the smallest move

S

stephenszpak

I was just wondering what would be the smallest
move that could be reasonably traded on the e-mini
S&P 500.

I've tried to include a graph of some recent trading.
Won't know if it works until I post I guess. I was thinking
about the small moves from about 14:03 to 14:35 in
the afternoon on Friday July 22nd.

The moves were 1235.00 to 1235.50. If the graph
doesn't load. Going only long of course, since we can
see it was in a uptrend anyway.

Is this tradable in real life, even after the fact?

Stephen Szpak
 

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Stephenszpak, I would first ask what entry and exit methods you would desire to use to trade such moves. Or is that the real question you have? Using market orders? And are you finding value in using a one period ma of the close? Regards, Al.
 
Quote from Albert Cibiades:

Stephenszpak, I would first ask what entry and exit methods you would desire to use to trade such a move. Or is that the real question you have? And are you finding value in using a one period ma? Regards, Al.
More...

Thanks for replying Albert. I can't trade but I do try to learn
about it. Yes it is a real question (which gives you a feeling
for my knowledge base).

As for the 1 period moving average, I like to use it on
1 minute bars only (at this point). It seems to help me see
what's going on better. It is not all that relavent to this
question though.

Stephen Szpak
 
Stephen, thanks. The market order trading triggers I use mostly do not predict a move before it happens. They trigger after about 2 ticks of move. So such methods miss 2 ticks of a move on the entry, 2 ticks on the exit, and 1 or 2 ticks due to where the bid and ask are relative to the last trade before entry and exit. Typically IMO you will lose 6 ticks of any move. So you had better believe that you are going to snag the middle of at least a 10 tick move to make the reward worth the risk of a wrong entry. You can see that predicting a move before it happens is of great value. Refer to the posts of Grob109 for candidate methods. And you are wise to stick to trading voyeurism for a while. I only replied to you because I know it will attract more intelligent posters to refute me. When they appear, some background on you and your trading aspirations would assist them in helping you. Regards, Al.
 
Quote from Albert Cibiades:

Stephen, thanks. The market order trading triggers I use mostly do not predict a move before it happens. They trigger after about 2 ticks of move. So such methods miss 2 ticks of a move on the entry, 2 ticks on the exit, and 1 or 2 ticks due to where the bid and ask are relative to the last trade before entry and exit. Typically IMO you will lose 6 ticks of any move. So you had better believe that you are going to snag the middle of at least a 10 tick move to make the reward worth the risk of a wrong entry. You can see that predicting a move before it happens is of great value. Refer to the posts of Grob109 for candidate methods. And you are wise to stick to trading voyeurism for a while. I only replied to you because I know it will attract more intelligent posters to refute me. When they appear, some background on you and your trading aspirations would assist them in helping you. Regards, Al.
More...

Thanks Albert. I'm sure others will get in here now.

I was told that:

"The ES trades in .25 increments and they are worth $12.50 each. " by a previous poster somewhere.

So I was thinking that a 1/2 point move would be $25 minus
$5 (????) in commisions. There were alot of $20 profits in this
little stretch on the graph. Of course, the graph, by definition
*must* be a look back into the past where everything is
obvious.

Anyway a tick in the E-mini S&P 500 is .25 point from what I
was told. Is it even possible to go long 1235.00 and exit at
1235.50?

OR is it just luck that by the time the order executes the
price would be 1235.00? What I'm saying is, maybe after
5 seconds the price would be 1235.50 and I would be
buying at the high (of this microscopic move).

This nuts and bolts stuff is just something I've never learned.

Stephen Szpak
 
With all respect Albert,
Im not trying to play smart or act as a wise ass, but your last post is confusing to me.
Wrong entry cost 6 ticks?
10 ticks to make the risk worth it?
Hmm...
I most often trade 1 tick (appx. 60%) 2 tick (30%) or 1 full point (10%).
Its proven highly sucessfull for me.

Best retards
Syrre
 
Quote from stephenszpak:

So I was thinking that a 1/2 point move would be $25 minus
$5 (????) in commisions. There were alot of $20 profits in this
little stretch on the graph. Of course, the graph, by definition
*must* be a look back into the past where everything is
obvious.

Anyway a tick in the E-mini S&P 500 is .25 point from what I
was told. Is it even possible to go long 1235.00 and exit at
1235.50?
More...

Yes increments correct, you got the right picture.

And yes, its possible - even B 123500 and S 123525.
 
syree

Thanks for the feedback.

This is a stupid question, but like I wrote a few
minutes ago, if I'm doing this electronically
(E-mini S&P 500) and the price is jumping up and
down a few times a minute between
1235.00 and 1235.50 how can I be sure I'm
going to go long at 1235.00 *only* ??? Isn't there
going to be a delay, howbeit a few seconds from the
time the order is placed till executed. Besides the data
feed must have a delay of a few seconds as well, or
am I basically wrong?? Just don't know these things.

Thanks, you guys are great.

Stephen Szpak
 
its no problem, you can have one or multiple LIMIT orders active working for you at the same time, you never pay worse (to your advantage) than your limit price if thats what your asking.

not sure what you mean if thats not what your asking tho :)

i forgot:
the delay should be less than a second with decent connections.
 
Quote from syrre:

its no problem, you can have one or multiple LIMIT orders active working for you at the same time, you never pay worse (to your advantage) than your limit price if thats what your asking.

not sure what you mean if thats not what your asking tho :)

i forgot:
the delay should be less than a second with decent connections.
More...

syrre

This is from oasismanagement.com:

Limit - Is an order which is to be filled at that stated price or better. Or better means a lower than the stated price for a buy or a higher than the stated price for a sale.

I guess that's what I'm asking. So I put in a limit order with
whatever brokerage I use for my futures trading and they
will execute it unless I cancel the limit order?

I hope this is what you're saying. I didn't know this could be
done with the E-mini S&P 500 futures.

(Don't know much as you can tell.)

Anything else here you want to say or comment upon
regarding your trading is fine. Else, maybe this is it for now.

Stephen Szpak
 
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