MAX. Contract size on ES

Discussion in 'Index Futures' started by ggoyal, Oct 30, 2008.

  1. ggoyal


    question for the bigger players,

    what contract size are you guys able to enter without any slippage, or rather major slippage? It's ok if it's a tick or two here and there. but not more than that.

    Currently I am around 20 and will take it 1 contract at a time up.

    However I am curious to know at which point would it be too large to get in and out with the same ease as 15-20. I was thinking maybe 50, 75? Or 200?

    Real asnwers please, it will help all reading this for real information.

  2. Look at the Depth of Market and see for yourself how many contracts you can get off at a given time with a given degree of slippage.

    I have to wonder that if you're asking that question... are you really even ready to size up that much?
  3. How much % of your 20 contracts gets filled at the best bid/ask on average ?
  4. With precise execution and by monitoring the level II dom you can comfortably trade 100+ during RTH. Even after hours if you monitor the DOM you can get filled with minimal or calculated slipage of 50+ cars.

    Its all in timing the release of your orders and knowing what your fill lag is. If your using market orders and your fill lag is 50ms you can filter quantity gaps out based on timing. If your using limit orders all bets are off as you are in the alleged "FIFO" order book.

    For this discussion lets assume all orders are market orders.
    If your monitoring the DOM you can dynamically calculate and build an executable price table based on your trade increments and position sizing. If you use these "Executable price feed" numbers for your trade calculations there are minimal surprises.

    During fast moving gaps and jumps your going to get hit unless you place a trade filter requiring the quantity be available at a specific price point for the last three price updates or duration in excess of your fill lag.

    Attached is a sample of an "executable" price feed for ES. Its actually a bad tick but a good example of how you can get burned because the Quote Bid /ask quantity does not match the level II dom bid quantity.

    Level I indicates a bid quantity of 10 contracts available and ask quantity of 111. Level II indicates 77 and 23 so if you hit the button for 100 your going to get filled at different levels.

    There is also a concept of auto-iceberg for discretionary traders where you can place a simulated limit order and have your computer break the orders to quantities that can be filled at market. You control the fills and jump in and out of fast moving markets without queuing through the order book.

    If your just going to use the broker provided tools and manually release your trades. Use limits cause you can't eyeball a market that pushes 240 - 300 updates per minute and you certainly can't push your mouse button fast enough. CME can accept and process orders approximately every 13 ms.

    Discretionary traders can use algo trading technology as a trading "cruise control" for more precise execution. You pull the trigger and it monitors and times the order releases for optimal fills.

    The data is there and its up to you to use it... good luck
  5. This topic has been gone over multiple times. Try searching ET for ES contracts slippage. I have seen 500 cars move at the limit during volume, then again I have seen 5 pts slippage on a 20 order overnight. Damned market order traders.
  6. Your application only monitors and makes calculations ?
    Is it for sale ?

  7. I play 25-50 cars most of the time. 200 is large size. Step it from 20-40 cars and see for yourself. The slips for 25-50 cars are the same FYI IMO.
  8. I was thinking the same thing....
  9. ggoyal


    not going to go from 20-40. 1 contract at a time is what i feel most comfortable. 5k per contract.

    and contrary to what people say, don't set point targets, i do actually do that.

    just a few days ago, i have been setting goal of 10 points. now i do have the patience to wait, so i believe i don't over trade and don't force one.

    but when i do hit my target of 10 points, which is pretty reasonable. i stop trading no matter wha the opprtunity looks like because it involves taking more risk. when people say "darn, i gave away half" etc etc., if they would have stopped, they would have kept it. the only way to benefit from this is to keep increasing contract size, 1 contract for every 5k which is why i asked about slippage.

    i know you should trade opportunities you see blah blah. but that means incurring more risk. risking points you already have. 10 points is pretty reasonable.

    anyway, i digress.
  10. ggoyal


    not that i give a shit about what you think, but i don't know how to read the DOM and i don't need to.

    you can trade well without it.
    #10     Oct 30, 2008