your 20 contracts is very high. the nearest bid / offer volume would be around 5 contracts. Not sure what is your trading strategy. Let's say you are aiming for 50 ticks profit. 20 contracts will give you 20*50*10 = $10 000 profit / night. similarly your loss could be $3 000 / night.
you may back test your strategy assuming you get order filled when price pierces through it. what is your profit in that situation?
Why so aggressive ? The longest hold times are around 8mins most trades are 3mins and under. 20 cars overnight ? I said it was 10, the order to flip from long to short or vice versa would be for 20 to cover the initial 10 contracts held. In simulation it makes 150 trades a day on average with position size 10 like I said. If i were to assume every single trade would have a slippage of 2 ticks, that would be an instant hit of -150 * 10 * 2 * 12.5 = -37500$ just because of slippage each day. Assuming execution at last executed price, the winrate is around 80% but as you would assume a lot of the simulated trades are for 1-3 ticks. Anyways, thanks for your input but please try to be less aggressive. It was unwarranted.
Definitely not aiming for 50 ticks, it's a machine learning strategy that predicts if price on average in the next 15 mins is higher/lower than last excecuted price. Accuracy on unseen data is ~72%, but it doesn't determine the magnitude of the price change, it can be 1 tick, it can be 50(unlikely) but you get the gist.
Position limits can be found here... https://www.cmegroup.com/market-regulation/position-limits.html FYI... ES position limit is a 60,000 futures contracts NET POSITION. And a single order has different limits... An order for any quantity may be accepted for E-mini outright futures. However, orders exceeding a specified number of contracts as indicated below must be entered on the CME Globex system as multiple entries, each of which must not exceed the specified number of contracts. E-mini S&P 500: 2,999 for outrights and 5,000 for calendar spreads Of course, an FCM or broker may impose lesser order limits for retail clients.