When ES is moving on extreme up and down spike you can miss the chance of getting a good fill if a program goes off right before or when when you drill the bid or ask with a limit. Not usually a problem for a small retail trader.
This has been asked alot on here. It seems everyone sorrta has the right idea. Ive pumped in over 1k at a time and it doesnt even budge the market. Then other times 500 es could move it a few ticks. It really depends on the market at the time. The best thing to do is just watch time and sales. There is no right or wrong answer. Ive worked limits and market orders both at that size...sometime the market will eat right thru like nothing and sometimes u struggle to get 50 off. It exciting to think that there is basically no limit to how much you can make or lose. Thats why u just need to get consistant with a one lot and the sky is the limit baby! good trading jim ps.. i work for a MM firm this is NOT my personal account... lol
Thanks for the replies everyone, I appreciate it. I guess there's no right or wrong answer here. The reason for the question is basically to see what the potential is on the ES in terms of number able to trade. It's partly due to the realization that for me at least, taking small bites over and over all day is much easier than trying to swallow the elephant in a couple bites.
the answer is pretty simple - look at market depth if slippage were impossible, there could be no price change to profit from !
As far as I am concerned, depth means nothing. Bots and programs play with that junk all day that it's of no use in determining how many contracts could actually be traded. I could see 2500 sellers sitting one tick above the current price and then WHAM, they seem to disappear... Seems like 1000-2000 is the right ballpark currently. When I get to that point, I'll report back and let you guys know how it goes.