It is very unlikely that 187 contracts would not be enough to trigger a limit order in that scenario. Unless of course you parked that order hours ahead. The avarage Bid/Ask most of the day frieday was 600-1000. TM Trader
I didn't spend too much time looking through the CME file and stopped at the first example I could find - I'm sure I could find "better" examples with 400 and more contracts traded. Your point, however, is taken - thanks for responding.
That would be a very tedious task but looking for about 800 contracts traded will make more sense. TM Trader
I would be looking at the data that allowed me into the trade, if I am getting in easier than I am getting out, it would seem I'm trading against the market rather than with the market. If I had that kind of profit on a trade I would give the quarter to keep most of the profit in the middle. Maybe I assumed too much thinking you were trying to scalp, as I sometimes scalp for those teenies. Sorry.
From my experience, I came to the conclusion that it is very difficult to have any percentage of that kind. Personnaly, I take it as 50/50. - When I consider being executed as soon as I see a print AT my price (this is the 'optimistic view of real trading' because that would mean I am the first in the queue at that price), my system shows some decent results. I take that as my max possible results. - When I consider being executed as soon as I see a print UNDER my (limit buy) price (pessimistic view of real trading : i am the last in the queue at that price), my system is breaking even or has negative results. I take that as my worst possible results. The reality is in between. You're right, that is what makes the difference between a profitable and a losing system. I wouldn't be confident to follow the 'optimistic' system. I prefer to find a profitable 'pessimistic' system. If it shows some good results i know that it can't be worst in real life (psychological problems excluded ). The only way to gauge the probability of being executed is to know where we are in the queue at that price. In my opinion, it is totally discretionary and helped by experience (bid/ask size when order sent, gut feeling about the number of front orders being pulled, tape reading,...) That's why backtesting a scalping strategy is very difficult. Just my 2 cents. Good luck.
I have read each and every entry in this journal. Please forgive me if I offend you, but having a root cannel was more pleasant. Anyway, I digress. With careful study of the various systems, methods, schemes, and wear and tear on your pants, it seems to me that the only thing you have shown success with is spying on your neighbors with a telescope. Perhaps you could affix a camera to the device, shoot indecent photographs, and post them on a pay-per-view web site. I hope this helps.
In addition to the current services being offered by my Discussion Board Consultancy, listed here ... http://www.elitetrader.com/vb/showthread.php?s=&postid=113954#post113954 ... I am pleased to announce the following new services to be provided in 2004 : Surrogate Posting As a newer member, have you ever tried inquiring about broker X or platform Y? Instead of helpful replies, you are immediately branded a spammer and hounded from the thread with your question still unanswered. Avoid this unnecessary molestation by channeling your queries through one of my many longstanding and respectable aliases. Preventive Maintenance Is your thread or journal continually besieged by hordes of critics, stalkers and other undesirables. As an initial step, I will review the possible source of these attacks and suggest appropriate changes to the post content and philosophy. Failing that, I will fend off these savages by using specially refined and not so refined techniques I have developed. Image Enhancement II The spellchecker won't catch your incorrect and embarrassing use of "loose", "their", "weather" and other homonyms which immediately brand you as uneducated at best, and a lazy slob at worst. Let my proofreading keep up your good image - after all, what else do you have on a message board? P&L Statements The moment of truth has arrived - after taunting everyone with countless posts about 23 ES point days and living la vida loca, someone actually has the gall to ask to see a snapshot of your daily P&L. Your many attempts at evasion just increase the mob hysteria and soon some are even demanding monthly statements. The only way to salvage your credibility is to respect the wishes of your skeptical readers and post one of my custom made .gifs - you choose the broker, the instrument(s), the time period, the bottom line and I will provide you with a .gif whose authenticity would pass the scrutiny of a team of forensic accountants. Arbitration While there is nothing more humiliating than having your thread demoted to Chit Chat by rlb, or your post deleted by Magna, the knee-jerk reaction of a whining protest will not be effective - in fact it almost guarantees the action will not be reversed. Delegate me to use persuasive, behind the scenes communication, tempered with the right dosage of pandering, and chances are high that the relevant moderator will restore your missing post or thread, maybe even in its original format. Let me take this opportunity to wish all ET members, their families and aliases, a healthy, safe and prosperous 2004.