So let's say the daily turnover of the s&p500 e mini future is 100 billion usd. Just out of curiosity, what do you think is the maximum position you could sell off within say 1 minute without the price dropping more than say 0,1-0,2%? / Tom
i have traded 1500 a pop myself doing about 25k round turns a day total. this was years ago and there were much bigger guys like renaissance pushing me around with god knows how big a positions. it's liquid when you have size..
/ES is very liquid. The bid/ask is like sand. You can dig a hole, but it'll just fall back in. I've known a CTA in Houston, Texas that scalped 500+ lot positions for <2 points in and out throughout the day, with market orders.
Isn't it more like $2 Trillion? $100,000/contract x 2,000,000 contracts... did I do the math right? You can look at the DOM and see what you slippage is likely to be on a big order.
There is more liquidity than most banks even could realistically dent for 90% of the day. Even if you clipped 4000 lots at market there are so many spreaders and arb systems that would just take the other side and hedge it out instantly. (i wish more people did do this is would be free money ;-) ). If there is a shock news event and everyone is going one way it is less clear. 4000 lots at market would give you probably 3-4 ticks slippage.