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

[syswizard]

From a technical standpoint, how is the data stream derived for the Micro prices ?
Is there pricing arbitrage with the larger contract happening ? Has the CME Group maybe automated that particular function to keep prices in parity ?
Has anyone compared the Micro contract prices with the Mini contract prices ? I am talking MES vs. ES and MNQ vs. NQ.
Note: we had 1.7 million MES contracts trade on Friday so there is plenty of liquidity.

 

[hafez50]

I've compared and there might be a blink in price here and there. So in essence the mes traded 170k es contracts .When i first started monitoring the mes about 6 weeks ago i noticed the es was trading 6 times the vol of the es. It seems each week the spread dropped to now being 3 times the es as of yesterday. I've had no trouble slinging 5-30 around at a times. I'm using now to reduce the wild swings and get much better avg prices than the es and it helps e not getting stopped out . You traded 5-10 es up and down yesterday you could be down $10k in seconds .

 

[trdes]

I watch and trade both ES/MES NQ/MNQ every trading day and virtually all day long. Agree with hafez50. Haven't seem many large disparities. You can certainly have MNQ go 0.50 difference. The biggest difference I've seen was actually in MYM, where MYM charted 10 ticks higher, than the actual YM. Only seen that once though. Otherwise prices track so close(just from what I am seeing visually I haven't actually did any solid math on this or checked), that arbitrage certainly wouldn't be something I'd be able to take advantage of, nor would anyone that I know that trades would be able to.

 

[IAS_LLC]

I compared them a few months back (maybe 6 months ago?) to see if there is any arb opportunity there using high-frequency tick by tick data from rithmic, with microsecond exchange timestamps on trades. There isn 't anything there, that I could see. They were almost in complete lock-step, and you'd probably have to be co-located at the exchange to do anything with the difference. Biggest thing I noticed was that the micros would "gap" sometimes to stay in sync with their big brother, while the full sized contract would trade continuously through.

The volumes on these contracts seems to have grown alot in the past few months (relative to the full sized contract), so I'm guessing there is a even less of an arb opportunity than there was when I looked at it.

 

[Adude81]

You still want to keep an eye on both. If just watching the micro, you would have missed out on seeing a bunch of these trading out Thursday night.

 

[IAS_LLC]

You still want to keep an eye on both. If just watching the micro, you would have missed out on seeing a bunch of these trading out Thursday night.

The mini moves the micro, so I wouldn't even bother looking at the book for the micro. Watch the mini's book, but execute on micro if you're trading orderflow.

 

[tiddlywinks]

The micros while volume and liquidity is good, DO NOT EXPECT every increment to trade. There is more "price discovery" in the micros... meaning changes in bid/ask price with no trades. Limit orders can go unfilled, and MIT orders can cause more than normal slippage. Whereas, the mini counterpart bid/ask pricing will generally produce prints. Remember, they are 2 separate products: Mini and Micro.

 

[traider]

The mini moves the micro, so I wouldn't even bother looking at the book for the micro. Watch the mini's book, but execute on micro if you're trading orderflow.

are you doing that? didn't orderflow stop working when hft became dominant and big guys could hide their tracks.

 

[IAS_LLC]

are you doing that? didn't orderflow stop working when hft became dominant and big guys could hide their tracks.

I don't trade the micro (unless I'm messing around in my ib account), but I do trade using the book on the minis. I'm automated and process every single book and trade event...I don't know how manual traders are able to do it, but that doesn't mean it's impossible.

 

[traider]

I don't trade the micro (unless I'm messing around in my ib account), but I do trade using the book on the minis. I'm automated and process every single book and trade event...I don't know how manual traders are able to do it, but that doesn't mean it's impossible.

Did you process everything this Friday near the end of day close ? IB data is snapshotted and I think I sometimes miss updates that are critical which caused my algo to get hit while it was backing off.