Change the tick increment in ES from 0.25 to 0.1

Discussion in 'Index Futures' started by guy2, Aug 30, 2005.

Would you like to see the tick increment in the ES changed from 0.25 to 0.1?

  1. Yes

    115 vote(s)
  2. No

    61 vote(s)
  3. I don't care but wanted to click a voting button

    42 vote(s)
  1. guy2


    Do you think that the tick increment in the ES should be changed from 0.25 to 0.1? Would you like the tick increment to be changed?
  2. I've been saying it for YEARS, that traders should press CME to use same ticksize for ES and SP (apparently they resist, so that floor traders can arb risk-free between ES/SP)

    This is THE SINGLE MOST IMPORTANT issue with ES for several years (since daily range collapsed, i.e. late 2003)

    PS: You should give a link to your analysis of edge, so that people realise how much more difficult it gets to play the game when ticksize / daily range is so high. I often wonder if people who don't care about this really trade (profitably)...
  3. also ER2 to .05
  4. Truff


    The point of that would be what?
  5. About 2 years ago, I did a comparative study between the ND and NQ with the NQ also having a larger ticksize than the ND. My trading algorithms always turned in a steeper and smoother equity curve on the ND than on the NQ. I believe that this gives the pit guys a permanent risk free ride on the back of the mini traders by arbitraging.

    In spite of the little fellow's belief to have a fairer chance in eminis, this is may only partially true. Nobody ever explained why pit and mini should differ in ticksize. It must have some kind of a reason.

    Although I also trade the ES now, I have not done any evaluation of ES mini verus pit.
  6. milstar


    Commissiion fees per rt today can be 3.0 $
    if tick would 5$ , that can be usefull for some of tactic
  7. It won't make any difference to any non-scalping strategy...

    I voted for the 3rd button...
  8. milstar


    Risk/reward calculation applied to any strategy ,
    you can calculate Kelly/Shannon for 100-1000
    operations with different tick ,winning ratio
    and commissions
  9. guy2


    Why not?

    Think of the ES as a market with a spread that is forced to 2.5 times the size of the SP market. So it is forced to simulate a less liquid market.
  10. guy2


    It was actually the article called "Is Day Trading Gambling?" that had that analysis but you got me re-reading some of my articles to find it :)

    I've slotted in a page here: Changing ES tick size which gives a worked example of the difference between ES and SP and I hope to expand on that as I uncover more information - and correct any errors if anybody points them out.
    #10     Aug 30, 2005