big transactions in e-minis

Discussion in 'Index Futures' started by chiefraven, Sep 3, 2008.

  1. Hi guys,

    A friend of mine helped me code an indicator that will track the time and sales screen and alert me with a beep whenever a single transaction exceed the number you have set...

    for example, a transaction of 50 contracts or 100+ is pretty important in ER2.... was wondering if anyone knows the usual size for other eminis... especially YM?

    now, i find it where that ER2 has tons of 10+ 20+ orders flying around.... that doesn't suprise me really since it's so volatile and many firms trade it... but i would think with YM's size it would have tons of big orders as well.... like es with its big liquidity, but that's not the case.... in YM.... it takes a long time to even see a 10+ order (single order) on the time and sales... why is this?
     
  2. Check you speakers! :cool: :D
     
  3. it's not the speakers... i mean i am watching the Time and Sales for YM.... it takes like 15-20 mintues to show like maybe 4-5 single transactions that are above 10 contracts... wtf?!?!

    i looked at es, literally in 1 second, it showed like 10 30+ order and one of them is 96... which is understandable becuase of es' liquidity... but i was expecting more big orders for YM.....
     
  4. Sounds like the algorithm needs to be made adaptable. i.e. don't set fixed limits

    This could easily be done using MAs or something. If a single tick hits that's greater than, say, 2X the average, *then* trigger. Let the user set the multiplier and MA period, rather than an absolute level.
     
  5. Not really considering the avg. daily volume on YM is always considerably less than ES, same for ER2. Plus factor in back from summer which has to be factored in. Also the YM is a retail trader market, the ES is used to hedge by funds, program trade by many, and oh yes retail too.
     
  6. oh no... i'm not talking about the indicator at all... i'm talking about time and sale.... just find it weird that YM doesn't have that many 10+ contract order (single transaction)

    even er2 has more these days... if you bring up a time and sales of YM and of ER2 side by side... and set a filter to only show order size >= 10

    you'll then see what i'm saying.... i'm surprised to see more big size orders in er2 than YM.... es certainly has more bigger size orders... and very regularly becuase of its big size... but in theory, YM should have A LOT more big size orders than er2 ... i mean er2's liquidity is so small...

    yet i dont see many orders above 10 contracts in YM... mostly just 1-9 contracts per trade.....

    *on a side note.... who trades er2 the most, other than small traders like us.... BIG FIRMS? do they use er2 as a hedge? if anyone know the answer to this question, i'd be grateful..

    but anyway, check out what i'm saying.... i am just bewildered by the lack of big orders in YM.... it's so strange.
     
  7. <i>"*on a side note.... who trades er2 the most, other than small traders like us.... BIG FIRMS? do they use er2 as a hedge? if anyone know the answer to this question, i'd be grateful.."</i>

    Yes... big firms work the ER2 and IWM together. The YM is pretty much a retail trader's symbol. Consider it proverbial training wheels for graduation to bigger markets.

    One thing to keep in mind is split block orders. Most of the time, a 100-lot ER block will flow thru T&S like this:

    54
    33
    10
    3

    Similar pattern for 200-lot blocks, etc. They fill across several ticks' range much of the time. Same block trade, same weight on the tape, but fragmented from single-block view of an algorithm.
     
  8. Baywolf

    Baywolf

    If the ES is going through heavy volume, you can count on it that the ER2 will also be doing something similar (relative), likely more exaggerated, especially if is out of sync with something more thick, like ES.
     
  9. ah i see.

    i used to trade ER2 and love it... howevern, i'm starting to train myself trading YM right now since er2 is moving to ICE and will most likely not be what it used to be... and the reason why i'm looking into unusual size order is becuase i noticed it works really well in er2.... not to base trades off of... but a good alert if you're already in a trade, as it sometimes signals a reverse.

    so if big firms trade er2 and use it to edge.... what do you think they would do when er2 moves? which is coming up in a few days.

    er2 is great for tracking big size orders because like you said, big firms trade it, but at the same time the liquidity is not that big for er2.... in es... there's really no point tracking big orders since there's so many big orders, and so many firms use it to hedge... it's like trying to tape read a BIG stock..... er2 is perfect because it's small, and firms also trade it, so when you notice something, it actually helps.... YM... thanks for telling me that it's all retail traders.... it certain makes a lot of sense.... therefore, not helpful in tracking big size orders either..

    i wonder what i could use for this.... now that er2 is going to be gone soon :(
     
  10. Careful with that thing... you don't know if those big lots are opening or closing a trade. You might mistake a 100-lot ER2 trade as going long, when they were actually covering a short!
     
    #10     Sep 3, 2008