E-mini liquidity for scalpers

Discussion in 'Index Futures' started by Cutten, May 11, 2004.

  1. For anyone who trades big in this product, at what kind of size do you find that slippage increase beyond what you would experience with smaller clip sizes? I'm interested in the feasible size limit for scalping for small profits.
     
  2. i think it depends on how you are going to be entering or exiting your positions?

    i.e. limit orders , stop orders or mkt orders?

    i can tell ya that on some of my nibbble trades = one lots in the emini sp 500, i can sit there for up to 45min waiting to get a fill on a limit order as the mkt continues to trade 'at' my price.

    it just depends on what time of day it is and what type of orders you are using?

    p.s. i have been filled on 12 lots faster at times than on onesees.
     
  3. also due to lack of liquidity at the 50 lot and 100 lot levels you could be sitting there with partial fills quite often.:(

    its just the changing of the times in GLOBEX my friend.

    this aint the 1990's anymore.


    scaleability is a real issue in this day and time.
     
  4. cosmic

    cosmic

    interesting question, seems to me that the German Bund Futures may be a better vehicle for that -

    but for what kind of average trade do you search the "limit"?

    maybe you try your techniques in forex daytrading, fills may be better on that big size & stops are by the way guaranteed by some brokers up to a limit.

    all my best,
    cosmic
     
  5. Looking at limit orders contra-trend, mainly. If you're prepared to pay up a tick to get in and out, I imagine you could do major size, but sitting on the bid into a falling market, I'm trying to judge the partial fill effects if moving from say 10 lots up to max of 50.
     
  6. Never had much problem at 10ct to 20ct

    Almost never get partial fills.

    I expect that at some size point you have to either pay up the spread or risk incomplete / failed execution.

    Don't know where that point is though ....
     
  7. mgarc

    mgarc

    the probability of partial fills for limit orders i think is very small as that would mean you caught the last few contracts before a move reverses. having those consistently would indeed be very surprising. what's very more likely is that you get filled completely or not at all.

    i don't see why that should pose a problem though. say you get partials on an order for 50 contracts, say 10. that would just be the same if you had put an order just for 10. more so, you have a better idea that you caught the reversal point, so just bank the scalping profits for whatever you got filled in, whether it be 10 or 50.

    the slippage issue comes in i think when you use market orders or stop limit orders. whereas my style is more of swing trading, i think you start encountering slippage once in a while when you have orders for 200+ contracts. and even at that size, that is more of an exception than the rule.

    just my experience.
     
  8. there is no slippage on a stop-limit order if both the stop price and the limit price are the same. its either your in the mkt at your price or better or not at all.

    that is why i use stop limit orders on the nq and es.
    cant do that yet with the ym you gotta use regular stops.
     
  9. bearblue

    bearblue

    How many boats can you swing in and out of the market before you start getting partial fills? I know this depends on a lot of factors, but generally speaking. Can you buy and sell 10 lots without getting partials?
     
  10. Steve789

    Steve789

    Are you directing your comments about the ES specifically?
     
    #10     May 11, 2004