Aaron, except for a few TA setups (none of which work, but I'm a chronic) trading off relationships is really my most viable M.O. I trade NQ and ES almost equally, and key on various componants. Differs depending on circumstance. Leadership between futures and the underlying changes constantly. Depends on whether moves are broad based or because as often, from one or two stocks(earnings, downgrade, ect.) What does not work is thinking that because ES is rallying NQ must catch a bid. Apples and oranges. Analogy would be that Corn and Soybeans are both grains and move in the same direction most of the time, but there are many days they don't. Surely I don't need point out how many times you see ES up 7 and NQ down 12.
Its a great question how the markets are correlated and what leads. I know that SP traders in Chicago watch big caps carefully, MSFT, GE, CSCO, JNJ, etc. I am curious how much the use of futures as hedging instruments by large funds plays a role in their movement.
Might have to do with a temporary size buyer/seller in a particular venue. When they finish, that's the end of the 'lead'
No question. Of course, the orders are real, and if you wanted to do a 400 lot you could. Might be some size limit for one entity, but the liquidity is there. But they are fast. And what kind of arb is it that works reliably at the 2 cent level after fees and slippage?