Dropping a Market Order on the ES - what's the max?

Discussion in 'Index Futures' started by brownsfan019, Jun 7, 2007.

  1. I'm curious to hear what those that have traded the ES think could be the max amount of contracts dropped at the market (buy or sell) w/o seeing much (if any) slippage.

    If you're just guessing, that's fine, but please mention that in your post.

    The reason for the question is that as I ramp up the trading, curious to know how many contracts can be dropped at the market w/o seeing major slippage.

    Thanks!
     
  2. Eurostocx 50 on Eurex you can easily do 500 a time without moving it I have seen 1500+ lot trades go through at one price that is liquid baby.
     
  3. Pekelo

    Pekelo

    But how do you know if it was a market or limit order?

    If I were to trade 500 contracts, I would probably used limit orders...
     
  4. You see the bid get hit and bang it i gone
     
  5. Around 1000 depending on the time of day.
     
  6. Pekelo

    Pekelo

    OK, maybe I am mistaken here, but that doesn't necesserily mean that it was a market order.

    Let's say there are 895 limit orders sitting at 1505 to sell. If I put in a buy LIMIT order of 500 contracts with the same limit of 1505, it will be bang, gone in a second.

    Again, somebody correct me, but just by the speed and watching level II quotes you can not tell what type of order got executed...
     
  7. I have a theory that bigger players do not use limit orders in ES. They work their orders in by dropping markets orders into strength and weakness to get positioned. They do not sit on the bid and ask showing their hand to everyone to avoid frontrunning. Do you think it is just coincidence that most tops and bottoms intraday in ES happen on up or down spikes in price with heavy volume ? These bigger players throw markets into the extreme moves to stop the move and the volume is there to get them filled. This is just a theory so take it with a grain of salt.
     
  8. Limit orders are usefull in thin markets. But but in a highly liquid market like the ES, limit orders are DUMB! (Unless you're trying to scalp for a tic or two... but then, THAT'S dumb, too.)
     
  9. Pekelo

    Pekelo

    Again, I am not saying those are not market orders. I am saying one can not tell...

    Also why wouldn't they use limit orders, when they can be sure it gets filled immediatelly, if aimed at the Ask. But it is insurance against a bad fill 2-3 ticks away.
     
    #10     Jun 8, 2007