they are all liquid...depends on how many contracts you are talking about that would make a difference...yea, I would flatten at that time
Your question about flattening or not, your trading plan will answer that for you. You must do a lot of research to define your setups and when you will enter & exit. To flatten or not would mainly be an issue if you are entering and holding until the end of the day or the next day. In that case you must do some backtesting to determine which is more profitable. An overnight gap isn't necessarily bad if you can find a way to profit from them. I suggest starting with 6E because it behaves better, less erratic than the others. Yes the leverage is higher but before trading with real money you should have traded several months profitably on simulator and should have complete confidence in the method. So once you have that the leverage is not an issue unless you have a discipline problem.
It's an issue for me simply in terms of too much risk for my account size. On the Pound, I can risk 1.5% of my account per trade with a 12 pip stop, while on the Euro the same trade risks 3% of my account. If I were to get 2 stop outs on the Euro in a day, which could easily happen, even on a profitable strategy, that is 6% draw down on my account in just 2 trades, a few bad days like this and my account would be cut down by a sickening amount, that is too much risk for me. But if the Euro is that much more technical/better behaving, perhaps I can switch to it once I grow my account big enough for it. What kind of % of account do you risk per trade?
I like your thought process, you're really thinking this through and that's great. You cite a very good reason for trading 6B. I know a trader who traded 6B for the same reason. Nothing wrong with it, I think 6B is a very good choice for behaving normally and having good liquidity. At your size you won't have any problems. I am currently trading 1 contract until I prove to myself that I can be consistently profitable. I go to sim after I hit my daily goal, and I'm tracking my progress on sim to see if I can increase my daily goal. Over the last two weeks my sim results (after hitting my daily goal) were positive, just one day I lost money on sim. This means I can increase my goal, which is what I'm doing. Eventually I think I'll do all real money trading and not need to go to sim. Once I get there, which should be in a month, then I will add a 2nd contract and if that's consistent for 2 weeks then I'll add another. I wouldn't go over 1% risk until I had 6 months consistent profitability with very few losing days. In January I'll be doing this full time and consistency is more important to me than profit. I need this to produce a steady income. I hope that helps. Just for full disclosure - I trade CL for daytrading and I also trade ES for swing trading. When I go full time I'll be daytrading the european session with the Euro.
check cmegroup.com fx section or the daily bulletin at http://www.cmegroup.com/tools-information/build-a-report.html?report=dailybulletin