Can anybody share their experience on trading Dow Jones Futures and DJ e-minis? What's the liquidity like vs. SPH2. Also, does one need a separate CBOT vs. CME feed to trade them?
this threat has DJ trading tactic http://communities.msn.com/ShortTer..._Message=278&LastModified=4675361698792496473
The mini Dow has gotten off to a slow start. IMO the mini contract is just too mini. The larger pit traded contract has become much more liquid as of late though. Spreads are generally a nickel wide for size with 1 lots trading in between. Still no where near the notional volume of either version of S&P's.
I have done that in the past. We traded same same system in S&P as well as in DOW futures. DOW`s equity curve was smoother, losses were smaller (versus S&P). No problems with liquidity. At that time we needed separate data stream from CBOT and I believe You will still need that. However some S&P strategies do not work well in DOW, and vice versa.
http://www.cbot.com/cbot/www/prod_detail/0,1499,14+58+139+94,00.html Minimum price fluctuation is 1 point which is worth $2
Minimum tick on the pit traded contract ( 99% of volume) is $10.00. The multiplier is 10 times the index.
With TS6 (Tradestation) I now have Charts and Times&Sales, but cannot trade with IB (no quotes). Spread seems to be 2 to 5 points for YM (YMM02) and trades about 20 cpm (contracts per minute). Would be ok for me, there REALLY seem to be market makers for this contract !