ER2 liquidity

Discussion in 'Index Futures' started by tr51, Nov 11, 2006.

  1. tr51


    I day trade the ER2. I've been trading max ten lots and am hesitant to increase size as slippage with multiple fills may become the norm.

    Anybody on here trade larger than 10 or 15 lots and find this a problem on the ER2 or is the consensus that liquidity should not be a problem.
  2. Whats the big deal? Partial fills are something you need to learn to live with eventually. (hopefully):)
  3. opm8


    Prints of 100+ lots go off all the time. Biggest I've seen is 250. If you put in a mkt order at the wrong time, however, be prepared to eat up to 10 ticks.

  4. tr51


    I've been scalping 10 lots for 11 ticks for most of this year. Stop and mkt orders are part of my method. So far slippage and multiple fills a just an annoyance.

    My account size has grown to allow for greater size. EMinis can well handle it but its the ER2 that has the better returns for me unless slipage starts growing.

    Guess the answer is stick to 10 lots until the liquidity grows
  5. I've traded 20-lots in ER quite a bit this year. If volume is normal to heavy, they fill. During low volume and volatility periods, you will have trouble getting filled on five.

    Take a look at the bid/ask any given time... usually less than 30 contracts, sometimes less than 10 available at price. Slippage cannot be avoided there.

    I know a trader who sometimes scales into 80 - 100 ER contracts and exits all at once. Slippage can range from -1.0pt to -1.5pt away from intended exit.

    Block trades in the ER are nil. Liquidity in ER is an issue, and slippage is merely part of the game when size is increased.
  6. tr51


    tks austp, I will hv to stay at 10 lots as my stats blow-up if I increase my profit objective beyond 11 ticks. I only take max three trade per day.
  7. tr51


    wouldn't you know I was hit with a 4 tick slippage on my 10 lot. I still made my obj. of 11 ticks from entry without being stopped out but took home only 7 ticks.

    Hate to think what slippage I may hv on 20 I'll just stick to 10 lots
  8. esmjb


    dont u enter limit orders?
  9. tr51


    I get in on stops and out on limits unless........ I'm stopped out
  10. gov


    Hmmmm.... I tend not to use market orders unless it is issued into a wave of exuberance, Here's a look at a pretty typical order, in this case 55 buy to close the shorts. Note the time it took to complete the limit. A market buy would not be advised, though we all get those jammed once in awhile. X-T audit attached.

    By the way, I am new to posting but have been lurking here for a number of years, so hope this helps and all the best working the kinks out.
    #10     Nov 13, 2006