CME indexes with big volume...

Discussion in 'Index Futures' started by cohvi, Jun 10, 2006.

  1. cohvi

    cohvi

    Hi,

    I'm currently trading the EJDSTX & BUND with a successful strategy that only work for indexes with high volume (2,000 & 5,000 lots per minute accordingly).
    I can't seem to find any American (CME) index with such volume.
    S&P ~500
    NSDQ ~200
    Russell2000 ~100
    (lots per minute)

    Is it possible?
    Maybe in the Forex...

    Thanx,
    Cohvi.
     
  2. Pabst

    Pabst

    The electronic version of the S&P (ES) trades around 800k to a million plus per day.(more than Stoxx). Likewise U.S. interest rate products (ZN in particular) trade as much as the Bund. I think you're probably scanning volume with the pit traded symbols rather than the appropriate Globex and ECBOT monikers.
     
  3. cohvi

    cohvi

    I'm working through Strategy Runner and I think they are using different symbols.
    Mini S&P (Tick = 0.25 = 12.5$) - Is that the ES?
     
  4. Pabst

    Pabst

    Ya.
     
  5. cohvi

    cohvi

    So if this is the one, it only trades about 500 lots per minute which is pretty low for me.
    I will check that Z' thing you mentioned.

    Thanx.
     
  6. Pabst

    Pabst

    Are you using U.S. trading hours (8:30-3:15 CDT) as your benchmark? ES averages a minimum 1000 contracts per minute on "slow" days and better than 2k per minute normally.
     
  7. cohvi

    cohvi

    I rechecked and the intraday & the daily graph shows an average of less then what you say.
    Attached is a 1-4.2006 daily graph of S&P.
    Very weird.
     
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  8. Pabst

    Pabst


    For some reason you're receiving inaccurate volume data. The lowest volume days are rarely below 500k per session, "normal" is 800k and lately over a million is increasingly common. Except for a few days a quarter (rollover) it's virtually all in the "front" month or lead option to boot. Those totals look more like NQ's volume rather than ES although it's clearly an ES price chart.
     
  9. Your data is wrong.
     
  10. cohvi

    cohvi

    I will ask Strategy Runner for a clarification on that.
    Thanx.
     
    #10     Jun 11, 2006