Mar 1, 2020

IAS_LLC said:
Someone is...that's what happens in efficient markets.

Of course, and I am asking how the CME does it. When they first started the MES/MNQ contracts, certainly they had to insure prices were nearly the same. My bet is they first had to hire some arbitrageurs to do this as just relying on independent traders would not be reliable IMHO.

Seaweed · Mar 1, 2020

syswizard said:
Of course, and I am asking how the CME does it. When they first started the MES/MNQ contracts, certainly they had to insure prices were nearly the same. My bet is they first had to hire some arbitrageurs to do this as just relying on independent traders would not be reliable IMHO.

I completely agree. The first day of trading, during the overnight session, I couldn't place a trade. Got a message that trading was restricted to certain people or something like that. So I'm sure CME was testing out how well the MMs were going to keep it orderly between each other. By the RTH open, I was able to trade it.

syswizard · Mar 1, 2020

Seaweed said:
I completely agree. The first day of trading, during the overnight session, I couldn't place a trade. Got a message that trading was restricted to certain people or something like that. So I'm sure CME was testing out how well the MMs were going to keep it orderly between each other. By the RTH open, I was able to trade it.

Thanks for this valuable feedback. Based on this, I have a funny feeling that rolling out the new micro CL contract is going to go a lot smoother for the CME.