Wha'ts the maximum size you can day trade?

CME Exchange Limits for individuals is controlling 20,000 contracts at any one instant in time. I do not know the limits for registered companies.

Level II (10 price levels) on ES at 2:51 CST:

Size Ask Slip Bid Slip
1 130000 0 129975 0
2 130000 0 129975 0
4 130000 0 129975 0
6 130000 0 129975 0
12 130000 0 129975 0
18 130000 0 129975 0
36 130000 0 129975 0
54 130000 0 129975 0
108 130000 0 129975 0
162 130000 0 129975 0
324 130000 0 129975 0
486 130000 0 129966 -9
972 130000 0 129958 -17
Max 130086 -86 129885 -90
22.10 Q Max Ask 14598 Q Max Bid 4812

Obviously inside a one minute bar you can clear thousands of contracts. You can push single orders of 1000+ contracts but they will fill FIFO and you will have slippage unless you monitor Level II DOM.

ES Level II Ask Bid
129900 991
129875 1192
129850 1229
129825 983
129800 618
213 129775 236
129750 1711
129725 2717
129700 1247
129675 1215

Max Slip Spread Q Ask Q Bid
0 25 274 794
1 50 3133 3353
2 75 8653 5125
X 139 11286 5486

So at 2:56pm CST you can buy 274 contracts and sell 794 at market. A Maximum of one tick slip from market will fill order sizes of (b) 3133 and (s) 3353 contracts.

In a typical day for the ES there are 6000+ Ask/Bid price changes and over 100,000 + level II DOM updates. Depends on your feed and ability to receive exchange data you can bypass the order queue and fill using market orders and level II DOM.

NQ: Snapshot
Max Slip Spread Q Ask Q Bid
0 25 80 25
1 50 223 128
2 75 365 167
X 140 365 389

ER2
Max Slip Spread Q Ask Q Bid
0 20 26 92
1 30 151 230
2 40 267 294
X 56 277 319

6E
Max Slip Spread Q Ask Q Bid
0 1 1 3
1 2 8 24
2 3 34 34
X 7 63 115

ES by far has the greatest intraday liquidity (frequently 4 digits), others such as NQ, ER2, 6E have frequent 3 digit liquidity but you may need to iceberg your orders through depending on your style. Overnight all drop to single and double digits with larger spreads but there are pockets of opportunities. If you use market orders you will be filled FIFO. If you enter a limit order you will be in an order queue.
 
Quote from Cache Landing:

If you enter it as a limit order one of two things will happen:
1) It sits there getting partial fills for the next 30 seconds.
2) The price moves against you giving you an immediate fill, and you're sitting on a 0.50 loss due to slippage.
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How can you get not-favourable slippage on a limit order ?!
 
Quote from fluttrader:

How can you get slippage on a limit order ?!
More...

Just because you got filled at a guaranteed price, doesn't mean that there wasn't slippage.

If you enter a large limit order it will just sit there until the market moves against you, effectively making your limit order a market order. Sure, you'll have gotten the price you wanted, but once you're filled, the market price will likely have you sitting on an immediate 0.50 loss. For traders using leverage, this dramatically changes the expectancy of the system.
 
Quote from Cache Landing:

Just because you got filled at a guaranteed price, doesn't mean that there wasn't slippage.

If you enter a large limit order it will just sit there until the market moves against you, effectively making your limit order a market order. Sure, you'll have gotten the price you wanted, but once you're filled, the market price will likely have you sitting on an immediate 0.50 loss. For traders using leverage, this dramatically changes the expectancy of the system.
More...

That's not slippage.
 
Quote from Cache Landing:

Just because you got filled at a guaranteed price, doesn't mean that there wasn't slippage.

If you enter a large limit order it will just sit there until the market moves against you, effectively making your limit order a market order. Sure, you'll have gotten the price you wanted, but once you're filled, the market price will likely have you sitting on an immediate 0.50 loss. For traders using leverage, this dramatically changes the expectancy of the system.
More...

That is not slippage. Slippage is: Price erosion between a Quoted Price and an Execution.

You are not going to get a 1000 lot limit order filled in ES without the price going through your limit. It is totally unrealistic to assume that the market will be generous enough to fill your order and then go in your direction.
 
Quote from jeb9999:

That is not slippage. Slippage is: Price erosion between a Quoted Price and an Execution.

You are not going to get a 1000 lot limit order filled in ES without the price going through your limit. It is totally unrealistic to assume that the market will be generous enough to fill your order and then go in your direction.
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I understand your point but I have seen 1000-car ES lots go through on limit orders, slick as glass. Just depends on the volume.
 
Quote from Cache Landing:

Just because you got filled at a guaranteed price, doesn't mean that there wasn't slippage.

If you enter a large limit order it will just sit there until the market moves against you, effectively making your limit order a market order. Sure, you'll have gotten the price you wanted, but once you're filled, the market price will likely have you sitting on an immediate 0.50 loss. For traders using leverage, this dramatically changes the expectancy of the system.
More...

Amen. Slippage may be the wrong term but Im not aware of any alternate description of this situation. Limit orders are always touted as the safest/ most efficient entry method and of course u get your price or better, but u are also guaranteed that the market is moving against u at the time of fill. I find using the constant 1 tik chop on ES to buy bid /sell ask a decent entry exit method.

The logic of a limit order is flawed because it requires that u predict an exact turning point in a market. If the market is a tik away u dont get in and if it overshoots u are showing an immediate unrealised loss.
 
Slipage as we use the term is the difference between the expected price at the time of order and the fill price and fill time.

Time slipage (Order Lag) and price slipage

30 seconds in a fast moving market with 1K of contracts could win or cost you $250K.

A Limit order becomes a market order once the price moves through your price but you are filled at the limit price. A market order based on Level II can FIFO fill with an average cost of market + a fraction of a tick without the market ever going through your price. If the price moves through you get the lower pricing for a portion of your fill.

If the market only has available 100 contracts at current ask/bid and your scalping 1K of contracts you need to extrapolate executable market prices based on level II data for your trading increments. Similiarly what you pull out has to go back in... If Time is of the Essence use Level II and market orders.
 
poeds said:

I find using the constant 1 tik chop on ES to buy bid /sell ask a decent entry exit method.


Really? Are you real sure?

PS: You can trade as large in ES as your stomach can handle.
 
Worry about being consistent first then worry about leverage.

Leverage is like giving a Ferrari to a 16 year old, he might be able pick up a lot of chicks but chances are he will crash into a wall and blow up.

Incognito
 
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