Well I am "MACRO" (oh-ah) these days. I have been trading the Stock Indexes and Currencies and Debt and Crude. I try to focus intraday energy on whatever I see moving and the rest hold as positions based on my models. I tend to scalp/swing intraday. I also am used to doing alot of trading when I daytrade. I try not to go to crazy these days. Just catch a couple of swings intraday in whatever is moving good. But with all that nonsense I just spewed. Of late, I have liked trading the EURO intraday and the YM/ES. I am just holding ER2 trades. I stopped scalping it so much. It seemed I could not get my size on. I kept trading larger for smaller amounts. I don't like that and I have been through this before with the spoo. The ES is my old haunt. Ironically, I have had it up of late as well. I am very used to the spoo ---when it is trading with decent volatility. They finally have started taking the lid off of the order protocol. About time. That is the why the size is coming in. The locals cannot control what happens in the CME now it is public. The pit is getting even more killed. Most traders do not realise that the Spoo is two markets. Pit and screen and the order protocols used to screw size screen traders (made it difficult to scalp size).
yea - interesting insights - some folk think size kills volatility, others think it makes vol - all depends on how much size is real i guess (liquidity). with the order protocols i would have thought there could be more spoofing (no pun intended) going on - we will see. ive always stayed away from es cos of the vol issues. now its picking up a bit over the last few weeks and er has just gone nuts - nice daily ranges, but intraday spikes make it a nightmare for me. i would have thought that er would have been a scalpers dream now - especially as the volume being done is going through the roof (but still not 'there' yet). for me though, those spikes just mean i have to bend over and assume more risk. no thanks - always amazes me how people marry a market and refuse to move. im outta er for now. definitely getting into ec a lot more though - bp a little as well. if correlations between spoo, naz, ym, er are your thing, then the euro currency correlations could be interesting - ec, sf, bp. they dont quite run as tight as e-minis - but thats opportunity of course. theres usually good size being put up in all these currencies - possibly by the market makers - not much actually getting done in bp or sf though. swings & roundabouts
Could you elaborate "order protocols used to screw size screen traders"? You mean the order limits for ES ? Also, what do you think about the 0.25 vs 0.1 tick increment of ES vs SP ? Doesn't it affect your ability to scalp?
Yeah, about 2001 I shifted out to more swinging/ position type stuff and went back to trading fixed income intraday for awhile. I noticed the ER2 about 2 years (or maybe it was a year and a half) ago it was a candystore. I started daytrading stock indexes again. It has been good. But it seems everyone now wants to trade it. Especially, the newbies and the breakout players. Those spikes are from folks coming in on stops --all the Breakout kids. Funny, when I stopped trading spoos intraday. I was at the CME. Every new trader in the world wanted to trade the ES. Now everyone seems to want to trade the ER2 usually (or so it seems). Now I am looking at the ES again (the ym is nice as well ---but there is not as much size). The only kind of market that increases volatility and volume are bull markets. You can get alot of volatility at the start of bear markets. But as they go on they grind volatility. The stock market has had declining vol for the simple reason of the end of the bull market and this is the natural cycle of things. But with all that said, the stock market can still throw off decent ranges. Just look at the ER2 even during the end of the bear market when the Naz and Spoo were grinding the ER2 was tradeable. The spoo was made even worse with the order protocols. The order protocol was first 20 lots, then 50 lots, then 250 (2002?) then 400 and then maybe 6(?) months back you got that bumped up to 1500 contracts. This process created two markets. One in the pit and one on the screen. It screwed alot of things up. In the bear market it exasperated the declining volatility in my opinion. As the spoo goes all you can eat. It will get better to trade. A large player cannot play games without there being consequences. If I can only hit 400 at a time. I can play games in the deck knowing that no one hit me fast enough with enough size and or noone can get a big enough piece of me without me being able to pull my size (sound familiar?). On top of that, no one person can wipe the deck. An event can wipe the deck ---but no one player can get big enough. At 1500, the game starts changing quickly (current protocol). At 3000 contracts the game would be over. You could get your assed handed to you if you were playing games. As traders we want all the paper (orders) for a market going to one source. Breaking up the damn things between the pit has not been good at all IMO. It is much better for all of us in a particular market, whether you are a one lotter or a 3000 lotter feeding from the same pot. Also, as a side note, the CME should charge for the canceled orders like Eurex so the machines get killed. You can have your machine play games on Eurex. But you damn well better be doing volume or the bill will kill you. I support that. It is better for traders. I am trading some currencies on the CME. I like the Cash ECN's. IB and Hotspot move right together and I can more size quicker and at more stable prices than I can at the CME. It becomes cheaper for me. At least right now thats the score. The CME is growing but so are the ECN's. The Euro and the Pound are staple trading vehicles for me right now.