What happened to ES liquidity

Ditch · Feb 25, 2004

Quote from Trend Fader:

Liquidity= Avg. Point range * Volume

Thats the way I look at it.

--MIKE

Try trading it, it might change your view.

Trend Fader · Feb 25, 2004

Quote from Ditch:

Try trading it, it might change your view.

What exactly do u mean?

--MIKE

saschabr · Feb 25, 2004

Quote from FX-Trader:

Maybe traders moved on to YM ...

Yes, I always mentioned this.
Many traders moved away from the ES
into the ER2, the YM and even the EMD.

The reason is the difficulty of getting filled when posting inside the ES.

However, that does not mean ES's minimum price variation has to be reduced !

Ditch · Feb 25, 2004

Quote from Trend Fader:

What exactly do u mean?

--MIKE

I mean that if you would trade it, you would notice how lousy the fills have gotten off late. 9 out of 10 times price has to tick through your order to get filled, meaning that you have to give up a tick on the entry AND the exit to be sure off a fill, which isn't making things easier.

stock777 · Feb 25, 2004

Yeah, well, if you ask me you guys are being gamed by smarter players with more money and staying power than you.

Better get with the program or get out of the way.

ArchAngel · Feb 26, 2004

Quote from Ditch:
I mean that if you would trade it, you would notice how lousy the fills have gotten off late. 9 out of 10 times price has to tick through your order to get filled, meaning that you have to give up a tick on the entry AND the exit to be sure off a fill, which isn't making things easier.

Are you trying to buy at the bid and sell at the ask?

If you can't get a near instant fill of a buy order at the current asking price (or fill a sell order at the current bid), the problem's probably your broker - not "liquidity".

dbphoenix · Feb 26, 2004

Or it may simply be a matter of putting a scalping strategy aside for the time being and investigating strategies that take a larger gulp and which aren't so dependent on specific fills. Using the same strategy year-round may not be realistic.

40Deuce · Feb 27, 2004

990 has taken it away!

stock777 · Feb 28, 2004

No one commented on my post, not surprising since 99.9% of the crowd doesn't even comprehend the meaning. No problem.

Funny thing though, I just got a look at a the Financial Times for the 26th, the day of my post. They speak of something very similar to what I was implying. Yeah, my BS detector is working good, as usual.

TGregg · Feb 28, 2004

Quote from ArchAngel:

Are you trying to buy at the bid and sell at the ask?

If you can't get a near instant fill of a buy order at the current asking price (or fill a sell order at the current bid), the problem's probably your broker - not "liquidity".

No, that is not what he is saying. Imagine you want to sell at 4.25, and you submit an order. If the price ticks up to 4.25 but no higher, you don't get a fill. The only time you get a fill is if the price ticks up to 4.5.