Anyone daytrade the large S&P?

Discussion in 'Index Futures' started by seadog, Aug 5, 2009.

  1. seadog


    Curious about the slippage,1/4-1/2 pt?
    Lot of money on the large contract.
    What platform do you use? Other than Ran.
  2. I'm curious too... the tick size is $25, correct? Seems somewhat non-liquid as well.

    It seems the SPY would be a lot cheaper to trade.
  3. seadog


    I'm thinking of getting better fills trading 20 large contracts rather than 100 minis.And the possibilty of getting filled.
    Tried large contracts many years ago, big slippage.
    Floor brokers making good money on my trades.Called it slippage.
  4. you'll never know where the bid or ask is in the pit. can you trade without that kind of information? it practically guarantee's slippage - most of the floor guys just make a market that they can offset on the screen, so the worst price they can give you, they will. why pay a floor trader to make a spread off the screen, when you can just trade off your own screen?

    dont you know that the electronic volume dwarfs the pits nowadays anyway? the pits are long dead.
  5. seadog


    I certaintly understand the volume of the mini. Noting worse than getting a partial fill. Blows the trading plan out of the water. Plan is based on getting filled at or around a certian price. The floor will always fill you .
    Been at this a long time, former broker.
  6. ES trades about 20x the $$ volume of the big contract.

    Unless you can get filled on a limit order in the pit, "commish + slippage" (your real cost) almost certainly larger than the cost of buying the ask in the ES.
  7. seadog


    My system is based upon chart patterns and statistical data. Have not done the hit bid/ask routine since I traded penny stocks for clients.
  8. Wherever you trade, bid/ask is not statistical data, it's simple execution. If you can see 990 offered in the ES you know you can take it for whatever size you can see. In the pit, last trade might be 989.60 but you can never know what price the chump will shout offered when your order comes in but you can be sure he'll see the offer at 990 and be looking to offset you there for the most he can take. I've seen it done during nymex's failed attempt at opening an open outcry floor in Europe.
  9. Yeah yeah the usual commentary from people who haven't been there

    The pit is a specialized environment. Take the time to read about it before venturing in to do business.

    People who do business in the pit have sources that allow them to get "a look" before jumping in with an order. They generally work with a broker who tells them what the environment is. He does this based on the understanding that after a couple (maybe three) "looks" you are going to do business with him. He has to know you and expects to do business or he will stiff you. With whats at stake, its not too hard to figure out why.

    Also people who do regular business in the pit use different order types to minimize their exposure to the crowd. Read up on the order types (exchange) and you can see what I'm talking about.

    In summary, although it is interesting to learn about it, nobody here is going to do more than get burned using the bigs for their intraday trading.

    Good luck
  10. It should be noted...

    1 pt in ES = $50 with a .25 tick increment worth $12.50.
    1 pt in SP = $250 with a .10 tick increment worth $25
    #10     Aug 6, 2009