How liquid is the ER2?

Discussion in 'Index Futures' started by SamuelEngland, Dec 1, 2006.

  1. Is there anybody here on ET who swings a fair sized line in the ER2?

    I'm curious as to how well it can absorb 60, maybe 100 contracts at a clip.

    Really, I'm just trying to find a practical limit to the amount of contracts one can trade without drama regards getting filled or moving the price on yourself too much.

    Thanks in advance.
  2. look what's available on the bid/ask during the day and u got your answer.
  3. Check out Austinp's response to my question about ER2.

    IMO, you cannot do 60-100 contracts AT ALL in one trade. Can you leg in 10 at a time without slippage - sure. But a one shot 60 contract with no slippage? Not going to happen.

    Also, do a search on this as it was asked previously maybe three weeks ago about the personality of ER2.
  4. You may fill 60 c, at the first 2 hour or last2 hours of trading with 0.1 to 0.2 slippagge depending on how volatile the market is.

    Of course this is market so nothing is a fact.
  5. Thanks chaps, very useful stuff there.