So is ES (123k per contract notional?) and 2,05 dollars per contract if I recall correctly It gets cheaper at IB with fx commission with an institutional account and at other professional brokers but for that you need to do serious size in the hundreds of millions per month
Do you have good Level 2 orderbook data for the fx market? Does one need to connect to EBS ? Are currency futures a good approximation / correlated to overall market.
Why do you need level 2 data unless you make markets? No you don't need EBS for quality data feeds. Lmax, Pepperstone, Baxter, IB, Ducascopy all have decent executable data feeds. How much liquidity one takes will obviously narrow down the field. Whether fx futures correlate well with spot fx? Nearly perfectly, of course.
You can improve execution dramatically even when not making markets using orderbook, provided you have good quality data. Sorry about not being clear, I meant to ask if fx futures Orderbook signals correlate well with spot. I know the theory and the relationship between spot futures.
You should probably read this again: You're still a retail right @traider? Your execution is still getting limited unless you're running a DMA setup. Pinching pennies on execution isn't going to save you. Maybe I misunderstood you but you didnt mention if you have DMA? If so, why aren't you running an expensive autospreader for this purpose?
Each order book is different, that is why hft cannot just run one and the same algorithm across products, they need to be carefully parameterized and customized. Care to explain how you take advantage of the order book without providing liquidity. Signaling in the order book has mostly been a myth and only very few, I know of 2 guys in fact only, have shown to take advantage of order book information. One vanished the other contended many years ago that there is no more order book information edge to be had. He was one of the largest bund futures traders.
You were choosing a worst time to trade. Employment report came out at 8:30 and you trade at exact 8:30? Blame no one but yourself.
RealMoney, I am new here and total newbie, so please bear with me. You stated Buy UB and Sell some ZB for leverage, can you please explain the method and what you are referring to? You mentioned ES, ZB & ZN and stated spreads and then stated Front month. Would you mind explaining this in a little bit of a detail. What kind of minimum dollar amount required to trade this method? Which broker is good for these kind of strategies? Where do I find out bit more about these type of strategies? I am sorry that I am running ahead of myself(LOL), but just wanted to know. Thanks.
I have heard tightest spreads are on the NT instrument i.e. no trade instrument, absolutely no spread hence good for 1 tick scalping.