Wednesday's EIA Numbers Bid/Ask Spread

M

MoneyMatthew

I always avoided trading the Wednesday 10:30AM EST EIA Numbers at least until 10 Minutes after the numbers were released. I would get up and get coffee and just leave the room.

Maybe I am missing out on the guaranteed volatility that it provides. My question is, for the front month in CL how wide does the bid/ask get in the first minute when the numbers are released. How bad would I get slipped on a market order on average during the first few minutes? I should forget about limit orders right? I will just get jumped anyways. Nothing is free and I know that I need to pay to play but how bad is the slippage on average in the first minute or so? When do things normalize? 2 minutes after? 3? Thanks.
 
MoneyMatthew said:
I always avoided trading the Wednesday 10:30AM EST EIA Numbers at least until 10 Minutes after the numbers were released. I would get up and get coffee and just leave the room.

Maybe I am missing out on the guaranteed volatility that it provides. My question is, for the front month in CL how wide does the bid/ask get in the first minute when the numbers are released. How bad would I get slipped on a market order on average during the first few minutes? I should forget about limit orders right? I will just get jumped anyways. Nothing is free and I know that I need to pay to play but how bad is the slippage on average in the first minute or so? When do things normalize? 2 minutes after? 3? Thanks.
More...
I been trading crude oil for years....and I try to do what you just mentioned when it comes to day trading. Get out 5 minutes before and resume 10 minutes after. Market just moves too fast. Slippage on stops can be 10-15 ticks at times and I have seen the market move 70 ticks or so within 10-15 seconds. Market orders will sometimes fill you better than you think and sometimes worst as the market moves quite fast and what you may see on your chart or DOM during the report but will probably average out between the "better fills and the bad fills". That being said, if you have an idea of which way you want to attack the market and willing to take the risk, you can place limits that are on the extreme bands as long as you can attach OCO to the order ( stop and limit). If the limits are traded through and your order was working with the exchange, you will get filled. The question is are the stops wide enough and if you are right on the direction. I wrote this article about daytrading crude a couple of years ago with charts samples.
 
Cannon_Trading said:
I been trading crude oil for years....and I try to do what you just mentioned when it comes to day trading. Get out 5 minutes before and resume 10 minutes after. Market just moves too fast. Slippage on stops can be 10-15 ticks at times and I have seen the market move 70 ticks or so within 10-15 seconds. Market orders will sometimes fill you better than you think and sometimes worst as the market moves quite fast and what you may see on your chart or DOM during the report but will probably average out between the "better fills and the bad fills". That being said, if you have an idea of which way you want to attack the market and willing to take the risk, you can place limits that are on the extreme bands as long as you can attach OCO to the order ( stop and limit). If the limits are traded through and your order was working with the exchange, you will get filled. The question is are the stops wide enough and if you are right on the direction. I wrote this article about daytrading crude a couple of years ago with charts samples.
More...

Thanks for taking the time to write me that detailed message, I really appreciate it. I was thinking about placing orders on either side (Long AND Short) a certain % of the ATR away. I am not looking to predict anything before hand. I am looking to capture whatever direction it breaks out in. You are guaranteed 1 thing on Wednesday at that is range.

My question is how hard is it to participate/get a fill in that first minute or so. Looking over historical data it appears that the first minute is the "chaos minute". I am willing to hold a wide stop, I just want to get filled and capture that 10 minutes of range.
 
MoneyMatthew said:
Thanks for taking the time to write me that detailed message, I really appreciate it. I was thinking about placing orders on either side (Long AND Short) a certain % of the ATR away. I am not looking to predict anything before hand. I am looking to capture whatever direction it breaks out in. You are guaranteed 1 thing on Wednesday at that is range.

My question is how hard is it to participate/get a fill in that first minute or so. Looking over historical data it appears that the first minute is the "chaos minute". I am willing to hold a wide stop, I just want to get filled and capture that 10 minutes of range.
More...
you welcome! If you send your order ahead of the number, it will work on the exchange. If the chaos caused price to spike over your sell limit for example , even by one tick, you will get filled.
There were times that i heard my "filled" alert by CQG before even seeing the price get there....times that I heard filled and then filled again within seconds, either with my stop loss or my profit limit...
 
Thanks @MoneyMatthew !
Just be very careful, its almost impossible to simulate this type of action using a demo, so if you have the risk capital and appetite, start with 1 contract only. Keep track of every Wednesday...( next week its on Thursday cause of Labor day). Feel free to PM me or call me if needed and looking forward to hear how it goes.
 
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