Automated trading with futures

Discussion in 'Automated Trading' started by greedysob, Nov 12, 2005.

  1. As most have probably see from my previous post, my partner I are trying to change from trading with our forex only brokerage to one that will support other markets, particularly futures.
    I decided to post this thread separately considering it's specific focus on the futures market.
    Most futures brokerages will allow you to trade in a wide enough variety of contracts that you can adequately diversify your account trading only in futures.
    I would like ask a few questions of traders that are currently using automated systems in the futures market.
    My systems currently daytrade forex, taking advantage of it's 24 hour liquidity. I know that many of the electronically traded futures are now available to trade around the clock, but I'm interested in how tradeable they are after hours. Are they liquid enough that I can expect my fills in the after hours market to be consistent with my backtest results, or would I be better off writing systems that find a way to either close out by the end of the day or take a longer term approach that holds trades and ignores the after hours markets?
    I'd also appreciate any recommendations of contracts others have found to be good trading vehicles. I'd like to compile a list of a few contracts to devise systems for.
  2. I can only speak for what IB offers plus I'm not an expert but ES and NQ appear to be liquid enough overnight to trade, although still nowhere near as liquid as during the day. ER2 is borderline, while EMD (e-mini S&P 400 midcap) is not really liquid enough.

    If you're already trading forex you probably wouldn't care but the CME currency futures seem pretty liquid overnight.....

  3. Thanks sideshow. I'll look into those contracts. With our forex brokerages, the spread is fixed. Have you seen how the bid/ask spread is for those futures after hours?