How many ES contracts could one trade without impacting the market?

Discussion in 'Index Futures' started by cunparis, Sep 2, 2008.

  1. I'm curious about liquidity of the ES. Everyone gives liquidity as an advantage of ES over the pit future. Is ES more liquid?

    Let's say someone wanted to buy 1 million of S&P. Would it be better to buy ES or SP?

    How many ES contracts could one trade without affecting the market? Could one sell 200 contracts without moving the price? What about 1000?

    If one wanted to trade 1000 I guess you could scale it in over x minutes right? How long would it take?

    I'm curious how the big boys play the ES. I buy/sell 1-2 contracts max but there are thousands. I doubt there are thousands of small speculators like me playing 2 contracts.

    And is it any better with the pit S&P?
  2. You could usually trade 1000 ES with zero or 1 tic slippage on part of the order, RTH.

    The ES trades about 10 times the dollar volume as the pit traded contract. In reality, the pit is a vestige... should be eliminated... would not be missed.
  3. Agreed, 1000-car limit orders should fill during periods of adequate volume.
  4. Tums


    Both answers are Wrong !

    It all depends on the Bid/Ask of the moment.

    Take a look at the DOM... visualize if you were to enter a trade...
    If the answer does not jump at you, you don't know how to trade.

    <img src="">
  5. BULLSHIT! Both of the above were correct... YOU are wrong.
  6. About the 1000 contacts, are you talking about market or limit orders?
  7. Size atrracts size. If you are drilling the bid or ask for the fill then 1000 is easily doable in rth. If you post it on the ask or bid then you are gonna get people front running your order.
  8. Most of time during regular trading hour; you can easily move about 100 contracts without any slippage.

    if you trade 1000 contracts; it can has some impact at odd time during rth; 2 or 3 tics of slippage.
  9. FWIW - I've traded the ES for over a year. Never had any slippage.

    I had a 1 contract position on this morning - I was looking to add lower as i was long, however I will admit I AM a small fry.

    At any rate, 30 seconds after i was stopped out, I noticed I my stop executed a tick below my stop price - slippage on 1 contract! On the ES! Not the YM, where slippage occurs rather frequently but the ES. 1000s on contracts shown all the time and somehow my 1274.5 stop fills at 74.25.

    I was pretty shocked honestly. Anyway, since this just happened today, i thought I would add my two shillings.
  10. Trailing stop or stop limited?

    I assume you were using Trailing stop at news time; :D
    #10     Sep 3, 2008