Comparing NQ/qqq

Discussion in 'Trading' started by sharktooth, Oct 27, 2002.

  1. Could you give me some feedback?

    As you know 1 nq equals 8 lots of qqq.

    A basic calculation showed me that at IB (=a US broker) the cost for transaction, b/a spread and slippage of 8 lots of qqq ($29)
    is slightly favorable to that of a single nq ($34.80) contract:

    QQQ round trip cost for 8 lots qqq= max $32 and min $29.
    Transactioncost for 1 round trip of 8 lots is max. $ 16 and min. $13 (if not scaling in/out).

    The average B/A spread of 8 lots of qqq ($1 a lot) is $ 8.
    Average slippage 8 lots qqq ($ 1 a lot) is $ 8.

    NQ round trip cost 1 nq=$ 34.80:=
    Transaction costs for 1 round trip of 1 nq is $4.80.
    Average B/A spread nq (about 1 point) is $ 20.
    Average slippage is (0.5 point) is $ 10.

    I would like to discuss:

    a] are there (backtested?) tactics for scaling in/out and/or
    traling the 8 lots qqq that are superior, in risk/reward, to
    trading just a single nq contract?

    b] how is your experience of qqq execution (ibsmart, arca) speed
    and reliability during normal market hours compared to
    globex for nq?

    tax US/non US: because I live outside the US, the favorable
    US tax treatment of futures is irrelevant to me.


  2. Except for outside the market hours the spread is generally 1/2 point.
  3. Thanks, with a spread of 1/2 point the cost is now about
    the same for nq and 800 qqq.

    This makes the following question valid:

    Any ideas on how the risk/reward potential of scaling/trailing 800 qqq can methodicaly outweight the trading of a single nq contract?

  4. Aaron


    With the NQ's you get 60% long term, 40% short term capital gains and with the QQQ's you get 100% short term. With NQ's you get to keep roughly 5% more of your profits after taxes. This probably outweighs any transaction cost differences between these two very liquid markets.