Emini where's the liquidity????

Discussion in 'Index Futures' started by acrary, Sep 8, 2003.

  1. acrary


    First day trading since July. I've done 3 market order entries so far and all the fills have splits (fills at more than 1 price). Is the liquidity gone? I'm not trading 5 or 10 contracts but this is ridiculous. Did the liquidity die in August????????
  2. No liquidity and no range. I switched to YM where the liquidity isn't terrific, but at least there's some range.
  3. acrary


    Geesh, trying a limit exit at 1031 and 1700 contracts in the sell queue with like 200 in the buy queue. This sucks.....
  4. acrary


    Finally...I'm gonna check with the pit to see if fills are better there. I don't want any more .5 slippage in this market. Queues look very unbalanced...
  5. Tea


    I was thinking that the internet or IB's quotes were getting a little sticky - that could also account for an "off fill".

    I have not had any problem using limit orders only. I would not think liquidity is a problem. Seems more like hiccups in quotes/internet. I noticed it when I tried to enter an order.

    Of course very unscientific and my humble opinion.
  6. i've been wondering for a while now what has happened to the daily ranges.

    sure, at some point a series of small ranges will eventually happen, but is it just chance or is something going on? i mean we had a 5.25 point range a few days ago and there's been many ranges under 10 points lately, as well.

    i'm wondering if this could indicate a big move is about to happen (up OR down)? i'm talking like a big move on a weekly chart or something. not that i would trade off that alone, but i wonder about it.
  7. acrary


    It looks to me like a big firm has implemented market making software on the ES. It looks like they're using limit orders at the bid on a rising tick with a backup buy stop on the next tick and reverse on a down tick. When I see a thin queue on the ask I send in a market order and I'm getting filled 2 ticks above the current ask. Very frustrating bs......
  8. acrary, I really cannot understand what you are talking about.
    liquidity is excellent so far, both on ES and NQ. No problem
    to trade 50 or 100 contracts. If you buy market and get fills
    above the ask, you should check your quotes provider for delays.
  9. ..and the fills in the pit are certainly not better. slippage
    of 0.6 or 0.8 is NORMAL there. The S&P pit is nearly dead,
    about 75% of all volume is done in the E-MINI.
  10. dbphoenix


    acrary, why not just use a stop limit to enter? And I assume you've thought about reducing your size and scaling in and out . . .
    #10     Sep 8, 2003