Liquidity with Index Futures

Discussion in 'Index Futures' started by Albatross22, Jun 20, 2011.

  1. I have a question about liquidity on the main index futures. I understand that ES is effectively (from the retail trader's point of view) more liquid than one would ever need, with orders of hundreds of contracts easily absorbed.

    What about YM, NQ and TF? At the moment this is purely a hypothetical question, although perhaps that might not always be the case.

    For example, is an order of 50 or 60 YM contracts likely to run into difficulties? I'm talking about during normal hours, not the middle of the night in the US. Does anyone have experience of trading these contracts in significant size?

    Just out of interest, what about EMD? Does anyone trade this, how does it compare to the others and again is liquidity a problem?
  2. Does nobody trade these in serious size?
  3. Find out by shooting a few orders and tell me about it.
  4. I do.

    The challenge with trading "size" in TF or CL has more to do with speed of movement rather than liquidity. The way those two can spike, slam and pound in a nanosecond, it's not possible to click in a block order and expect it to cleanly fill all of the time. Or even most of the time, depending on size discussed.

    If you constantly click in 10-lot orders for either CL or TF, you will get filled to the gills every time on your losing trades that come back and stop out.

    But pullbacks or breakouts alike, there will be many times where you either have partial fills or big slippage on full fills respectively. Those are the trades that run in favor... away from your stops, but too small on size to offset the full-size losses before.

    There is no magical number of what's "too big" for fills, etc. It all depends solely on price action at any given time. Today for example the TF surged all around in sideways fashion due to crude oil sympathy and perhaps rebalancing pressures from tomorrow. Yesterday maybe you could fill ten or twenty all the time, today maybe partia fills and slippage on all.

    Truth is the ES is only listed futures symbol other than bonds where you can click in 10 or 20 or 50 and not worry about partial fills or painful slippage.

    All of the others have their limits, which will vary on any given day or part of a day.

    EMD is so illiquid, you'll have trouble working 2-lots consistently there.
  5. Thanks Austin, that's exactly the kind of thing I was looking for.