Gents, any recommendation for the maximum lot size in a single intraday market order without too much market impact in any of the following emini's YM, NQ and ES? My guesses are 10 for YM, 20 for NQ and 100 for ES. Please correct me if I am wrong. Many Thanks.
During times of good volume, I have seen 1,000 ES cars driven through with zero slippage on limit orders. NQ and YM are much lower, well under 100. Working on a scenario spreadsheet?
Changes by the second... Just pull Level II data into a worksheet. Below is a snapshot of 5 levels of Es and 6E. ES Limit orders as large as the average of the last 5 price levels should not move the market. In thousands during peak hours intraday. hundreds to teens off peak. Most other contracts are teens to 100 max. ES as of 3:40pm cst Ask Slip Size Bid Slip 1250.50 0.00 1 1250.25 0.00 1250.50 0.00 2 1250.25 0.00 1250.50 0.00 4 1250.25 0.00 1250.50 0.00 6 1250.25 0.00 1250.63 -0.13 12 1250.25 0.00 1250.67 -0.17 18 1250.25 0.00 1250.71 -0.21 36 1250.25 0.00 1250.73 -0.23 54 1250.25 0.00 1250.78 -0.28 108 1250.25 0.00 1250.86 -0.36 162 1250.22 -0.03 1250.96 -0.46 324 1250.11 -0.14 1251.11 -0.61 486 1250.01 -0.24 1251.37 No Fill 972 1249.62 No Fill 1251.37 -0.87 Max 1249.62 -0.63 Q Max Ask 496 22.63 Q Max Bid 633 Max Slip Spread Q Ask Q Bid 0 0.25 37 72 1 0.50 286 513 2 0.75 567 688 Max 1.28 614 753 6E @ 3:40pm Size Ask Slip Bid Slip 1 139.70 0.00 139.67 0.00 2 139.71 -0.01 139.67 0.00 4 139.71 -0.01 139.67 0.00 6 139.71 -0.01 139.67 0.00 12 139.72 -0.02 139.67 0.00 18 139.72 -0.02 139.67 0.00 36 139.72 -0.02 139.66 -0.01 54 139.72 -0.02 139.65 -0.02 108 139.74 No Fill 139.63 No Fill 162 139.74 No Fill 139.63 No Fill 324 139.74 No Fill 139.63 No Fill 486 139.74 No Fill 139.63 No Fill 972 139.74 No Fill 139.63 No Fill Max 139.74 -0.04 139.63 -0.04 22.65 Q Max Ask 77 Q Max Bid 81 Max Slip Spread Q Ask Q Bid 0 0.02 9 8 1 0.03 48 57 2 0.04 83 78 Max 0.06 83 83
ES on 2008-09-09 Code: ... 15:58:25 1227.00 x 1227.25 3067 x 2454 15:58:25 1227.00 x 1227.25 3057 x 2454 15:58:25 1227.00 x 1227.25 3057 x 2453 15:58:25 1s1227.25 B 15:58:25 1227.00 x 1227.25 3057 x 2452 15:58:25 1227.00 x 1227.25 3057 x 2451 15:58:25 1s1227.25 B 15:58:25 1227.00 x 1227.25 2758 x 2451 15:58:25 1227.00 x 1227.25 758 x 2451 15:58:25 2000s1227.00 S <- !!!!!!! 15:58:25 1227.00 x 1227.25 757 x 2451 15:58:25 1227.00 x 1227.25 757 x 2478 15:58:25 1227.00 x 1227.25 769 x 2478 15:58:25 1227.00 x 1227.25 781 x 2502 15:58:25 1227.00 x 1227.25 843 x 2577 15:58:25 3s1227.00 S 15:58:25 10s1227.00 S ...
hahahah... last night during asian hours.. Some idiot trader... was flashing 980 ES contracts on an off at 1227.75 on the bull side when ES was at 1228.50... to defend the bull position... implying a strong support level... (trying to scare off the bears)... he got taken at once all the way up from 1228.25 .. and down it went... I couldn't stop laughing.. the idiot probably cost the firm alllllllot of money.. LOL it was the funniest sh&*^ i've ever seen... bahahahah
it depends on the depth of the book at the time.. ym you can easily do 20 to 30 with a pt or two of slippage.. this I have done es you could get off 350 to 500 I would guess.. during the morning .. just use a limit ordr and you will get your price. CL stops will usually be 1 to 2 pts depending on size and bid/ask
Thanks for the reply. I studied many time-scales data, but I couldn't find a consistent pattern between lot size and slippage. Your feedback is valuable.