Looking for market liquid than ES?

Discussion in 'Strategy Development' started by kcgoogler, Sep 29, 2009.

  1. Folks,

    I am looking for a market more liquid than the ES (in terms of bid-ask spreads). Any body got ideas?

    To qualify it a bit more:
    If i need to pick spots in ES i loose 2 ticks (1 to get in and 1 to get out). I am currently looking at a system that has an average profit of just above two ticks and i cant really trade it on ES as its all gone between the spreads. Also cant trade SPY or QQQQ etc; too commision intensive; looking something leveraged but more liquid than ES.

    (Forex and Bond markets are probably bigger than ES but have never traded them before; and not sure if they are better vehicles to trade from the spread perspective).

  2. so your looking to get in only paying half a tick?

    sounds like you need to be using limit orders.

    also, normally you don't pay one tick to get in and one to get out.

    for example, the market is at 1063.50 on the bid and 1063.75 on the ask.

    using market orders, if you buy at 1063.75 and then immediately sell for 1063.50, you would pay a total of 1 tick for both the buy and the sell.

    not one tick to buy, and one tick to sell, unless you waited and the market moved against you by one tick.
  3. "for example, the market is at 1063.50 on the bid and 1063.75 on the ask."

    If market is 50bid 75offer and i get a buy signal the only way i can guarantee to be in is by paying the offer (75). If i use limit order at 50bid i run the chance of not getting filled (worst yet; i am guaranteed to get filled in all of my systems loosing trades and missout on all of the best ones). Hence i refer to a tick lost on entering the trade; same on exit.

    PS: I talked to my broker (who is pretty knoledgeable actually) and according to him too looks like its hard to get a more liquid market than the ES; which sucks. cause i cant trade this system.
  4. Dude if paying the spread is the difference btw you have a profitable strategy or not then you need to rethink your game plan. Seriously, I'm not joking.

  5. your probably right,

    if your losing a tick on each buy, and then you somehow manage to lose a tick on each sell, you should probably just give up right there.

    since your getting filled below the market on your exit.
  6. R. Raskolnikov:

    There are different ways to trade. One certainly is where you play for more points; this particular thing i am interested in however doesnt belong to that type.

    I do have other systems that i trade that have a bit longer holding periods. But nonetheless thanks for your answer.

    Just FYI, it doesnt matter if the profitability of your system is very little on per trade basis; there are a number of things that i look for which make this particular system very appealing to me but alas i cant trade this yet; back to the whiteboard..
  7. Everyone has thought of buying 100 lots on the bid and limiting out a tick higher for an instant profit and doing this many times a day. Not to say that this is exactly what you mean but regardless, the spread is a natural occurrence and something that we cannot avoid. The only guarantees in execution is that you must pay the offer or bid to get in right away and that, if you are to be filled by a limit order, price must trade through by at least a tick OR the entire bid/offer is swept up and immediately replaced.

    That being said, I don't mean to sound harsh but, even with 4 ticks per point, paying the spread for entry is not or should not be a deal breaker. If it is, perhaps it would be a good idea to take a look at your method and tweak it so that this is not.

    Good luck to you.

  8. <img src=http://www.elitetrader.com/vb/attachment.php?s=&postid=1091095>

    Current Liquidity Rank

    - Spydertrader
  9. Why not Trade the Big S&P contract instead of the mini's .10 tick instead of .25.

    Is it more important to have largest tick increment/value or tighter spread?
  10. As I'm sure Mr Spyder is aware, those rankings don't have much value. The short-rates products that usually appear at the top aren't nearly as attractive as they seem, because of a large tick-size and lack of movement. It's true Bunds are a good market, but the OP may not be eager to get up and at 'em at midnight'ish.
    #10     Sep 30, 2009