Well positioned for the move of the day this AM but decided to trade out a few ticks before the huge move. Price action did that a huge move is coming back and forth thing in the DOM and i obviously made the wrong decision. Lesson learned. Just needed to vent. Urggg *edit the first trade may be hard to see but its on the X axis.*
TF has been acting crazy. Diverging from the YM/ES, huge unexpected reversals, follow the trend get burned, counter trend get burned, rip your face off rallys/sell offs out of no where, dojis galore, support/resistance/trend line who cares we blow through them. so yes d08 the TF has been really strange. maybe a new bot program went online at the beginning of the year is my guess. Stops have been very crucial in this environment.
I've been trading the Russell 2000 futures for a long time... since mid-2004, actually. Seen the ER2 go from 30,000 contracts to 300,000+ daily sustained and 500,000 on the TF during crisis of 2008. Now it has daily volume of 80,000 to 120,000 contracts more than not. That's too thin for masking all the algos and bots which jack price action every which way. There were a couple of good trade signals that worked for several points each yesterday and again today. But there is a lot of noise all around them, due to anemic volume per the number of bots working. Slippage on fills or partial fills for even a handful of contracts is getting worse. Until average daily volume is above 150,000 TF contracts and preferably more than 175,000 sustained, expect to see the same type of erratic tapes due to illiquidity. Volume is much more about stabilizing price action than anything else. Price prints across the chart only tell part of the story... TF is spastic because it's thin-air trading most of a given day.
Hi Austinp, You are right, the slippage is bad. But what do you prefer to trade, NQ? ES is not as trendy.
Well, crude oil is the new ER2. all that volume which left eminis had to go somewhere... I'm told by brokers that retail volume in CL and 6E has really swelled in the past year or more. Sure looks that way to me. I'm willing to work with TF again, but average volume has to get above 150,000 contracts for sustained trading. The bot spikes and slams are maddening when trying to fill and/or hold stops. Right now I'm working CL and ES intraday... CL for the big-range swings and ES for the methodical chips of +2pts ~ +4pts until stock markets awaken from their volatility lull. TF ain't likely dead forever... but it's suffering from lack of trader participation right now. Volume will return to 200k and the VIX will trend into 20s levels again, just a matter of time.
I took the day off from trading today. However, so far 2011, Emini TF has been giving me glimpses of it's prior life when it was known as ER2. In fact, the price action in TF in 2011 has been better than 2009 and 2010 in comparison so far. The price action this year has had more directional price movements and volatility has been increasing for longer periods of time. In addition, the congestion doesn't sneak up on me like it did in 2009 and 2010...too many days back then of feeling like I was ambush. Regardless, I'm preparing to trade again the EuroFX 6E futures and Light Crude Oil CL futures just in case 2011 starts behaving like 2009 - 2010. Mark
I guess it depends on your definition on volatility. i think its been decreasing. Yeah there has been more trend but actual trading range is not normal. Here is my take on the TF. its pretty much been trend days between 770-795 with a few peaks at 800. But for me personally it seems like TF says reversal, reversal but then trends higher in a sketchy way for lack of a better word. I think the market is topping here. Like Austin P said volume is down. YM finally hit 12000, divergence between YM/ES & TF, 20/50 day averages look like 1 big down day will result in a bearish cross. Also look at the data nothing but green shoots. Yet we are getting big up move followed by retracement with out making new highs. If anything there we might move sideways.
One other factor against the TF: live data for TradeStation chart users and/or TradeStation clients of the brokerage must pay $65 monthly for ICE data live. there are no emini specials for $5 or $10 month... full fees for all ICE products or delayed data are the choices. Now that may not seem like a big deal on its face, but volume dropped from 125,000+ to 75 - 80,000 contracts traded the very same those fees were enforced. A lot of marginal traders don't really care if they work with TF, NQ, 6E or whatever. Asking them to pay another $720 annual for live data to TF alone is a deal-breaker from some. So there went x-amount of daily volume from the flow, and it was all retail volume. TF is still tradable and if you focus and work hard it can offer similar price swings now as usual. But the price rips up and down the down, price spikes and surges out of congestion patterns, slippage on single contracts and partial fills on several contract limit-order entries & exits are all execution problems due to illiquidity alone.