problems about daytrading futures through electronic platform

Discussion in 'Trading' started by seesound, Jan 27, 2006.

  1. seesound


    Hi, everyone. This question has puzzled me for a long time and still not got an answer. Hope it can be solved in this thread.

    Many daytrading methods are sensitive to TICK. If there was ONE price for ONE thing, I could feel much better. However, the world is not perfect.

    I have traded QM (e-mini crude oil). The price and bid ask size for QM and CL are not IDENTICAL. Although the difference is small, it is still costing for daytraders. This is where my concern grows.

    My concern can come down to the following quesitons

    1. I found that open auction and electronic for the same products have different symbols. For example,10 Year U.S. Treasury Notes, TY and ZN. My question is TY and ZN have the same price all the time?(i.e. are they the same thing?)

    2. When both TY and ZN are being traded (7:20am - 2:00pm), the quotes and bid ask size under the symbol ZN via trading platform ( I use IB TWS) are the quotes and bid ask size for ZN only OR for both TY and ZN.

    3. when trading emini, the above questions are of no importance. However, for example, the emini S & P and normal S & P do not share the same price all the time, just like what happens for QM and CL. How to handle this problem?

    Any suggestions and comments are highly appreciated. Thanks in advance.
  2. I've noticed a very brief bid / ask difference between the TY and ZN during the tradig day, but this never seems to last more than a few seconds. I'm using TS to monitor these two so it could easily just be a data feed issue.
  3. StreamlineTrade

    StreamlineTrade Guest

    Why should they have the same quotes?

    Although they may represent the same cash product, you are talking about two different MARKETS in both cases.

    This is like asking why the prices for the same product is different in two different stores! Because they are!

    In the S&P v E-mini S&P, they don't even have the same tick increment.

    I appreciate we all have to start somewhere.

    BTW: Pro's don't see this as a problem as stated in your title. It is seen as OPPORTUNITY.
  4. seesound


    Thanks, StreamlineTrade. You comments are quite helpful. Then what is the situation in the case of TY and ZN, for example. Do they share the same quotes and bid ask size OR they are two separated markets linked by arbitrage force although they represent the SAME FUTURE CONTRACT.

    "the prices for the same product is different in two different stores." My concern is that the price in which store is leading the other one. So that we can observe the dominant store's price fluctution to trigger the entry to not be late. My guess is the contract with higher volume. But I have found no book elaborating on that topic and I do think this issue is of some importance when talking about daytrading.
  5. seesound


    Hi ,rarhoads. Thanks for your commentsTS stands for tradestation?

    I am only an undergraduate and have only tried interactivebrokers. It takes me some time to realize that IB only handles with electronic markets and does not include pit contracts because in China, all the markets are electronically traded.

    You mean tradestation provides quotes for pit traded contract? I suspect there should be some delay in data transferring for pit traded futures but I am not sure. One of my dreams is to go into the pit and see how the price cried out by the locals and brokers transmit into the electronic platform and spread worldwide.

    Could you suggest me brokers to watch the real time quotes of pit contract for free? Seems IB only provide quotes for electronic contracts.

    Thanks, everyone.
  6. I have accounts at both IB and TS (Tradestation) and pay for real time quotes on Tradestation. Sorry but I don't know of a free place to get real time quotes.
  7. stfreak


    hi seesound.

    i wonder a bit about your concern about that topic. of course floor traded products sometimes have different prices compared
    to their electronic equivalents. this is because electronic trading is much more efficient, than open outcry. no paper, no runners etc...

    on the other hand, you´ll never know what market is the leader because every dog has it´s day. sometimes there is heavy hedging via open outcry, on another day the fat finger is hitting the keyboard.
    there is no such thing like the magic hand of god, that keeps those markets being equally priced. it´s all hold together by traders, who have found a niche.

    imo i would say: either you find a method to use this fact, arbing/spreading, or you better forget about that. u r just stuffing your brain with useless information.

    btw, forget about IB datafeed. It´s an updated feed and not realtime!! That means that your TWS shows you a screenshot of the market every 0.3 - 0.7 secs. There are so many ticks filtered out over the day, that you cannot use it for arbing issues

    hope that helps

  8. alanm


    Floor quotes are, by their nature, always stale by far more than 0.3-0.7 seconds.
  9. JackR