Bid/Ask in TF and YM

Discussion in 'Index Futures' started by txtrader1, Feb 23, 2011.

  1. txtrader1

    txtrader1

    With my current size this is a nonissue, but hope to start increasing size with some new strategies. I have noticed though in the YM and especially in the TF that you can have for example 25 sitting in the bid or ask, but most trades that hit are 1-3 lots. After these hit many times the market moves pretty fast and you may not see that price again. I was wondering if there are 25 sitting in the ask and I hit it with a 25 lot order am I going to get filled on all 25, or with how HFT programs work, are the ask orders going to get pulled after the first 1-3 go through then the market advances to make you get in at a worse price.
     
  2. First of all do you know how much cash you need to trade 25 YM MUch less 25 TF!!! and the RISK!!! wow... If u fired off a 25 market order it would pprobably be fillled all over within say 1-10,20 ticks of where price was when you entered the order...because market moves so fast... Wow, 25 contracts
     
  3. txtrader1

    txtrader1

    It has more market depth than that. i trade 10-15 contracts without any real slippage and would never use a market order in either of these markets regardless. i look for .25-.35 moves so a few ticks in slippage does not make or break me. I have Xtrader set to ping when orders of over 50 are traded and it goes off between 5-10 times a day. I try to look when it does to see how much movement there is and sometimes you get very little and somtimes there is a good move. I was just trying to figure out if anybody on here trades those markets with any real size and if I could get some insight. i personally think you can usually trade 25-40 without more then a few ticks in slippage if you pick your spots,but my concern is on how often you will get partialed on winning trades and at what point it will turn a profitable system into something not worth trading. I would like to hear from some other people who also trade bigger lot size to see what their experience is.
     
  4. soonhwei

    soonhwei

    Hi,

    I've noticed the same behavior too for the past 1-2 years. Seems like most of the size sitting on bid/offer got pull-off after some 1-5 hits. My current size is below 10 contracts, but i wish to know where the barrier is when i want to increase size further.

    However you mentioned that you have no slippage problem with 10-15 size in your last post, the orders are filled using stop-mkt/stop-limit/limit order?
     
  5. txtrader1

    txtrader1

    I use a limit order and stop limit order. When the markets are moving fast I will get partialed and the market goes past my order by 3 ticks or so, but almost always comes back and gives me the rest. It is rare to not get 10 contracts on within 2 ticks. Now anything too much bigger than that Im not 100% sure because you never really know until you actually trade it. Also you have to take into account that I make at most 2 trades a day so my experience is probably going to be much different than someone putting on multiple trades everyday.
     
  6. To the OP, have you considered moving to ES and not having to worry about liquidity? TF and YM are the "diet coke" of ES as dr. evil would say:D Not criticizing your choice of instrument, just curious.
     
  7. txtrader1

    txtrader1

    For my strategy TF and YM are more profitable, with ES you dont always get quite the push or follow through you see in other markets. But yes, at some point if you want to trade with a lot of size you usually have to move to ES. That would be a great probelm to have.
     
  8. soonhwei

    soonhwei

    Yape, you have the point. But similar to txtrader1, i can grab more points per contract/month with TF/FDAX than ES which has much smaller range.
    Yes, we can trade larger size to compensate that (which ES is capable of doing, i did a quick calculation, if i wish to have higher $$ return later, i'll have no choice but switch to ES), but it also means higher comm, high volume could bring down the comm, with cme membership, i guess it'll be around $1-2 range (>5k size/mo)? Anyway, i guess i'll divert my focus to ES/CL later after i have upsized TF to 15-20 which i believe is the limit.

    Wish to know if anyone here tried putting in a stop market order with >10 size?

    Btw, txtrader1 has mentioned about filling 10 size within 2T, is that market order?
     
  9. txtrader1

    txtrader1

    Limit and Stop Limit orders only. Market orders with TF are too much of a crap shot. Ym usually not so much, but still dont use them.
     
  10. I would suggest looking at KOPSI 200 futures, very liquid and have has great moves almost every day.
     
    #10     Mar 7, 2011