Hi cunparis, 6E trades around 300,000 contracts per day so I would guess that 5 percent of that (2.5 percent each side) is a safe limit before you start running into liquidity and fill issues.
I enter on a stop market around swing highs & lows, would that change anything? I'd think it'd add to slippage cause price often breaks out quickly. I'm currently trading 6E on simulator so I really have no idea if I'll get slippage. If it's only 1 tick that's ok. I read about forex traders complaining of 5 pip spreads. I think 6E is a better choice for me.
Right. So 7500 contracts a click before he runs into issues. Thats $937.5 mil notational. Good luck with that :=)
Have a look at the orderbook yourself: http://equivalentswdc.cme.com:443/index.html Free registration might be required. There is sometimes less than 10 at the best bid/offer. Something insane like 700 contracts sweeps the book.
Don't know what order book is but I'm looking at the DOM. Right now there is around 30 at bid & ask. A few minutes 13 at ask. So I'm betting 10 contracts during a low volume time like lunch would give 1 tick slippage. 1 tick above ask is 67 even right now during the lunch break. So it seems < 50 contracts would not have more than 1 tick slippage. I'm not so sure what the DOM looks like during the london session. I'll check that out tomorrow. Thanks guys!
Margin requirements is probably the only downside. Only real plus side to trading 6e over e/u spot is if not having to pay rollover interest.
For forex I'm worried about the spread. I see some quote a spread of 0.8 for Euro. But in reality I hear people complaining about spreads of 2-3 pips. that's way too much. With futures the spread is 1 pip. I don't use all my leverage so that'll never be a problem. Not sure for rollover interest, I daytrade so I think this isn't an issue.